Laboratory of Quantitative Trading
A.Y. 2020/2021
Learning objectives
Undefined
Expected learning outcomes
Undefined
Lesson period: Third trimester
Assessment methods: Giudizio di approvazione
Assessment result: superato/non superato
Single course
This course cannot be attended as a single course. Please check our list of single courses to find the ones available for enrolment.
Course syllabus and organization
Single session
Lesson period
Third trimester
Course syllabus
PART 1 - INTRODUCTION TO MODERN MARKETS
A modern approach to investments and trading: computer-based strategies. Meaning, risks and opportunities
How to choose what to trade and why: fundamental analysis vs technical analysis
How to properly manage trades: risk management, profit management, money management
Instruments available: a short outline
The magics of modern finance: leverage and short selling
PART 2 - FINANCIAL INSTRUMENTS
How stocks are traded: opening auctions, continuous phase, closing auction
The negotiation book
Order types: market, limit, conditional, multi-conditional, valid till date, fill or kill, iceberg
PART 3 - QUANTITATIVE TRADING STRATEGIES
What is quantitative trading and why is it important
The tools of quantitative trading: Microsoft Excel, Metastock, Multicharts
The phases of quantitative trading
Pros and cons of quantitative trading
Coding of a strategy
Backtesting of a strategy
Optimization of a trading strategy
Evaluation of a trading strategy
A modern approach to investments and trading: computer-based strategies. Meaning, risks and opportunities
How to choose what to trade and why: fundamental analysis vs technical analysis
How to properly manage trades: risk management, profit management, money management
Instruments available: a short outline
The magics of modern finance: leverage and short selling
PART 2 - FINANCIAL INSTRUMENTS
How stocks are traded: opening auctions, continuous phase, closing auction
The negotiation book
Order types: market, limit, conditional, multi-conditional, valid till date, fill or kill, iceberg
PART 3 - QUANTITATIVE TRADING STRATEGIES
What is quantitative trading and why is it important
The tools of quantitative trading: Microsoft Excel, Metastock, Multicharts
The phases of quantitative trading
Pros and cons of quantitative trading
Coding of a strategy
Backtesting of a strategy
Optimization of a trading strategy
Evaluation of a trading strategy
Prerequisites for admission
None
Teaching methods
Lectures (face to face or remotely, depending on the indications provided by the Department). Use of slides, stock market data analysis programs, trading platforms to visualize the real functioning of financial markets.
Teaching Resources
Professor's slides
Assessment methods and Criteria
Students will have to write a short paper according to instructions and objectives that will be pointed out during the course.
SECS-P/11 - FINANCIAL MARKETS AND INSTITUTIONS - University credits: 3
Laboratory activity: 20 hours
Professor:
Dall'olio Domenico