Quality Seal Emagister EMAGISTER CUM LAUDE

Quantitative Investment Strategies

London Financial Studies
En London (Inglaterra)

£ 2.790 - (3.324 )
+ IVA

Información importante

  • Short course
  • London (Inglaterra)
  • Duración:
    2 Days
  • Cuándo:
    A elegir
Descripción

Quantitative investment strategies are technology intensive techniques covering a broad investment spectrum ranging from systematic managed futures and algorithmic strategies to high frequency trading. These investment strategies have grown in importance to represent in excess of 60% of the aggregate volume traded on certain developed markets exchanges in 2013.

This course gives participants a comprehensive overview of a fast growing area at the forefront of financial innovation as well as a framework for the application and assessment of quantitative investment strategies.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Portfolio managers & traders
Investment officers
Strategists
Risk managers
Auditors, compliance and regulators
Quants and IT personnel

Requisitos: An understanding of stochastic calculus and MATLAB/C++ is preferred, but not necessary to follow this course.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
London
34 Curlew Street, se12nd, London, Inglaterra
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¿Qué aprendes en este curso?

Risk
Risk Management
Algorithmic Trading
Trading
Market
Investment
Testing
Technology
IT risk
Market Liquidity
Matlab
Algorithmic
Beta
Investment Strategies
Splitting Alpha
ULLDMA
DMA
SMA
HFT strategies

Temario

Day One

Quantitative investment strategies overview
  • Identifying new sources of alpha
  • The variety of QIS: CTA, event trading and deviations arbitrage
  • Time series analysis
  • Arms race in technology
Building & testing an algorithmic trading strategy
  • Mean reversion and momentum in finance
  • Stationarity, co integration and factor models
  • Statistical significance hypothesis testing
  • MATLAB basics
  • Data mining pitfalls
Workshops:
  • Decomposing an algorithmic trading strategy
  • Identifying drivers in a time series
  • Assessing statistical significance
  • Strategy backtesting
  • Defining portfolio rebalancing rules
  • Setting risk limits
Implementing quantitative investment strategies
  • Portfolio construction
  • Portfolio optimization through Bayesian techniques and Black Litterman model
  • Transaction costs and trade execution
  • Risk management
Using quantitative strategies for hedging purposes
  • Defining and monitoring 3 sigma events
  • Limitations of price log normality assumption
  • Cross asset correlation in non normal market conditions
  • Systematic tail risk hedging
Workshops:
  • Assessing tail risk hedging strategies by asset class
  • Building a simple S&P put spread strategy
  • Determination and optimization of the strategy’s cost of carry
Day Two

Splitting Alpha and Beta in Quantitative Investment Strategies
  • Limits of traditional indexing
  • Fundamental factor based Smart Beta indices
  • Risk controlled indices
Implementing Smart Beta Strategies
  • Picking the right asset class and market
  • Strategy induced technical challenges
  • Managing implementation risks
Workshops:
  • Analysis of a Smart Beta index
  • Comparing the risks and returns of smart beta indices against traditional investment benchmarks
  • Devising an index based Smart Beta investment strategy
  • Liquidity and transaction costs management in Smart Beta strategies
High Frequency Trading (HFT)
  • Overview of the HFT world
  • Understanding HFT strategies
  • ULLDMA and co location
  • Real time risk management of HFT strategies
Challenges raised by algorithmic trading strategies
  • Algorithmic trading testing markets safeguards
  • The impact of algorithmic trading on transactions costs and market liquidity
  • Computerized trading in the MiFID and MAD environment
Workshops:
  • Understanding how a HFT platform operates
  • Order placement and execution (DMA/SMA)
  • Latency reduction techniques
  • Services offered by exchanges