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Introduction to Algorithmic Trading Strategies by Dr. Haksun Li
This course has been offered in the following venues.
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My Experience with Algorithmic Trading by Dr. Haksun Li
The presentation summarizes his industrial experience. It outlines his approach of doing algo trading. The talk covers the IT infrastructure, the design of a trading system, the process of creating a trading strategy, as well as the technologies available to ease and automate strategy creation. Dr. Li will discuss some practical issues encountered in the past when building a trading system. Moreover, he will walk through a sample strategy. Throughout the talk, he emphasizes that technology is the deciding factor in this "arms race". Computer science is as important as mathematics, if not more.
School of Information Systems, Singapore Management University. 2010
M.Sc. in Quantitative Finance programme, National University of Singapore. 2010
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Algorithmic Trading as a Science by Dr. Haksun Li
The presentation outlines an approach to generate and analyze quantitative trading strategies in a scientific way. With examples, Dr. Li tries to differentiate scientifically justifiable models from the not so scientific ones. The conclusion is that mathematics is a useful tool to help make concrete and precise our market intuitions. Programming skill is what turns ideas and equations in reality that produces trading pnl.
NTU-SGX Centre for Financial Education, Nanyang Technological University. Feb 26, 2011.
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Tze Leung Lai and Kevin Haoyu Sun, "Evolutionary Credibility Theory: A Generalized Linear Mixed Modeling Approach," North American Actuarial Journal, 2012.
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