课程题目：Quantitative trading strategies（定量交易策略）

课程安排：

主 讲 人： Raja P.Velu美国雪城大学惠特曼管理学院教授，1969年毕业于印度统计学院生物统计专业，1983年获威斯康星大学统计学博士学位，现任教于雪城大学，并担任雅虎研究院顾问，Blackthorne Capital顾问，Journal of Data Science期刊联合主编等职。Raja教授曾担任美国统计协会商业与经济统计分部2003联会项目主席，斯坦福大学统计系、新加坡国立大学商学院以及印度商学院客座教授。主要研究领域包括算法交易和量化策略，高频数据分析，金融计量经济，商业分析，数据挖掘，多元方法，时间序列分析与预测，拍卖计量方法，市场调查，扫描数据分析等。代表著作包括《Multivariate Reduced-Rank Regression-Theory and Applications》《Algorithmic Trading and Quantitative Strategies》 ；在北美核心刊物发表《Resilience for Industries in Unpredictable Environments: You ought to be like movies》 ；《Volume and Volatility in a Common Factor Mixture Model》等学术论文数十篇，获“Providing Time-Sensitive Information for Purchase Determinations”等4项研究专利。

课程摘要： This course is an introduction to nancial trading strategies based on methods of Statistical arbitrage. Topics include methodologies related to high frequency data, momentum strategies, pairs trading, and technical analysis, models of order book dynamics and multi-exchange order placement and routing and dynamic-trade planning with feedback. Emphasis is on developing, automating and empirically evaluating the models that reect the market and behavioral patterns. The course will be balanced between theory and practice with a sucient theory to understand practical applications. Although the methodologies could be applied to various nancial markets, the course will mostly focus on stock and equity markets.