Começou ontem, 26.08.2013, o curso gratuito Computational Investing na plataforma do Cousera. Além de abordar conceitos to mercado financeiro, o curso ensinará métodos de manipulação de dados utilizando Phyton e a biblioteca numpy. Para quem sem interessa pelo mercado financeiro e por python, parece valer muito a pena. Eu já estou acompanhando o curso e estou gostando muito.
Segue abaixo o cronograma para as 8 semanas. Você pode se inscrever em Computation Investing I.
Week 1
- Module 1: Course Overview
- Video 11*: Learning objectives of for the course [*need to reshoot to emphasize programming difficulty]
- Who is this course for?
- Logistics
- Instructor background
- Video 11*: Learning objectives of for the course [*need to reshoot to emphasize programming difficulty]
- Module 2: So you want to be a fund manager?
- Video 21: Module learning objectives
- Viewpoint of course
- Incentives for portfolio managers
- Two main types of hedge fund
- Video 22: Common metrics for assessing fund performance
- Annual return
- Risk
- Reward/Risk
- Video 23: Common metrics for assessing fund performance
- Sharpe Ratio
- Video 24: Demo
- Download historical data
- Manipulate historical data in Excel
- Video 21: Module learning objectives
- Module 3: Market Mechanics
- Video 31: Module objectives
- Major order types
- The order book
- How market orders drive prices up and down
- Live example
- Video 32: Order book recap
- How orders flow from trader to execution
- Colocated computing
- Mechanics of short selling
- Video 33: How hedge funds exploit market mechanics
- Order book-based trading
- Arbitrage
- Video 34: The computing inside a hedge fund
- Trading algos
- Optimizers
- Forecasters
- Video 31: Module objectives
- Module 4: Interview with Paul Jiganti
- Video 310: How your order gets to the market Part 1
- Video 320: How your order gets to the market Part 2
- Video 330: What happened with Knight Capital
- QUIZ: Market Mechanics
Week 2
- Module 1: What is a Company Worth?
- Video 41: Intrinsic value: Value of future dividends
- Video 42: How and why news affects prices (Event Study)
- Video 43: Fundamental analysis of company value
- Module 2: Capital Assets Pricing Model
- Video 71: Capital Assets Pricing Model
- Video 72: CAPM: What is Beta
- Video 73: How Hedge Funds use CAPM
- Module 3: QSTK Software Overview
- Video 61*: QSTK software overview
- Video 63: Installing QSTK on a Mac
- Video 81: Installing QSTK on Windows and testing QSTK on Windows
- Module 4: Working with Historical Data* [need to add this module. Daily returns, cumulative returns, etc.]
- Homework 0: Install QSTK
Week 3
- Module 1: Manipulating Data in Python with Numpy
- Video 51: Numpy Part 1
- Video 52: Numpy Part 2
- Video 53: Numpy Part 3
- Module 2: Manipulating Data in QSTK
- Video 171: QSTK Part 1
- Video 172: QSTK Part 2
- Video 173*: QSTK Part 3 [*show how to do major steps for HW1, discuss cached data]
- Module 3: Homework 1: Analyze and Optimize a Portfolio
- Video 181: Homework 1 Overview
- Video 182: Homework 1 Excel example
- Module 4: Interview with Tom Sosnoff
- Video 340: Sosnoff Part 1
- Video 350: Sosnoff Part 2
- Video 360: Sosnoff Part 3
- Homework 1: Create and analyze a portfolio
Week 4
- Module 1: Efficient Markets Hypothesis and Event Studies
- Video 91: Where does information come from? Arbitrage: Difference between real value and market price
- Video 92: 3 Versions of Efficient Markets Hypothesis. Is EMH True?
- Video 93: Event Studies
- Video 94*: Event Studies Code Demo. Homework 2 Defined. (uses old code)
- Module 2: Portfolio Optimization and the Efficient Frontier
- Video 111: Module Objectives and Overview
- Video 112: The Inputs and Outputs of a Portfolio Optimizer
- Video 113: The Importance of Correlation and Covariance (in daily returns)
- Video 114: The Efficient Frontier
- Video 115: How Optimizers Work (In general, not just for portfolios)
Homework 2: Event Studies
Week 5
- Module 1: Digging Into Data
- Video 121: Module Objectives and Overview (Review of the "Correct Answers" to the $5 Event Studies, Survivor Bias)
- Video 122: Actual vs Adjusted Prices (Dividends & Splits)
- Video 123: Data Scrubbing (Checking for Sanity)
- Module 2: Overview of Homework 3
- Video 131: How Next Two Homeworks Fit Together
- Video 132: Specification for Homework 3
- Video 133: Suggestions on Implementation of Homework 3
- Homework 3*: Build a Market Simulator [clean up example data CSVs]
Week 6
- Module 1: Overview of Homework 4
- Module 2: The Fundamental Law
- Module 3: CAPM for Portfolios: Managing Market Risk
- Video 141: CAPM recap, overview for portfolios
- Video 142: Example use of CAPM for long/short bet removing market risk
- Homework 4: Event Study into Simulator
Week 7
- Module 1: Information Feeds and Technical Analysis
- Video 191*: Example Information Feeds
- Video 192*: Intro to Technical Analysis
- Video 193*: Some Example Technical Indicators
- Video 194*: Bollinger Bands
- Homework 5: Implement Bollinger Bands
Week 8
- Module 1: Making a Better Market Simulator
- Commissions
- Market Impact (Slippage)
- Module 2: Brief Introduction to Machine Learning
- Parameterized models
- Instance based models
- Module 3: Arbitrage
- Homework 6: Event Study with Bollinger Bands
- Homework 7: Bollinger Band-based trading
Abraços e até o próximo post!
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