A Primer on Quant Trading
Please check out my new course, now available on Udemy!
Please check out my new course, titled A Primer on Quant Trading , now available on Udemy!
In this course, we put a definite emphasis on real-world cases and hands-on experience. Each section starts with an analysis of tick data and/or a numerical simulation, from which we develop an intuition for what the right approach should be. You get to download the Python scripts and data samples, and start experimenting with them right away.
Then, we introduce theoretical tools and models as needed -- always explained from first principles and fully worked-out computations -- in order to solve the particular problem studied in the section and get a deeper understanding of all its aspects.
5h+ hours of video, 75 slides, and 1200+ lines of python!
Let’s dive right in!
Contents:
1. Order book: Statistics, Dynamics, and Modeling
1.1 Book size and shape — empirical observations
1.2 Diffusion models of the order book
1.3 The Bouchaud-Mézard-Potters model
2. Liquidity Provision: Market-Making and the Avellaneda-Stoikov Model
2.1 A basic market-making strategy; Fundamental rules of market-making
2.2 The Avellaneda-Stoikov model
3. Market Impact, Spread, Liquidity
3.1 Measuring market impact on trade data
3.2 A simple market impact model without feedback
3.3 A comprehensive model with feedback
4. Optimal Execution
4.1 The liquidation problem: numerical experiments
4.2 The case without drift: a stochastic control approach
4.3 The case with drift
What you’ll learn:
Learn the fundamentals of quantitative trading
Analyze liquidity and market impact from tick data
Understand optimal execution of orders
Master the mathematical foundations of quant trading