Part I. Markets and Data

• Mechanics of trading
  • Limit and market orders
  • The two-way double auction
  • Order placement rules
  • Exchange mechanisms
  • Order management systems and trading platforms
  • Direct market access pipes
• Working with high frequency data
  • The TAQ data set
  • The Nasdaq aggregate data set

Part II. Optimal Execution and Market Impact Modeling

Petter Kolm

• Introduction to the calculus of variations
• Optimal execution of portfolio transactions
  • Permanent and temporary impact
  • Implementation shortfall
  • The Almgren-Chriss model
  • The efficient frontier of optimal execution

• Market impact models
  • Almgren et al.
  • Models utilizing public data

Part III. Robust Portfolio Optimization with Transaction Costs

Petter Kolm

• The Black-Litterman model
• Robust portfolio optimization
• Incorporating transaction costs into portfolio optimization

Part IV. Risk Models

Eran Fishler

• Factor models and covariance matrix estimation
  • Multifactor models
  • Some results from random matrix theory
  • Covariance matrix “cleaning”
  • PCA, linear regression, shrinkage and ridge regression
  • Shrinkage estimators of regression coefficients
  • Ridge regression

Part I. Factor-Based Quantitative Trading Strategies

• Quantitative trading strategies
• Standard themes
• Data
• Back-testing methodologies

Part II. Time-Series Analysis

• Building blocks of financial time series (e.g. ARIMA models)
• Stationarity and Mean Reversion
• Forecasting and Prediction
• Basic Model Selection and Calibration

Part III. Trading with Time-Series Models

• Integrated processes and cointegration
• Volatility models (only if time permits )

Part IV. Statistical Arbitrage in the U.S. Equities Market

Marco Avellaneda

• Long-short equity
• Hedging instruments
• Back-testing

Part I. The Optimal Theta Framework

• Introduction: Dynamic portfolio analysis
• Traditional rebalancing
• The dynamic portfolio framework
• A simulation framework for dynamic portfolio analysis
• Optimal betting (Optimal f) and optimal growth portfolios

Part II. Combining Portfolio Optimization and Optimal Execution

• The Engle-Ferstenberg model
• Sharpe ratio with market impact
• Dynamic programming

Part III. Control Theory

• Introduction to dynamic systems and control
• State space models
• Filtering

Part IV. Dynamic Portfolio Analysis

• Stochastic Linear Quadratic Gaussian (LQG) Regulator
• Dynamic portfolio analysis with transaction costs