75407 - Trading Algorhitms

Course contents

The trend-cycle component in the definition of trading strategies: sentiment analysis (hints), technical analysis (graphical approach).
The analytical approach: deterministic and stochastic trend (identification and estimation); smoothing techniques (moving averages, exponential smoothing, Holt Winters).
Volatility measures: trading algorithms based on confidence intervals.
The elements of any investment strategy: operational scenario, risk management and money management.
Simulation techniques (trading rules ex-post optimization).
Statistical models and trading algorithms evaluation: loss function and forecating errors, the combination of forecasts. The role of risk adversion, loss functions for the financial markets, directional forecasts.
Statstical approaches to trading system evaluation: descriptive and inferential approaches, accuracy and bias tests. The comparison between two or more trading systems.

Readings/Bibliography

Material (in English) will be provided by the teacher  on request.

Teaching methods

Teacher's lectures supplemented with smaller discussion sections, tutorials or laboratory sessions for testing statistical models and building trading strategies.

Assessment methods

The final test aims to assess the achievement of the following learning objectives:

• in-depth knowledge of the statistical tools discussed during the lectures

• ability to use these tools to analyze the economic and financial phenomena

• ability to use the results in order to interpret the phenomenon under study and achieve decision-making processes.

The final test is oral, normally preceded by a written test containg both theoretical questions and exercices

During the test is not allowed any materials such as textbooks, notes, computer media.

To take the exam you must pre-register on AlmaEsami

Those who do not succeed to enroll by the due date, are required to report promptly (and in any event before the official closing of the subscription lists) the problem to the Secretary's office. The teacher shall have the right to admit to the examinations.

It will be possible to discuss the test and ask for clarification at the date of verbalization

The possibility of using alternative hours of receipt to inspect the task is reserved for exceptional cases, with a valid reason.

The verbalization can occur in the absence of the student.

Teaching tools

Teacher's slides. Computer sessions with Excel and Visual Trader

Office hours

See the website of Andrea Guizzardi