QF206 SMU Classification: Restricted
Session 1
QF206
Quantitative Trading Strategies
Overview
1 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Weekly Class Schedule (subject to )
Week Topics
1 Introduction to Quantitative Trading Hands-on
2 Trading CME, Eurex, and SGX Futures, Hands-on
3 Electronic Market: Limit-Order Book, Hands-on
4 Tick-by-Tick Data Analysis, Hands-on
5 Technical Analysis: Language Spoken by Traders, Hands-on
6 Back Testing I, Hands-on
7 Back Testing II, Hands-on
8 Recess
9 Advanced Quantitative/Technical Indicators, Hands-on
10 Statistical Arbitrage, Hands-on
11 Spread Trading, High-Frequency Trading, Hands-on
12 High-Frequency Trading (HFT)
13 Project Presentations
2 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Intro to Quantitative Trading
An overview of tradable financial instruments
Four major asset classes: equities, currencies, commodities, and fixed
income
Cash markets versus derivative markets
Exchange versus OTC
Financial instruments with maturities versus those without maturities
Linear payoff versus nonlinear payoff http://quanttradinglab.com/images/quant_image.jpg
Trading versus investment
Holding period or investment horizon
Portfolio rebalancing
Hedging versus scalping
Market making
3 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Trading Futures
Calculation of cash index value from the component
stocks
Free float
Divisor
Calculation of the fair value of SIMSCI index futures
Market behaviors of SIMSCI index futures
Calculation of the fair value of calendar spread
A simple trading strategy using stop-limit orders
4 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Electronic Market: Limit-Order Book
Price grid, tick size
Market order versus limit orders versus stop order
Dynamics of the limit-order book
Liquidity
Bid-askspread
Market depth
Hands-on session at Simulated Trading Room
5 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Software Used by Professional Traders
Thanks to the industry
experience and
connections, we have
signed MoUs with
CME, Eurex, and SGX.
Live feed market data
from these exchanges!
6 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Tick-by-Tick Data Analysis
Trade and Quote (TAQ) data
Intraday trading patterns
Short-term intraday momentum
Order flows
Price impact
https://www.algoseek.com/equities/
7 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Technical/Quantitative Analysis
Finding patterns in prices and volumes
Is forecasting possible at all?
Most academics: No
Most practitioners: Yes
Common technical analysis patterns, indicators, and
cycles
How to predict volatility using GARCH?
8 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Back-Testing
Common backtesting methods
Finding and using historical databases
Adjustments for stock splits and dividends
Survivorship bias
High and low of the day
Performance measurement
Common backtesting pitfalls to avoid
Look-ahead bias
Data-snooping bias
Transaction costs
9 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Advanced Technical Indicators
Tom DeMark Indicators
http://www.ensignsoftware.com/images/64-1.gif
Intraday
DeMark
+ Order Flow
10 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Statistical Arbitrage
Non-stationary
versus
http://www.investopedia.com/articles/investing/082515/how-aqr-places-bets-against-beta.asp Stationary time
series
Co-integration
Correlation
Dispersion
11 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Spread Trading
Calendar spread trading
Inter-market spread trading
Quanto spread trading
Mis-hedges and risk management
http://iasivezi.com/wp-content/uploads/2015/07/fishing_mp_r_1060378_503x283.jpg
12 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
High-Frequency Trading
An overview of automated trading
Market making
Algorithmic trading
State-of-the-art HFT infrastructure
https://www.bloomberg.com/news/articles/2013-11-26/speed-traders-meet-nightmare-on-elm-street-with-nane
Dark pool
13 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Proprietary Trading as a Business
Proprietary trading as a business
Margin
Money & risk management
Kelly’s criterion
…. Trading continues to be a humbling yet
bountiful provider – if one can find the
right frequency to resonate with her. The
mysteries of the market are always
daunting, but solvable. With experience,
one realizes that the “enemy” we fought
daily was really our own doubt and
inertia.
– JOHN H. LIN, CHIEF & FOUNDER
14 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Statistical
Trading Investment Arbitrage
Systematic Discretionary
Backtesting
Trading
Strategies
Money/Risk
Management Mean
Momentum
Reversion
15 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Market
Mean
Reversion Neutral
Calendar Quanto Inter-Market
Spread Spread Spread
Market
Momentum
Directional
Technical
Trend, cycle Forecasting
Analysis
16 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Tick-by-Tick Algorithmic
Data Trading
Ultra-high High- Systematic
frequency frequency Scalping
Price Impact Slippage
Order Submission Strategies
Market Microstructure
17 of 18 September 22 2019 © Christopher Ting
QF206 SMU Classification: Restricted
Session 1
Trading is Hard
Trading is Personality
Trading is Discipline
Trading is Business
18 of 18 September 22 2019 © Christopher Ting
