Algorithmic Trading Workshop
21 & 22 March 2016
Algorithmic Trading Workshop
Program Overview
We have designed the following syllabus of subjects to cover. The syllabus would be covered in 2 full-day (8 hr) sessions. Each session would consist of approximately 4 hours of lectures and 4 hours of hands-on exercises. We have found that relaxed hackathon style contests work well at engaging the audience, and will use those for many of the exercises. Content will be sourced from the Quantopian Lecture Series. All lectures will be taught using a combination of Python and IPython.
Target Audience
- Students/Professionals with experience in mathematical and/or technical backgrounds
- Experts in quantitative finance wishing to learn how their knowledge can be implemented in Python and/or the Quantopian Platform
Program Schedule
Day 1
9 AM -10 AM Introduction to Algorithmic Trading
10 AM - 11 AM Overview of Quantopian Platform
11 AM - 11:30 AM Exercise: Backtesting
11:30 AM -12 PM Lecture: Pair Trading
12 PM - 1 PM Lunch
1 PM - 3 PM Exercise: Find your own pairs
3 PM - 4 PM Lecture: Overfitting
4 PM - 5 PM Exercise: Finding Examples of Overfit Strategies
Day 2
9 AM - 10 AM Algorithm Development Lifecycle: Research, Backtest, Statistical Validation
10 AM - 11 AM Lectures: Linear Regression, Beta Hedging, Risk Factor Exposure
11 AM - 12 PM Exercise: Analyze Exposure of an Algorithm
12 PM - 1 PM Lunch
1 PM - 2 PM Lectures: Ranking Universes by Factors, Long-Short Equity
2 PM - 4 PM Exercise: Design your own Long-Short Strategy
4 PM - 5 PM Wrap-up and Questions
Speakers
Delaney Granizo-Mackenzie
Program Date
21 to 22 March 2016
Program Fee
S$2,800 (subject to 7% GST)
Discount
We are pleased to offer the following discounts (either one)
- 15% discount for signups before 21 February 2016 (1 month ahead of workshop)
- 15% discount for signups of a group of 3 or more
Each participant who successfully completes the workshop will receive NUS RMI Certificate.
Testimonials
Pavlos Protopapas, Director at Harvard IACS
"Delaney can explain complex concepts clearly and thoroughly. Students and scholars are able to understand quantitative finance concepts through his lectures. These lectures are examples for future speakers in our program."
Victoria Averbukh, Cornell Financial Engineering Manhattan
"The Quantopian workshop offered real value to our students. It engaged them in thinking of various aspects of quantitative trading strategies and taught them to code and backtest their models. All of that was done in a classroom setting where learning and interaction was key."
Registration
For enquiry, please contact Ms Jaslin Chong at Tel: 6516 8497 or Email: rmicsh@nus.edu.sg