The industry landscape of investment, trading, and risk management has been revolutionized by computing technologies, data science, and quantitative finance. To progress in tandem with these changes in the industry, the topics covered in this course include Alternative ETF Construction, Market Microstructure, and Algorithmic Trading.
In addition to mathematical modeling, an important part of this course is the practical aspect: computational implementations with statistical tests. Given that implementation and test procedures are involved, this quantitative finance course is algorithmic and hands-on in nature.
Topic 1: Introduction Indexes
Topic 2: Random Walks and Variance Ratio Tests
Topic 3: Event Study
Topic 4: Asset Pricing Models
Topic 5: Principal Component Analysis
Topic 6:
Topic 7: Introduction to Market Microstructure
Topic 8: The Roll Model of Trade Prices
Topic 9: Kyle's Model
Topic 10: Algorithmic Trading
Topic 11: Price Impact