Quantopian Lecture Series

This lecture series can be found on the Quantopian website, and is free for anyone to follow (though you may have to sign up). The lectures are in the form of jupyter notebooks, but most are accompanied by youtube videos. I think it’s a great introduction to quant finance – it puts a lot of emphasis on common pitfalls that must be avoided.

Contents

Mean and variance

Statistical moments

Correlation

Instability of parameters

Linear regression

Hypothesis testing

  1. State $H_0$ and $H_A$
  2. Identify an appropriate test statistic (and check the assumptions)
  3. Compute the critical value from the significance level $\alpha$.
  4. Compute the test statistic and compare with the critical value.

p-hacking

Estimating the covariance matrix

Volume, slippage and liquidity

Market impact models

The Capital Asset Pricing Model (CAPM)

Factor Models

Principal Component Analysis (PCA)

Long-Short Equity strategies

Hedging Beta and Sector Exposure

Value-at-Risk

Integration, Cointegration and Stationarity

Pairs trading

Auto-regressive models

ARCH and GARCH Models

Kalman Filters

Futures