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Introduction to Systematic Investment Strategies

This seminar has been cancelled!

 

Seminar

taught by Dr. Sergey Perminov, Konstantin Andreyev

 

Content                          

This course is teaching students design and implement systematic investment strategies, which were long restricted to hedge funds and investment banks:

  • learn, design and program a modern systematic investment algo to capture market's inefficiencies,
  • use the secret weapon used by Wall Street to incorporate volumes of data, test strategies, conquer emotional biases, and beat the market,
  • learn to utilize Quantopian platform which provides end-to-end support for algorithmic investing, including algorithm writing, backtesting with a database of 12 years of historical & fundamental data, forward testing with live data, paper trading,
  • learn to evaluate, optimize and pick the best algo based on various backtest characteristics.
     
Using the Quantopian platform:
  • get access to the tools, capabilities and community you need to create and optimize your own trading algorithms in an open and transparent environment,
  • put those algorithms to work in the simulated historical trading.


You will be able to engage in a community where people can discuss concepts, processes and performance and learn from peers and experts. The result is a better way to understand design and function of systematic models.

Community: Quantopian is built around a community of more than 130.000 members. The members include finance professionals, scientists, developers, and students from more than 180 countries from around the world. These quants teach, advise, and help each other every day.

Python: Algorithms in Quantopian are written in Python. The Python language is ubiquitous in the tech and academic world today, and is not a proprietary, niche language only used for trading.
 

Weekly DateMondays, 12-2pm, virtual
 
First Meeting
November 2nd, 2020 - virtual
 
LanguageEnglish
 
ECTS4 as Seminar or 6 as Topics Course
 
Exam

The course can be taken as a standalone seminar (4 ECTS) or (by the students of the M.Sc. Economics) as a topics course (6 ECTS). In the seminar students will learn how to use quantopian platform to analyze investment problems, create algos and backtest them. The participants will move step by step and every week will be given a small task to complete. At each meeting, randomly selected students will present their work, telling fellow students how they approached the problem, what were the challenges and how it was solved. Students are encouraged to ask questions and discuss relevant points and challenges they are facing in order to improve mutual learning. Students will communicate online and offline with the project supervisors (Beneficious Investment Management) and other students on project-related issues.

Students wishing to earn extra credits, can take the course in the form of a topics course. This will require the same steps as the seminar as well as completion of an individual research based on learned techniques in the seminar. Individual research will be about exploring the real world phenomena, creating bespoke investment strategy, backtest and optimizing it.

 

Credit

The course is open for students of  M.Sc. Economics,  M.Sc. VWL as well as M.Sc. Mathematik.

In M.Sc. Economics, the topics course can be credited in the profile "Finance" and "ISNE".

In M.Sc. VWL, the course can be credited in Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/15 onwards).

Students of M.Sc. Mathematik can credit this course as an elective in economics (wirtschaftswissenschaftliches Wahlpflichtmodul) within the profile "Finanzmathematik.


Application

The number of participants for this seminar is limited. Applications for the seminar in the winter term 2020/21 can be send until October 25th, 2020. Please send your application attached with:

  • Overview of credit points,
  • student ID number,
  • Course of studies/Year of study
     

at our secretariat.

RegistrationA final registration is made after the first appointment by filling out and signing the registration form. If less than 10 students register for this seminar, we reserve the right to cancel the seminar.

 

 

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