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This course teaches quantitative finance and algorithmic trading with an approach that emphasizes computation and application. Focuses on designing, coding, and testing automated trading strategies in Python, with particular consideration to market models, infrastructure, and order execution. We will focus on giving you the implementation exposure of the trading system and trading strategy.
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Sebastien Donadio has nearly two decades of experience in the fields of high-performance computing, software design and development, and financial computing. Currently an architect in Bloomberg Office of the CTO, he has a wide variety of professional experience, including serving as CTO of a FX/Crypto trading shop, head of software engineering at HC Technologies, quantitative trading strategy software developer at Sun Trading, partner at high-frequency trading hedge fund AienTech, and a technological leader in creating operating systems for the Department of Defense. He also has research experience with Bull, and as an IT Credit Risk Manager with Société Générale in France. Sebastien has taught various computer science and financial engineering courses over the past fifteen years at a variety of academic institutions, including the University of Versailles, Columbia University’s Fu Foundation School of Engineering and Applied Science, University of Chicago and NYU Tandon School of Engineering. Courses taught include: Computer Architecture, Parallel Architecture, Operating Systems, Machine Learning, Advanced Programming, Real-time Smart Systems, Computing for Finance in Python, and Advanced Computing for Finance. Sebastien holds a Ph.D. in High Performance Computing Optimization, an MBA in Finance and Management, and an MSc in Analytics from the University of Chicago. His main passion is technology, but he is also a scuba diving instructor and an experienced rock-climber.
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- Assignment 1
- Create basic order book for trading system
- Python function review
- OOP review
- Assignment 2
- Pandas review
- Analysis time series data
- Threading simulation
- Exception handling
- Assignment 1
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- Project 1 - Alpaca
- Set up Alpaca account
- Acquir historical data by Alpaca
- Build random trading strategy
- Backtest strategy by historical data
- Apply strategy to paper trading by Alpaca
- Project 1 - Alpaca