Description: This course explores parts of the world of quantitative investment management, including alpha models and data analysis, risk management, portfolio construction and trading, and some of the limitations of a quantitative approach. We will do this by focusing primarily on foreign exchange and fixed income markets, although we may include some examples from equity andcommodity markets. The alpha models we will study in these markets will be organized as case studies employing value / mean-reversion, momentum, and carry strategies. The course will be very empirical and will constantly use market and economic data to challenge our theoretical formulations and sharpen our tools for quantitative portfolio management. Problem sets and team projects will involve writing Matlab code to solve practical problems that you would face in building and running a quantitative hedge fund employing the above strategies.
Course #: 15.495
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