Quantitative Trading: Algorithms, Data and Optimization

STATS244P

Stanford School of Engineering


Description

As technology has evolved, so has the challenge in developing trading strategies. This course provides a computational overview of active portfolio management and dynamic investment strategies made possible through high frequency, algorithmic and automated trading.

Prerequisites

STATS240P or equivalent

Topics include

  • Algorithmic trading, informatics and optimal execution
  • Data analytics and models of transactions data
  • Limit order book dynamics in electronic exchanges
  • Market making and inventory control
  • Risk management and regulatory issues
  • Statistical trading rules and performances evaluation