This course introduces students to quantitative trading systems development.
Includes an overview of financial markets, instruments, exchanges, and the electronic trading process. Students will then us a paper trading account with Interactive Brokers (http://www.interactivebrokers.com) to explore electronic trading of stocks, futures, and ETFs. After this preliminary material, students will learn to use the R language for statistical computing (http://www.r-project.org) to develop, evaluate, backtest, and optimize quantitative trading strategies using the R packages xts, quantmod, blotter, quantstrat, and PerformanceAnalytics.
- Asset classes, financial instruments, and trade orders
- Direct access trading and market microstructure
- Interactive Brokers, Traders Workstation, and the IB Student Trading Lab
- Quantitative trading strategy development with the TradeStation Platform
- Quantitative trading strategy with R and the quantstrat package
- Trading strategy evaluation, optimization, and backtesting