Module 2

Systematic Trading

Course overview

The module “Systematics Trading” will introduce the design and deployment of systematic trading strategies used by hedge funds and other “smart money". For these, the first key ingredient are return predictions, e.g., extracted from past prices, trades, and quotes using Machine Learning methods. The second ingredient is a price impact model that quantifies the trading costs of the strategy and allows to backtest whether “paper profits” survive in the actual trading. The course will provide a hands-on introduction to both tasks.    

Learning outcomes 

For delegates who have successfully completed the course, the learning outcomes will be:  

• Design and deploy statistical models for the prediction of asset returns. 

• Implement, calibrate and leverage price impact models. 

• Combine return predictions and price impact models to build and backtest systematic trading strategies.