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-   -   Computational Investing 1 --- Georgia Tech (http://www.elitetrader.com/vb/showthread.php?t=277738)

slacker Aug 26th, 2013 11:48 PM

Computational Investing 1 --- Georgia Tech
 
I sat through this class when it was first offered last year but did not take it seriously. Taking it again-this time I plan to work.

If you want an intro to programming and investment analysis this would be a good start. The course combines Excel and Python to download a portfolio of stocks and then measure the implied risk of each combination of stocks/ETFs. My background is in Java and C++ so learning a little about Python was fun. I have also been wanted to do longer term trading instead of the short term stuff I have focused on for the past few years.....

Take a look at the course ---- share your experience here.... Learn something new!!!

It is all free and part of the coursera.org collection of courses.


https://www.coursera.org/course/compinvesting1

Overview
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 hedge funds and investment professionals use to maximize return and reduce risk in equity portfolios.

Topics
We start with a tour of the mathematics and statistics that underlie equity price changes, and the relationships between different groups of equities. We’ll review the most important economic theories of investing and how to create programs that take advantage of them. We’ll look at the data needed to do this, and how to manipulate it effectively. Take a look at the course syllabus here.

Craig66 Aug 27th, 2013 02:51 AM

It doesn't look like anything you could not pick up off the internet if you were suitably motivated...CAPM & Bollinger Bands?

marketsurfer Aug 27th, 2013 10:19 PM

All right, Slacker. Thank you for the cogent reply. I'm sorry you feel that way. I'm really not a malicious or vindictive person. I also apprieciate the link to the course . The most cogent thing I have learned is that the market is full of deception. Things are not as they seem. Think about this. Regards, surf

marketsurfer Aug 27th, 2013 10:22 PM

Quote:

Quote from Craig66:

It doesn't look like anything you could not pick up off the internet if you were suitably motivated...CAPM & Bollinger Bands?
John Bollinger himself states the bands should only be used in connection with other analysis. He doesn't even call what he does technical analysis but rather rational analysis.

Peace. Surf

slacker Aug 27th, 2013 11:35 PM

The class first week should be getting the software needed up and running. All software is open source and free.

This is the third time the class has been presented so it is much improved over a year ago. In the first class offering over 4000 students enrolled from all over the world. The discussion forums were amazing with comments about alternatives to the approach Tucker took in class. Some of the students where managing large accounts and had some real good comments and suggestions. For me, the student forums were as informative as the formal videos.

The discussion forums are also a good place to get help with Python or the QSTK package. Unless you are managing a real fund it is hard for me to imagine needing more than this package. You could spend thousands and not do better IMHO.....

From Week1 class notes:

QSToolKit (QSTK) is a Python-based open source software framework designed to support portfolio construction and management. We are building the QSToolKit primarily for finance students, computing students, and quantitative analysts with programming experience. You should not expect to use it as a desktop app trading platform. Instead, think of it as a software infrastructure to support a workflow of modeling, testing and trading.
Portfolio optimization: Using the CVXOPT library.
Event studies: An efficient event analyzer, Event_Profiler.
Simulation: A simple backtester, quicksim, that includes transaction cost modeling.

SteveNYC Aug 28th, 2013 05:20 AM

Quote:

Quote from Craig66:

It doesn't look like anything you could not pick up off the internet if you were suitably motivated...CAPM & Bollinger Bands?
CAPM & BBands? LOL.

The name GIT wreaks mook.


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