Quantitative Finance and Algorithmic Trading in Python – Holczer Balazs

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Quantitative Finance & Algorithmic Trading in Python

Markowitz-portfolio theory, CAPM, Black-Scholes formula and Monte-Carlo simulations

This course is about the fundamental basics of financial engineering. First of all you will learn about stocks, bonds and other derivatives. The main reason of this course is to get a better understanding of mathematical models concerning the finance in the main. Markowitz-model is the first step. Then Capital Asset Pricing Model (CAPM). One of the most elegant scientific discoveries in the 20th century is the Black-Scholes model: how to eliminate risk with hedging. Nowadays machine learning techniques are becoming more and more popular. So you will learn about regression, SVM and tree based approaches. Hope you will like it!This course is about the fundamental basics of financial engineering. First of all you will learn about stocks, bonds and other derivatives. The main reason of this course is to get a better understanding of mathematical models concerning the finance in the main. Markowitz-model is the first step. Then Capital Asset Pricing Model (CAPM). One of the most elegant scientific discoveries in the 20th century is the Black-Scholes model: how to eliminate risk with hedging. Nowadays machine learning techniques are becoming more and more popular. So you will learn about regression, SVM and tree based approaches. Hope you will like it!

Course Curriculum

IntroductionIntroduction

• Introduction (1:22)Introduction (1:22)
• Why to use PythonWhy to use Python
• Financial models (3:03)Financial models (3:03)

Stock Market BasicsStock Market Basics

• Present value / future value of money (5:10)Present value / future value of money (5:10)
• Time value of money implementation (3:02)Time value of money implementation (3:02)
• Stocks / shares (5:10)Stocks / shares (5:10)
• Commodities (1:18)Commodities (1:18)
• Currencies and the FOREX (3:56)Currencies and the FOREX (3:56)
• Fundamental terms: short and long (1:55)Fundamental terms: short and long (1:55)

BondsBonds

• Bonds basics (3:09)Bonds basics (3:09)
• Bond price and interest rate (3:14)Bond price and interest rate (3:14)
• Bond price and maturity (2:06)Bond price and maturity (2:06)
• Bonds pricing implementation (4:29)Bonds pricing implementation (4:29)

Modern Portfolio Theory (Markowitz-model)Modern Portfolio Theory (Markowitz-model)

• The main idea – diverzification (5:17)The main idea – diverzification (5:17)
• Mathematical formulation (5:00)Mathematical formulation (5:00)
• Expected return of the portfolio (5:27)Expected return of the portfolio (5:27)
• Expected variance (risk) of the portfolio (4:53)Expected variance (risk) of the portfolio (4:53)
• Efficient frontier (5:33)Efficient frontier (5:33)
• Sharpe ratio (3:03)Sharpe ratio (3:03)
• Capital allocation line (3:30)Capital allocation line (3:30)
• Modern Portfolio Theory implementation – getting data from Yahoo (6:08)Modern Portfolio Theory implementation – getting data from Yahoo (6:08)
• Modern Portfolio Theory implementation – weightsModern Portfolio Theory implementation – weights
• Modern Portfolio Theory implementation – mean and variance (4:03)Modern Portfolio Theory implementation – mean and variance (4:03)
• Modern Portfolio Theory implementation – Monte-Carlo simulation (5:52)Modern Portfolio Theory implementation – Monte-Carlo simulation (5:52)
• Modern Portfolio Theory implementation – optimization (8:10)Modern Portfolio Theory implementation – optimization (8:10)

Capital Asset Pricing Model (CAPM)Capital Asset Pricing Model (CAPM)

• Systematic and unsystematic risk (2:05)Systematic and unsystematic risk (2:05)
• Capital asset pricing model formula (3:48)Capital asset pricing model formula (3:48)
• The beta value (4:49)The beta value (4:49)
• Capital asset pricing model and linear regression (2:40)Capital asset pricing model and linear regression (2:40)
• Capital asset pricing model implementation I (4:07)Capital asset pricing model implementation I (4:07)
• Capital asset pricing model implementation II (5:17)Capital asset pricing model implementation II (5:17)
• Capital asset pricing model implementation III (3:45)Capital asset pricing model implementation III (3:45)

Derivatives BasicsDerivatives Basics

• Introduction to derivatives (1:45)Introduction to derivatives (1:45)
• Future contracts (2:52)Future contracts (2:52)
• Interest rate swaps (2:01)Interest rate swaps (2:01)
• Options basics (2:32)Options basics (2:32)
• Call option (4:54)Call option (4:54)
• Put option (2:45)Put option (2:45)
• American and european options (2:18)American and european options (2:18)

Random Behaviour in FinanceRandom Behaviour in Finance

• Types of analysis (5:20)Types of analysis (5:20)
• Random behaviour of returns (4:32)Random behaviour of returns (4:32)
• Winer-process (5:12)Winer-process (5:12)
• Stochastic calculus introduction (4:20)Stochastic calculus introduction (4:20)
• Ito’s lemma in higher dimensions (5:04)Ito’s lemma in higher dimensions (5:04)
• Brownian-motion implementation (4:06)Brownian-motion implementation (4:06)

Black-Scholes ModelBlack-Scholes Model

• Black-Scholes model introduction – the portfolio (6:44)Black-Scholes model introduction – the portfolio (6:44)
• Black-Scholes model introduction – dynamic delta hedge (6:09)Black-Scholes model introduction – dynamic delta hedge (6:09)
• Black-Scholes model introduction – no arbitrage principle (4:37)Black-Scholes model introduction – no arbitrage principle (4:37)
• Solution to Black-Scholes equation (4:06)Solution to Black-Scholes equation (4:06)
• The greeks (4:36)The greeks (4:36)
• Black-Scholes model implementation I (5:39)Black-Scholes model implementation I (5:39)
• Black-Scholes model implementation II – Monte-Carlo (9:56)Black-Scholes model implementation II – Monte-Carlo (9:56)
• How to make money with Black-Scholes model? (1:56)How to make money with Black-Scholes model? (1:56)
• Long Term Capital Management (LTCM) (6:03)Long Term Capital Management (LTCM) (6:03)

Value At Risk (VaR)Value At Risk (VaR)

• What is Value-at-Risk? (3:09)What is Value-at-Risk? (3:09)
• Value-at-Risk introduction (7:40)Value-at-Risk introduction (7:40)
• Value at risk implementation I (5:07)Value at risk implementation I (5:07)
• Value at risk implementation II – Monte-Carlo simulation (6:04)Value at risk implementation II – Monte-Carlo simulation (6:04)

Machine Learning in FinanceMachine Learning in Finance

• What is machine learning? (6:08)What is machine learning? (6:08)
• Logistic regression introduction (3:27)Logistic regression introduction (3:27)
• Logistic regression implementation (10:20)Logistic regression implementation (10:20)
• K-nearest neighbor (kNN) classifier introduction (8:02)K-nearest neighbor (kNN) classifier introduction (8:02)
• K-nearest neighbor (kNN) classifier implementation (3:52)K-nearest neighbor (kNN) classifier implementation (3:52)
• Support vector machine (SVM) introduction (7:12)Support vector machine (SVM) introduction (7:12)
• Support vector machine (SVM) implementation (3:39)Support vector machine (SVM) implementation (3:39)

Long-Term InvestingLong-Term Investing

• Value investing (2:50)Value investing (2:50)
• Efficient market hypothesisEfficient market hypothesis

Course MaterialCourse Material

• SlidesSlides
• SourcecodeSourcecode

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