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Lectures plan Lecture 1: Organizational matters, introduction to R. Introduction to quantitative trading, evolution of high-frequency trading, types of high-frequency trading strategies. Characteristics of intra-day data, data sources, working with tick data, data adjustments. Review of the statistical and econometric foundations of the common types of high-frequency strategies: Backtesting and evaluating performance of trading strategies.
Strategies of the highest frequency, with position-holding periods of one minute or less. Portfolio construction, multistrategy portfolios. Factor models and factor based trading strategies. Introduction to R 2. Dealing with time series data of different frequency, frequency conversion, data aggregation, plotting the series. Statistical and econometric analyses - correlation, regression, etc.
Rolling analyses, storing partial results of analyses, loops and own functions. Backtesting of trading strategies, calculating evaluation statistics.
Portfolio construction and evaluation. Students will be able to analyze and aggregate high-frequency time series data. They will know how to prepare and backtest trading strategies, calculate appropriate evaluation statistics and select best performing strategy. In addition, students will be able to indicate successful strategies for different data frequencies.
Assessment of the lecture: Written, open book exam, covering topics discussed during the lectures. Assessment of the lab sections: Trading strategies project prepared in groups of 2 students.
Building and backtesting a trading strategy for 5 series or groups of series — everyone exactly the same of different frequencies. Supplementary literature Admati, A. Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:. Additional information registration calendar, class conductors, localization and schedules of classes , might be available in the USOSweb system:.
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Related to study programmes: Finance, Investments and Accounting, full time, second cycle in English. This course is related to the following study programmes: Finance, Investments and Accounting, full time, second cycle in English Additional information registration calendar, class conductors, localization and schedules of classes , might be available in the USOSweb system: On-line services of the University of Warsaw.
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