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A Primer on Quant Trading
Rating: 4.5 out of 5(157 ratings)
2,096 students

A Primer on Quant Trading

Everything you need to know to get started as a quant trader
Created byJerome Busca
Last updated 1/2024
English

What you'll learn

  • Learn the fundamentals of quantitative trading
  • Analyze liquidity and market impact from tick data
  • Understand optimal execution of orders
  • Master the mathematical foundations of quant trading

Course content

4 sections • 11 lectures • 5h 23m total length

  • Book size and shape — empirical observations12:03

    Let’s learn from the data some fundamental facts about the order book

  • Diffusion models of the order book53:08

    We review two classic models of the order book dynamics and fit them to the data

  • The Bouchaud-Mézard-Potters model35:42

    We’ll discuss the intuition behind the standard Bouchaud-Mézard-Potters model of the order book, along with a complete derivation of the formulas, and a calibration to the data

Requirements

  • Basic Python
  • Calculus

Description

In this course, we put a definite emphasis on real-world cases and hands-on experience. Each section starts with an analysis of tick data and/or a numerical simulation, from which we develop an intuition for what the right approach should be. You get to download the Python scripts and data samples, and start experimenting with them right away.

Then, we introduce theoretical tools and models as needed -- always explained from first principles and fully worked-out computations -- in order to solve the particular problem studied in the section and get a deeper understanding of all its aspects.

Let’s dive right in! 

Contents:


  1. Order book: Statistics, Dynamics, and Modeling


    1.1 Book size and shape — empirical observations

    1.2 Diffusion models of the order book

    1.3 The Bouchaud-Mézard-Potters model


  2. Liquidity Provision: Market-Making and the Avellaneda-Stoikov Model


    2.1 A basic market-making strategy; Fundamental rules of market-making

    2.2 The Avellaneda-Stoikov model


  3. Market Impact, Spread, Liquidity


    3.1 Measuring market impact on trade data

    3.2 A simple market impact model without feedback

    3.3 A comprehensive model with feedback


  4. Optimal Execution


    4.1 The liquidation problem: numerical experiments

    4.2 The case without drift: a stochastic control approach

    4.3 The case with drift



Who this course is for:

  • Students in science or finance programs
  • Developers / Quants who want to branch out into, or learn more about, quant trading
  • Anyone who’s curious about the foundations of systematic, quant trading

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