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所在平台: Udemy |
课程主页: https://www.udemy.com/course/a-primer-on-quant-trading/
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课程名称：量化交易基础入门 课程概述：本课程强调真实案例和实践经验的结合。每个部分从对逐笔数据的分析和/或数值模拟开始，以帮助我们建立正确方法的直觉。学员可以下载Python脚本和数据样本，立即开始实验。接着，我们根据需要引入理论工具和模型，这些内容总是从基本原理出发，并进行详细的计算，以解决特定问题并深入理解各个方面。我们即将开始深入探索！ 课程内容： 1. 订单簿：统计、动态与建模 - 1.1 订单簿的大小和形状 - 实证观察 - 1.2 订单簿的扩散模型 - 1.3 Bouchaud-Mézard-Potters模型 2. 流动性提供：做市交易与Avellaneda-Stoikov模型 - 2.1 基本做市策略；做市的基本规则 - 2.2 Avellaneda-Stoikov模型 3. 市场影响、价差与流动性 - 3.1 测量交易数据中的市场影响 - 3.2 无反馈的简单市场影响模型 - 3.3 具有反馈的综合模型 4. 最优执行 - 4.1 清算问题：数值实验 - 4.2 无漂移情况：随机控制方法 - 4.3 有漂移情况 此课程适合对量化交易感兴趣的学习者，旨在通过实践和理论的结合，帮助学员构建量化交易的基础知识及应用能力。
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:Order book: Statistics, Dynamics, and Modeling1.1 Book size and shape - empirical observations1.2 Diffusion models of the order book1.3 The Bouchaud-Mézard-Potters modelLiquidity Provision: Market-Making and the Avellaneda-Stoikov Model2.1 A basic market-making strategy; Fundamental rules of market-making2.2 The Avellaneda-Stoikov model Market Impact, Spread, Liquidity3.1 Measuring market impact on trade data3.2 A simple market impact model without feedback3.3 A comprehensive model with feedbackOptimal Execution4.1 The liquidation problem: numerical experiments4.2 The case without drift: a stochastic control approach4.3 The case with drift
