What is quant trading?

August 29th, 2012, 09:58 PM

Jura - you're welcome.

Antisyzygy - Thanks for the link about corn, I enjoyed it. (I eat my corn vertically, while rotating the cob.) I'm glad you enjoyed the read. Kuznetsov (or in fact any other book) does not cover trading strategies, but it is the best introduction to the quant industry. I think it will help with your career decisions more than knowing Hamilton-Jacobi-Bellman approaches to trade execution or filtering of high-frequency data. There are lots of jobs for quants at your qualification level and you should definitely consider. I cannot offer as much as what's available on the Wilmott forums, and seriously recommend that you take a look over there. Seeing your conviction in learning more about this field, I've also sent you a PM with some other reference material with more practical details of quantitative trading strategies.

Jura · August 31st, 2012, 08:32 AM

artemiso

I've also sent you a PM with some other reference material with more practical details of quantitative trading strategies.

Can you share that reading list with us? More reading suggestions are always helpful for this fascinating field.

Jura · December 29th, 2012, 02:09 AM

Coursera is offering a free online course starting in February which might be of interest to readers of this thread. The "Financial Engineering and Risk Management" course is probably not as applied as Artemiso's comments in this thread, but it might give a nice overview of quantitative subjects. I'm looking forward to follow it.

Quoting

Financial Engineering and Risk Management

This course is an introduction to the theory and practice of financial engineering and risk management. We consider the pricing of derivatives, portfolio optimization and risk management and cast a critical eye on how these are used in practice.

(...)

Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of this course will be on the use of simple stochastic models and optimization for portfolio optimization, derivatives pricing and risk management.

Our examples will draw from many asset classes including equities, fixed income, credit, mortgage-backed securities and structured products. We will also consider the role that some of these asset classes played during the financial crisis. If time permits, we will also discuss other applications including real options, energy and commodities modeling, and algorithmic trading among others.

(...)

We plan to cover the following topics:

Introduction to derivative securities and option pricing.
The binomial model and martingale pricing.
Equity derivatives in practice.
Asset allocation and portfolio optimization.
The Capital Asset Pricing Model.
Statistical biases and portfolio selection.
Risk management I: VaR, CVaR and coherent risk measures.
Risk management II: scenario analysis and stress testing.
Term structure models and fixed income derivatives.
Mortgage mathematics and mortgage-backed securities.
Credit derivatives, structured products and the Gaussian copula model.
Other topics including real options, commodities and energy modeling, and algorithmic trading.

Source: https://www.coursera.org/course/fe

December 29th, 2012, 03:06 AM

Jura

Coursera is offering a free online course starting in February which might be of interest to readers of this thread. The "Financial Engineering and Risk Management" course is probably not as applied as Artemiso's comments in this thread, but it might give a nice overview of quantitative subjects. I'm looking forward to follow it.

Source: https://www.coursera.org/course/fe

Thanks. That sounds interesting and does indeed cover the conventional MFE stuff.

What is quant trading?

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What is quant trading?