FINANCE 362: Financial Trading Strategies
The purpose of this course is to familiarize students with the different types of trading strategies employed by hedge funds. Throughout the sessions, students will be challenged to understand and explore the application and implementation of these different strategies. Trading simulations employed on the Rotman Interactive Trader will be used extensively in this course as a way to learn and test different strategies. All classes will be held in the Real-time Analytics and Investment Lab (RAIL), located on the third floor of the Bass Building (B312). Students are expected to attend all sessions. Grades are based on in-class simulation results, class participation, and two written assignments.
Terms: Spr
| Units: 3
Instructors:
Mak, K. (PI)
STATS 362: Topic: Monte Carlo
Random numbers and vectors: inversion, acceptance-rejection, copulas. Variance reduction: antithetics, stratification, control variates, importance sampling. MCMC: Markov chains, detailed balance, Metropolis-Hastings, random walk Metropolis,nnindependence sampler, Gibbs sampling, slice sampler, hybrids of Gibbs and Metropolis, tempering. Sequential Monte Carlo. Quasi-Monte Carlo. Randomized quasi-Monte Carlo. Examples, problems and motivation from Bayesian statistics,nnmachine learning, computational finance and graphics. May be repeat for credit.
Last offered: Winter 2020
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