Quantitative Strategies. High Frequency Data 2400-QFU2FEC
Lecture 1: Organizational matters, introduction to R.
Lecture 2: Introduction to quantitative trading, evolution of high-frequency trading, types of high-frequency trading strategies.
Lecture 3: Characteristics of intra-day data, data sources, working with tick data, data adjustments.
Lecture 4: Review of the statistical and econometric foundations of the common types of high-frequency strategies: linear regressions.
Lecture 5: Review of the statistical and econometric foundations of the common types of high-frequency strategies: time series.
Lecture 6: Backtesting and evaluating performance of trading strategies.
Lecture 7: Strategies of the highest frequency, with position-holding periods of one minute or less.
Lecture 8: Market microstructure models.
Lecture 9: "Event arbitrage" strategies.
Lecture 10: Statistical arbitrage strategies.
Lecture 11: Portfolio construction, multistrategy portfolios.
Lecture 12: Factor models and factor based trading strategies.
Lecture 13: Execution systems.
Lecture 14-15: Students' presentations.
1. Introduction to R
2. Dealing with time series data of different frequency, frequency conversion, data aggregation, plotting the series.
3. Statistical and econometric analyses - correlation, regression, etc.
4. Rolling analyses, storing partial results of analyses, loops and own functions.
5. Backtesting of trading strategies, calculating evaluation statistics.
6. Portfolio construction and evaluation.
7. Students' presentations.
Type of course
Students will be able to analyze and aggregate high-frequency time series data. They will know how to prepare and backtest trading strategies, calculate appropriate evaluation statistics and select best performing strategy. In addition, students will be able to indicate successful strategies for different data frequencies.
KW01, KW02, KU01, KU02
Assessment of the lecture:
Written, open book exam, covering topics discussed during the lectures.
Assessment of the lab sections:
Trading strategies project prepared in groups of 2 students. Building and backtesting a trading strategy for 5 series (or groups of series – everyone exactly the same) of different frequencies.
100 points will be given for:
- presentation in class: 20 pts,
- written report: 40 pts,
- best results (ranking): 40 pts (max. 8 pts. per each series – 8 if returns in top quartile group, 6 if 2nd, 4 if 3rd and 2 if in lowest 25%).
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Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
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