Computational Investing I
Contents |
Computational Investing, Part I
Please note that this syllabus is under revision, and is subject to change. In particular, we are moving software installation information to the beginning. We're also adding modules on Technical Analysis and Introductory Python.
keywords: algorithmic, algorithms, trading, finance, equities, markets, quantitative finance, georgia tech, gt, Tucker Balch
Logistics
This course is being run through coursera.org. Please visit the course site for details and to sign up: https://www.coursera.org/course/compinvesting1
See the wiki page for the last offering Computational_Investing_I_2012_Fall
See the wiki page for the OMS / Udacity version OMS_ML4T_I
Programming Skills
You should have strong programming skills to succeed in this course.
Here's a quiz you can take to see if you have strong programming skills compinvesti-prog-quiz
Useful Resources
Assignments
- QUIZ: Market Mechanics
- Homework 0: Install QSTK
- Homework 1: Assess and optimize a portfolio: CompInvestI_Homework_1
- Homework 2: Event Studies: CompInvestI_Homework_2
- Homework 3: Build a Market Simulator: CompInvesti_Homework_3
- Homework 4: Event Study into Simulator CompInvesti_Homework_4
- Homework 5: Implement Bollinger Bands CompInvesti_Homework_5
- Homework 6: Event Study with Bollinger Bands CompInvesti_Homework_6
- Homework 7: Back Test with Bollinger Bands CompInvesti_Homework_7
Syllabus
Week 1
- Module 1: Course Overview
- Video 11*: Learning objectives of for the course [*need to reshoot to emphasize programming difficulty]
- Who is this course for?
- Logistics
- Instructor background
- Video 11*: Learning objectives of for the course [*need to reshoot to emphasize programming difficulty]
- Module 2: So you want to be a fund manager?
- Video 21: Module learning objectives
- Viewpoint of course
- Incentives for portfolio managers
- Two main types of hedge fund
- Video 22: Common metrics for assessing fund performance
- Annual return
- Risk
- Reward/Risk
- Video 23: Common metrics for assessing fund performance
- Sharpe Ratio
- Video 24: Demo
- Download historical data
- Manipulate historical data in Excel
- Video 21: Module learning objectives
- Module 3: Market Mechanics
- Video 31: Module objectives
- Major order types
- The order book
- How market orders drive prices up and down
- Live example
- Video 32: Order book recap
- How orders flow from trader to execution
- Colocated computing
- Mechanics of short selling
- Video 33: How hedge funds exploit market mechanics
- Order book-based trading
- Arbitrage
- Video 34: The computing inside a hedge fund
- Trading algos
- Optimizers
- Forecasters
- Video 31: Module objectives
- Module 4: Interview with Paul Jiganti
- Video 310: How your order gets to the market Part 1
- Video 320: How your order gets to the market Part 2
- Video 330: What happened with Knight Capital
- QUIZ: Market Mechanics
Week 2
- Module 1: What is a Company Worth?
- Video 41: Intrinsic value: Value of future dividends
- Video 42: How and why news affects prices (Event Study)
- Video 43: Fundamental analysis of company value
- Module 2: Capital Assets Pricing Model
- Video 71: Capital Assets Pricing Model
- Video 72: CAPM: What is Beta
- Video 73: How Hedge Funds use CAPM
- Module 3: QSTK Software Overview
- Video 61*: QSTK software overview
- Video 63: Installing QSTK on a Mac
- Video 81: Installing QSTK on Windows and testing QSTK on Windows
- Module 4: Working with Historical Data* [need to add this module. Daily returns, cumulative returns, etc.]
- Homework 0: Install QSTK
Week 3
- Module 1: Manipulating Data in Python with Numpy
- Video 51: Numpy Part 1
- Video 52: Numpy Part 2
- Video 53: Numpy Part 3
- Module 2: Manipulating Data in QSTK
- Video 171: QSTK Part 1
- Video 172: QSTK Part 2
- Video 173*: QSTK Part 3 [*show how to do major steps for HW1, discuss cached data]
- Module 3: Homework 1: Analyze and Optimize a Portfolio
- Video 181: Homework 1 Overview
- Video 182: Homework 1 Excel example
- Module 4: Interview with Tom Sosnoff
- Video 340: Sosnoff Part 1
- Video 350: Sosnoff Part 2
- Video 360: Sosnoff Part 3
- Homework 1: Create and analyze a portfolio
Week 4
- Module 1: Efficient Markets Hypothesis and Event Studies
- Video 91: Where does information come from? Arbitrage: Difference between real value and market price
- Video 92: 3 Versions of Efficient Markets Hypothesis. Is EMH True?
- Video 93: Event Studies
- Video 94*: Event Studies Code Demo. Homework 2 Defined. (uses old code)
- Module 2: Portfolio Optimization and the Efficient Frontier
- Video 111: Module Objectives and Overview
- Video 112: The Inputs and Outputs of a Portfolio Optimizer
- Video 113: The Importance of Correlation and Covariance (in daily returns)
- Video 114: The Efficient Frontier
- Video 115: How Optimizers Work (In general, not just for portfolios)
Homework 2: Event Studies
Week 5
- Module 1: Digging Into Data
- Video 121: Module Objectives and Overview (Review of the "Correct Answers" to the $5 Event Studies, Survivor Bias)
- Video 122: Actual vs Adjusted Prices (Dividends & Splits)
- Video 123: Data Scrubbing (Checking for Sanity)
- Module 2: Overview of Homework 3
- Video 131: How Next Two Homeworks Fit Together
- Video 132: Specification for Homework 3
- Video 133: Suggestions on Implementation of Homework 3
- Homework 3*: Build a Market Simulator [clean up example data CSVs]
Week 6
- Module 1: Overview of Homework 4
- Video 161: Review of How to Assess Event Study
- Video 162: Overview of Homework 4
- Module 2: The Fundamental Law
- Video 151: Coin Flipping
- Video 152: Fundamental Law Part 1
- Video 153: Fundamental Law Part 2
- Module 3: CAPM for Portfolios: Managing Market Risk
- Video 141: CAPM recap, overview for portfolios
- Video 142: Example use of CAPM for long/short bet removing market risk
- Homework 4: Event Study into Simulator
Week 7
- Module 1: Information Feeds and Technical Analysis
- Video 191: Example Information Feeds
- Video 192: Intro to Technical Analysis
- Video 193: Some Example Technical Indicators
- Video 194: Bollinger Bands
- Homework 5: Implement Bollinger Bands
Week 8
- Module 1: Making a Better Market Simulator
- Commissions
- Market Impact (Slippage)
- Module 2: Brief Introduction to Machine Learning
- Parameterized models
- Instance based models
- Module 3: Arbitrage
- Homework 6: Event Study with Bollinger Bands
- Homework 7: Bollinger Band-based trading
Legacy Assignments
These are assignments that appeared in previous offerings of the course.