15.4871 Algorithmic Trading and Quantitative Investment Strategies


Class Info

Covers practical aspects of analytics in finance from the perspective of a quantitative investment manager. Develops understanding of stochastic processes, option pricing, investment strategies, backtest simulation, data and computational architecture, portfolio construction, trading implementation, and risk management within the context of specific quantitative trading strategies. Follows natural sequence of research, development, testing, and implementation. Emphasizes financial applications, but also covers mathematical and statistical techniques in some depth, along with their computational implementation in software and the use of real-world market data. Meets with 15.487 when offered concurrently. Expectations and evaluation criteria for graduate students will differ from those of undergraduates; consult syllabus or instructor for specific details.

This class has 15.401, 15.414, and 15.415 as prerequisites.

15.4871 will be offered this semester (Spring 2018). It is instructed by .

This class counts for a total of 9 credits.

You can find more information at the Course 15 Undergraduate Programs site.

MIT 15.4871 Algorithmic Trading and Quantitative Investment Strategies Related Textbooks
MIT 15.4871 Algorithmic Trading and Quantitative Investment Strategies On The Web
Course 15 Undergraduate Programs

© Copyright 2015