|
課程名稱 |
演算交易策略、套利及高頻交易
Algorithmic Trading Strategies, Arbitrage and HFT |
|
開課學期 |
101-2 |
|
授課對象 |
管理學院 財務金融學研究所 |
|
授課教師 |
何思特 |
|
課號 |
Fin5043 |
|
課程識別碼 |
723EU5660 |
|
班次 |
|
|
學分 |
3 |
|
全/半年 |
半年 |
|
必/選修 |
選修 |
|
上課時間 |
星期二6,7,8,A,B,C(13:20~21:05) |
|
上課地點 |
|
|
備註 |
本課程以英語授課。於教研館207室上課。上課時間：13：00-19：00。週二單週上課。與雲普華夫合開
限學士班三年級以上
總人數上限：60人 |
|
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1012Fin5043 |
|
課程簡介影片 |
|
|
核心能力關聯 |
核心能力與課程規劃關聯圖 |
|
課程大綱
|
|
為確保您我的權利,請尊重智慧財產權及不得非法影印
|
|
課程概述 |
The course will provide a theoretical framework for algorithmic trading by discussing the development of trading algorithms and highlighting several actual arbitrage strategies. Further emphasis will be given to the High Frequency Trading aspect of such strategy (including infrastructural requirements).
Furthermore, the course will contain a significant practical component (assignment) in which the students will build an Algorithmic Trading Strategy from the ground up: from strategy definition and backtesting of the idea, all the way to coding of the strategy in RTS Tango (an market practice Algorithmic Trading Tool) and executing trades in a real-time trading session. |
|
課程目標 |
-Insight into the various execution algorithms as applied by the ‘buy-side’
-Insight into (equity) market micro-structure
-Insight into various arbitrage strategies:
oDual listings
oADR Arbitrage
oETF Arbitrage
oFuture/Basket Arbitrage
oSpread-trading
-Insight into real-life trading and scripting tool RTS Tango
-Insight into practical strategy building and execution
oBacktesting
oScripting
oExecution Logic
oRisk Management
|
|
課程要求 |
|
|
預期每週課後學習時數 |
|
|
Office Hours |
|
|
指定閱讀 |
|
|
參考書目 |
|
|
評量方式
(僅供參考) |
|
|
週次 |
日期 |
單元主題 |
|
Week 1 |
|
Introduction lesson –Trading Lab (half session) (教研館207室)
• Introduction to the Course
• Introduction to Markets
• Introduction to Algorithmic Trading
Covered literature: Chapters 1-3, ‘DMA’ |
|
Week 3 |
|
Trading Lab (教研館207室)
• Algorithmic Trading
o Overview and Evolution of Agency trading algorithms
• Various Trading Strategies
o Pairs Trading
o ADR Arbitrage
o ETF Arbitrage
Covered literature: Chapters 4-7, ‘DMA’; Chapter 13 ‘DMA’ |
|
Week 5 |
|
Trading Lab (教研館207室)
• Trading Exercise in CQG I
o Executing agency orders
• Scripting in RTS Tango
• Trading Exercise in CQG II
o Pairs trading: Students vs Algorithm
• Personal Assignment introduction
Covered literature: Chapters 8 -10, ‘DMA’ |
|
Week 8 |
|
Trading Lab (教研館207室)
• Discussion Personal Assignment
• Scripting in Tango
o Examples of guidelines for an automated script
o Debugging
• High Frequency Trading
o Future Trading / Dual Listings
o Reverse Weighted Spot
o Future / Basket Arbitrage
• Description of the Group Assignment
• Theory: Data Analysis, Backtesting and Statistical Arbitrage |
|
Week 10 |
|
Trading Lab (教研館207室)
• Theory: trading infrastructure
• Managing a Trading Strategy
o Risk management
o Execution management
o Multi-legged strategies
• Group Assignment: project discussion |
|
Week 12 |
|
Trading Lab (教研館207室)
• Q & A session with Wouter
• Scripting in Tango |
|
Week 14 |
|
Trading Lab (教研館207室)
• Final dry-run and preparations
• Trading Simulation |
|
Week 16 |
|
Trading Lab (教研館207室)
• Presentation of results per group |
|