Description: Covers the practical aspects of the analytics of finance from the perspective of a quantitative investment manager. Develops stochastic processes, option pricing, investment strategies, backtest simulation, data and computational architecture, portfolio construction, trading implementation, and risk management within the context of a specific quantitative trading strategy. Study of these topics follows the natural sequence of research, development, testing, and implementation. Emphasizes financial applications, but also covers mathematical and statistical techniques in some depth, along with their computational implementation in software and the use of real-world market data.
Course #: 15.460
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