Mô tả

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:


  1. Order book: Statistics, Dynamics, and Modeling


    1.1 Book size and shape — empirical observations

    1.2 Diffusion models of the order book

    1.3 The Bouchaud-Mézard-Potters model


  2. Liquidity Provision: Market-Making and the Avellaneda-Stoikov Model


    2.1 A basic market-making strategy; Fundamental rules of market-making

    2.2 The Avellaneda-Stoikov model


  3. Market Impact, Spread, Liquidity


    3.1 Measuring market impact on trade data

    3.2 A simple market impact model without feedback

    3.3 A comprehensive model with feedback


  4. Optimal Execution


    4.1 The liquidation problem: numerical experiments

    4.2 The case without drift: a stochastic control approach

    4.3 The case with drift



Bạn sẽ học được gì

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

Yêu cầu

  • Basic Python
  • Calculus

Nội dung khoá học

4 sections

Order Book: Statistics, Dynamics, and Modeling

3 lectures
Book size and shape — empirical observations
12:03
Diffusion models of the order book
53:08
The Bouchaud-Mézard-Potters model
35:42

Liquidity Provision: Market Making and the Avellaneda-Stoikov Model

2 lectures
A basic market-making strategy
30:32
The Avellaneda-Stoikov Model
50:14

Market Impact, Spread, Liquidity

3 lectures
Measuring market impact on trade data; a simple model w/o feedback
16:30
A comprehensive model with feedback
24:00
Permanent market impact – the general case
35:44

Optimal Execution

3 lectures
The liquidation problem: numerical experiments
16:36
The case without drift: a stochastic control approach
18:51
The case with drift
30:25

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