Description: Case studies from the foreign exchange and fixed income markets will focus on a variety of practical quantitative methods that can be used in these and other capital markets for data analysis, forecasting, risk management and trading.
The course will combine a strongly empirical and data-driven approach to these markets, along with mathematical and statistical methods and ideas from the foundations of modern finance theory. Starting with basic ideas we will progress into more sophisticated modeling techniques; a familiarity with linear algebra and multivariate statistics will be useful.
After an overview of how foreign exchange and fixed income markets function, we will use techniques of exploratory data analysis to become familiar with statistical time series data from these markets. Using classic themes of value, momentum and carry as “theoretical laboratories,” we will explore methods for modeling return and risk forecasts. Also within this context we will explore techniques for portfolio construction and trading.
Course #: 15.S25
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