Computational Investing, Part I

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Computational Investing, Part I

Coursera (CC)
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Description

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  • Paid plan: Commit to earning a Certificate—it's a trusted, shareable way to showcase your new skills.

About this course: Why do the prices of some companies’ stocks seem to move up and down together while others move separately? What does portfolio “diversification” really mean and how important is it? What should the price of a stock be? How can we discover and exploit the relationships between equity prices automatically? We’ll examine these questions, and others, from a computational point of view. You will learn many of the principles and algorithms that hedge funds and investment professionals use to maximize return and reduce risk in equity portfolios.

Created by:  Georgia Institute of Technology
  • Taught by:  Dr. Tucker Balch, Associate Professor

    School of Interacti…

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When you enroll for courses through Coursera you get to choose for a paid plan or for a free plan

  • Free plan: No certicification and/or audit only. You will have access to all course materials except graded items.
  • Paid plan: Commit to earning a Certificate—it's a trusted, shareable way to showcase your new skills.

About this course: Why do the prices of some companies’ stocks seem to move up and down together while others move separately? What does portfolio “diversification” really mean and how important is it? What should the price of a stock be? How can we discover and exploit the relationships between equity prices automatically? We’ll examine these questions, and others, from a computational point of view. You will learn many of the principles and algorithms that hedge funds and investment professionals use to maximize return and reduce risk in equity portfolios.

Created by:  Georgia Institute of Technology
  • Taught by:  Dr. Tucker Balch, Associate Professor

    School of Interactive Computing
Commitment 8-12 hours/week Language English How To Pass Pass all graded assignments to complete the course. User Ratings 4.4 stars Average User Rating 4.4See what learners said Coursework

Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.

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Georgia Institute of Technology The Georgia Institute of Technology is one of the nation's top research universities, distinguished by its commitment to improving the human condition through advanced science and technology. Georgia Tech's campus occupies 400 acres in the heart of the city of Atlanta, where more than 20,000 undergraduate and graduate students receive a focused, technologically based education.

Syllabus


WEEK 1


Portfolio Management and Market Mechanics



In this module, you will understand the course content from a portfolio manager's viewpoint, the incentives for portfolio managers, types of hedge fund, and how to assess fund performance; Also, you will gain insight into market orders, the basic infrastructure of an exchange, and computational components of a hedge fund.


13 videos, 6 readings expand


  1. Video: Introduction Video
  2. Video: Course Overview
  3. Reading: Consent Form
  4. Reading: Syllabus
  5. Reading: Course Resources
  6. Reading: Python Tutorials
  7. Reading: Key Terms and Support Resources
  8. Video: Incentives of Portfolio Managers
  9. Video: Metrics for Assessing Fund Performance
  10. Video: Metrics for Assessing Fund Performance
  11. Video: Data Manipulation - Demo
  12. Video: How Prices Move Up and Down
  13. Video: The Order Book
  14. Video: Hedge Funds and Arbitrage
  15. Video: Computing Inside a Hedge Fund
  16. Video: Interview: Paul Jiganti Part 1
  17. Video: Interview: Paul Jiganti Part 2
  18. Video: Interview: Paul Jiganti Part 3
  19. Reading: Get from Georgia Tech

Graded: Portfolio Management and Market Mechanics

WEEK 2


Company Worth, Capital Assets Pricing Model and QSTK Software Overview
In this module, you will learn how to value a company, and an overview of the theory Capital Assets Pricing Model (CAPM), its assumptions, implications and how you can apply it in fund management. Finally, you will learn to install QSTK Software.


8 videos, 3 readings expand


  1. Reading: Key Terms and Support Resources
  2. Video: Intrinsic value: Value of future dividends
  3. Video: How and Why News Affects Prices
  4. Video: Fundamental Analysis of Company Value
  5. Video: Capital Assets Pricing Model
  6. Video: CAPM: What is Beta?
  7. Video: How Hedge Funds Use CAPM
  8. Reading: QSTK Installation Guide
  9. Video: Installing QSTK on Windows
  10. Video: Installing QSTK on a Mac (no audio)
  11. Reading: Earn a Georgia Tech Badge/Certificate/CEUs

Graded: Install QSTK

WEEK 3


Manipulating Data in Python and QSTK
In this module, you will learn how to work with financial data, create a portfolio and optimize a portfolio using Python with Numpy library as well as QSTK and the Pandas library.


10 videos, 1 reading expand


  1. Video: Manipulating Data in Python with Numpy Part 1
  2. Video: Manipulating Data in Python with Numpy Part 2
  3. Video: Manipulating Data in Python with Numpy Part 3
  4. Video: Manipulating Data in QSTK Part 1
  5. Video: Manipulating Data in QSTK Part 2
  6. Video: Interview with Sosnoff Part 1
  7. Video: Interview with Sosnoff Part 2
  8. Video: Interview with Sosnoff Part 3
  9. Video: Assess and Optimize a Portfolio Overview Part 1
  10. Video: Assess and Optimize a Portfolio Overview Part 2
  11. Reading: Practice Activity: Portfolio Optimization

Graded: Assess and Optimize a Portfolio

WEEK 4


Efficient Markets Hypothesis and Event Studies, Portfolio Optimization and the Efficient Frontier



In this module, you will learn about information may affect equity prices and company value, understand efficient market hypothesis and how event studies work; Also, you will learn about the inputs and outputs of a portfolio optimizer, correlation and covariance, Mean Variance Optimization, and the Efficient Frontier.


10 videos, 1 reading expand


  1. Reading: Research Papers and Event Profiler Tutorial
  2. Video: Where Does Information Come From?
  3. Video: 3 Versions of Efficient Markets Hypothesis
  4. Video: Event Studies
  5. Video: Event Studies in QSTK
  6. Video: Optimization Overview
  7. Video: The Inputs and Outputs of a Portfolio Optimizer
  8. Video: The Importance of Correlation and Covariance
  9. Video: The Efficient Frontier
  10. Video: How Optimizers Work
  11. Video: Review Preparation

Graded: Event Studies

WEEK 5


Digging into Data
We will go into more detail in this module about how to read an event study. We will also talk about the differences between actual and adjusted historical price data, and how to detect and fix wrong data.


6 videos expand


  1. Video: Digging into Data
  2. Video: Actual Vs Adjusted Price
  3. Video: Data Sanity and Scrubbing
  4. Video: How Next Two Reviews Fit Together
  5. Video: Specification for This Module's Review
  6. Video: Suggestions on Implementation of This Module's Review

Graded: Build a Market Simulator

WEEK 6


The Fundamental Law, CAPM for Portfolios



In this module, you will learn the fundamental law of active portfolio management. We will recap CAPM, and extend it for portfolios. Finally, we're going to look at ways that we can leverage the capital assets pricing model to manage, maybe even reduce market risk.


7 videos expand


  1. Video: Thought Experiment: Coin Flipping
  2. Video: The Fundamental Law Part 1
  3. Video: The Fundamental Law Part 2
  4. Video: CAPM Recap, Overview for Portfolios
  5. Video: Using CAPM to Reduce Risk
  6. Video: How to Assess an Event Study
  7. Video: Review Overview

Graded: Event Study into Simulator

WEEK 7


Information Feeds and Technical Analysis
In this module, we will dive deeper into a few examples of information feeds, and learn about technical analysis, and look at a few example technical indicators. Finally, we are going to learn about Bollinger Bands.


4 videos expand


  1. Video: Example Info Sources
  2. Video: Intro to Technical Analysis
  3. Video: Example Indicators
  4. Video: Bollinger Bands

Graded: Implement Bollinger Bands

WEEK 8


Jensen's Alpha, Back Testing and Machine Learning
In this module, we're going to learn about another measure of a fund performance called Jensen's Alpha, and dig deeper into back testing. We will also take a sneak peek at machine learning.


3 videos, 1 reading expand


  1. Video: Jensen's Alpha
  2. Video: About Back Testing
  3. Video: Brief Introduction to Machine Learning
  4. Reading: Where to go from here

Graded: Event Study with Bollinger Bands
Graded: Bollinger Band-based trading
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