Algorithmic trading is now widely utilized in the worldwide financial market. This lecture is about that. I will narrate the microstructure of investments and trading from rather a practitioner's point of view, and then examine the mathematical techniques used there one by one.
Students are expected to learn what sort of mathematical techniques are used through examples about alpha identification, strategy building and system integration in the real financial markets.
・Understand algorithmic trading in a practical way
・Understand mathematical techniques used in alpha integration and strategy building
・Understand techniques required when building automatic trading systems
algorithmic trading, high-frequency trading, alpha
|✔ Specialist skills||Intercultural skills||Communication skills||Critical thinking skills||Practical and/or problem-solving skills|
This is a standard lecture course. There will be some assignments.
|Course schedule||Required learning|
|Class 1||・Market micro structure||Details will be provided during each class|
|Class 2||・Mathematics of strategies||Details will be provided during each class|
|Class 3||・Mathematics of alpha||Details will be provided during each class|
|Class 4||・Mathematics behind some financial events||Details will be provided during each class|
|Class 5||・ Related topics||Details will be provided during each class|
Adachi, T., "Algorithmic Trading", Asakura, ISBN978-4-254-27584-1 (in Japanese)
None in particular