1-10. Quant Workflow

Eventually, you will arrive at the stage where you want to start thinking about how your strategy will work in practice. This is the portfolio construction stage, he stage where you have to think about using your combined alpha vector to generate and update an actual portfolio. At every time iteration, your strategy is going … Read more

The alpha discovery phase is where the fun really starts. This is when you start looking for alphas, but what are alphas exactly? An alpha is an expression applied to the cross-section over your universe of stocks which returns a vector of real numbers whose values are proportional to the size of the position you … Read more

Let’s zoom in on one of the types of trading strategies we talked about earlier, cross-sectional equity investing. This is a deep and important type of trading strategy. So, let’s talk in detail about the pieces needed to build this type of strategy. In general, you can think of the process of developing this type … Read more

There are several flavors of trading strategies. The most basic type is based on buying and selling a single asset. An example of this type of strategy might be just trading the S&P 500. You could track the performance of the S&P over time and enter positions based on past performance. For example, if the … Read more

A hypothesis that forms the basis of a trading strategy must survive several phases of increasingly rigorous testing. This process can be different at different companies, banks, or hedge funds, but usually, there is an initial exploratory research phase during which ideas are generated and validated in a fairly basic way. The goal here is … Read more

Congratulations on making it this far. The content you’ve seen previously, will serve as a strong foundation of knowledge from which to build your quantitative finance career. We have a few more concepts to discuss. But before we get into the weeds, let’s take this opportunity to step back for a moment. I want to … Read more

Welcome back. In this set of lessons, we’re going to expand on the fundamentals even building, to prepare you for some neat stuff we’ll do later. We’re going to begin with a bird’s eye view of strategy development, so that you understand the stages of this and how the activities of each stage fit together. … Read more