Introduction to Quantitative Investment, 201310
This course introduces students to quantitative investment. A “quant” portfolio manager or a trader usually starts with an intuition or a vague trading idea. Using mathematics, s/he turns the intuition into a mathematical trading model for analysis, back testing and refinement. When the quantitative investment model proves to be likely profitable after passing rigorous statistical tests, the portfolio manager implements the model on a computer system for automatic execution. In short, quantitative investment is the process where ideas are turned into mathematical models and then coded into computer programs for systematic trading. It is a science where mathematics and computer science meet. In this course, students study investment strategies from the popular academic literature and learn the fundamental mathematics and IT aspects of this emerging field. After satisfactorily completing this course, the students will have an overview of the necessary quantitative, computing, and programming skills in quantitative investment.
There are a total of 8 lectures, each running for 3 hours.
|1||Technical analysis: linear trading rules||Lecturer handout||Youtube|
|2(lab)||Programming a hidden Markov chain, a trend following strategy||Lecturer handout||Adobe
|3||Trading basket construction||Lecturer handout||Adobe|
|4 (lab)||Programming a cointegration model; basket creation; parameter sensitivity analysis||Adobe|
|5||Optimal trading strategies||Lecturer handout||Adobe|
|6 (lab)||Programming a trading strategy; parameter calibration||Lecturer handout||Adobe|
|7||Portfolio optimization & risk management||Lecturer handout||Adobe (part 1)
Adobe (part 2)
Adobe (part 3)
|8 (lab)||Programming to optimize a portfolio|
Dr. Haksun Li is the CEO of NM FinTech LTD., a quantitative trading research and analytic consulting company, which serves brokerage houses and funds all over the world, multinational corporations, very high net worth individuals and gambling groups. Prior to this, Dr. Li was a quantitative trader/quantitative analyst with multiple investment banks. He has worked in New York, London, Tokyo, Singapore and Hong Kong. Dr. Li has a B.S. and M.S. in Pure and Financial Mathematics from the University of Chicago, an M.S. and a Ph.D. in Computer Science & Engineering from the University of Michigan, Ann Arbor. Dr. Haksun Li is/was an adjunct professor with multiple universities. He taught at the National University of Singapore (Mathematics), Nanyang Technological University (Business School), FuDan University (Economics), as well as Hong Kong University of Science and Technology (Mathematics).
|Language of Instruction||English|
Peking University, Beijing China, PRC
|Fees||RMB 20,000.00 for classroom participation or USD 3,200.00 for online participation.|
|Schedule||Online: Oct 1, Oct 2, Oct 8, Oct 9, Oct 15, Oct 16, Oct 22, Oct 23, 8 – 11pm, EST (New York time) 2013
Peking University: Oct 19, Oct 20, Oct 26, Oct 27, Nov 2, Nov 3, Nov 9, Nov 10, 2013, 2 – 5pm CST (Beijing time)