Everything you need to know to get started as a quant trader
In this course, we put a definite emphasis on real-world cases and hands-on experience. Each section starts with an analysis of tick data and/or a numerical simulation, from which we develop an intuition for what the right approach should be. You get to download the Python scripts and data samples, and start experimenting with them right away.
What you’ll learn
- Learn the fundamentals of quantitative trading.
- Analyze liquidity and market impact from tick data.
- Understand optimal execution of orders.
- Master the mathematical foundations of quant trading.
Course Content
- Order Book: Statistics, Dynamics, and Modeling –> 3 lectures • 1hr 41min.
- Liquidity Provision: Market Making and the Avellaneda-Stoikov Model –> 2 lectures • 1hr 21min.
- Market Impact, Spread, Liquidity –> 3 lectures • 1hr 16min.
- Optimal Execution –> 3 lectures • 1hr 6min.
Requirements
In this course, we put a definite emphasis on real-world cases and hands-on experience. Each section starts with an analysis of tick data and/or a numerical simulation, from which we develop an intuition for what the right approach should be. You get to download the Python scripts and data samples, and start experimenting with them right away.
Then, we introduce theoretical tools and models as needed — always explained from first principles and fully worked-out computations — in order to solve the particular problem studied in the section and get a deeper understanding of all its aspects.
Let’s dive right in!
Contents:
- Order book: Statistics, Dynamics, and Modeling1.1 Book size and shape — empirical observations
1.2 Diffusion models of the order book
1.3 The Bouchaud-Mézard-Potters model
- Liquidity Provision: Market-Making and the Avellaneda-Stoikov Model2.1 A basic market-making strategy; Fundamental rules of market-making
2.2 The Avellaneda-Stoikov model
- Market Impact, Spread, Liquidity3.1 Measuring market impact on trade data
3.2 A simple market impact model without feedback
3.3 A comprehensive model with feedback
- Optimal Execution4.1 The liquidation problem: numerical experiments
4.2 The case without drift: a stochastic control approach
4.3 The case with drift