Trading Algorithms

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Indian School of Business

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This course covers two of the seven trading strategies that work in emerging markets. The seven include strategies based on momentum, momentum crashes, price reversal, persistence of earnings, quality of earnings, underlying business growth, behavioral biases and textual analysis of business reports about the company. In the first part of the course, you will learn how to read an academic paper. What parts to pay attention to and what parts to skim through will be discussed here. For every strategy, first you will be introduced to the original research and then how to implement the strategy. The first strategy, Piotroski F -score will be discussed in detail. You will be taught how to calculate the F - Score and how to use this score in a strategy. This is followed by the next strategy, Post earnings announcement drift (PEAD).

交易算法:本课程涵盖了新兴市场中适用的七个交易策略中的两个。这七个策略包括基于动量,动量崩溃,价格反转,收益持续性,收益质量,基本业务增长,行为偏见以及有关公司业务报告的文本分析的策略。 在课程的第一部分,您将学习如何阅读学术论文。这里将讨论哪些部分要注意,哪些部分要略过。对于每种策略,首先将向您介绍原始研究,然后介绍如何实施该策略。 第一种策略,Piotroski F -score将详细讨论。将指导您如何计算F分数以及如何在策略中使用此分数。接下来是下一个策略,即盈余公告漂移(PEAD)。

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