FIN 554

Credit: 4 hours.

Provides a detailed research process and tools for replicating, assessing, conceptualizing, and developing systematic trading strategies. Students will apply their knowledge in hands-on projects to replicate and evaluate existing research and to create and evaluate a new strategy model. Students will use the R Language for Statistical Computing and Graphics to replicate academic research and evaluate the claims made in papers. Students will also construct a non-trivial strategy from scratch, evaluate the power of each of its components, and examine the likelihood of overfitting. Projects are designed to mimic as closely as possible the day-to-day research activities of working strategy quants, so that students will have practical experience building, testing, and evaluating quantitative models.

4 graduate hours. No professional credit. Credit is not given if student received credit in FIN 580 FIN 580 Basics of Trading Algorithm Design CRN 46818 and/or FIN 580 Analysis and Testing of Trading Algorithms CRN 46819. Prerequisite: Restricted to students in the MSFE Program.