This introduction to financial trading strategies will focus on stock and equity markets as well as the use of statistical arbitrage methods. Particular emphasis will be on developing, automating and evaluating models that reflect market and behavioral patterns. This course will balance between learning and practicing theory for practical application to realistic trading and strategy problems.
- Methodologies related to high frequency data and stylized facts on asset returns
- Dynamic trade planning with feedback
- Momentum strategies
- Pairs trading
STATS240P or equivalent