Ernest Chan – Mean Reversion Strategies in Python
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Offered by Dr. Ernest P Chan, this course will teach you to identify trading opportunities based on Mean Reversion theory.
You will create different mean reversion strategies such as Index Arbitrage, Long-short portfolio using market data and advanced statistical concepts. A must-do course for quant traders.
Mean Reversion Strategies
- Statistical Arbitrage
- Triplets Trading
- Index Arbitrage
- Long-short strategy
- Correlation, Co-integration
- Linear Regression
- ADF and Johansen Test
- Half Life
- NumPy, Pandas,
PREREQUISITESIt is expected that you have some trading experience and understand basic financial markets terminology like sell, buy, margin, entry, exit positions. Some familiarity with t-statistics and autoregressive model is useful but not mandatory. If you want to be able to code strategies in Python, then experience to store, visualise and manage data using Pandas DataFrame is required. These skills are covered in our course ‘Python for Trading’.AFTER THIS COURSE YOU’LL BE ABLE TOCreate four different types of mean reverting strategies
Perform statistical test for identifying stationarity and co-integration
Backtest pairs trading, triplets, index arbitrage and long-short strategy
Explain the role of risk management
Dr. Ernest P. Chan
Dr. Ernest Chan is the Managing Member of QTS Capital Management, LLC., a commodity pool operator and trading advisor. QTS manages a hedge fund as well as individual accounts. He has worked in IBM human language technologies group where he developed natural language processing system which was ranked 7th globally in the defense advanced research project competition. He also worked with Morgan Stanley’s Artificial intelligence and data mining group where he developed trading strategies.
Forex Trading – Foreign Exchange Course
Want to learn about Forex?
Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.
However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.
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