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작성자 CQUeST 날짜 2020-06-17
제목 [CQUeST Tutorial Lecture Series 2020] Jun. 23 (Tue) 12:00pm, Jongwook Kim
Tutorial Lecture Series
DATE & TIME   June 23 (Tue), 12:00 pm
PLACE   R1029
SPEAKER   Jongwook Kim
HOST   Bum-Hoon Lee
INSTITUTE   Indigowave, Sogang University
TITLE   A tutorial on algorithmic trading
ABSTRACT

  Algorithmic trading is the automated executions of trading orders by preprogrammed instructions. If the instruction is meant to seek probabilistic profit over many bets, it is called 'statistical arbitrage' and often designed by physicists and mathematicians in the industry. They are the most desirable workers as to discern robust mathematical tools that best describe the market, invent optimal execution strategies confronted with real-life constraints such as money size, computation power, or market rules and regulations. We are going to cover: 1. Introduction of the market system and its stochastic nature 2. What we do and what we did 3. Martingale process and profitability 4. Search for Non-martingales and real-life restrictions 5. Algorithms that could make me broke


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