Quantitative Strategies and Algorithmic Trading
GSM MF 820
In an increasing era of computerized trading, quantitative strategies are handling an ever greater share of market trading. This course details the use of quantitative methods in the development and implementation of trading strategies in the equity and debt markets with focus on both the market-making and proprietary trader perspectives. Both end-of-day and intraday strategies will be discussed with emphasis on the development, back testing methodology, and performance attribution of any strategy. Students will be grouped into market making and proprietary trading teams with the goal of generating positive P&L against each other.