{"id":328,"date":"2020-05-11T10:34:27","date_gmt":"2020-05-11T10:34:27","guid":{"rendered":"http:\/\/lucylabs.gatech.edu\/ml4t\/?page_id=328"},"modified":"2020-08-14T04:03:26","modified_gmt":"2020-08-14T04:03:26","slug":"computational-investing","status":"publish","type":"page","link":"https:\/\/lucylabs.gatech.edu\/ml4t\/computational-investing\/","title":{"rendered":"Computational Investing"},"content":{"rendered":"\n\n[et_pb_section fb_built=”1″ _builder_version=”4.4.6″][et_pb_row _builder_version=”4.4.6″][et_pb_column type=”4_4″ _builder_version=”4.4.6″][et_pb_text _builder_version=”4.4.6″ header_font=”|||on|||||” hover_enabled=”0″]

Computational Investing<\/span><\/h1>\n[\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.6″][et_pb_column type=”4_4″ _builder_version=”4.4.6″][et_pb_text _builder_version=”4.4.6″ hover_enabled=”0″]

Lesson 1: So you want to be a hedge fund manager?<\/span><\/h2>\n
    \n\t
  • Introduce investing from a hedge fund manager’s point of view<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 2: So you want to be a hedge fund manager?\n

    Lesson 2: Market mechanics<\/span><\/h2>\n
      \n\t
    • How exchanges operate<\/li>\n\t
    • How orders arrive, are executed<\/li>\n\t
    • Buy, sell, market\/limit<\/li>\n\t
    • Crashes<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 4: Market – making mechanics\n

      Lesson 3: What is a company worth?<\/span><\/h2>\n
        \n\t
      • Why does it matter?<\/li>\n\t
      • Prop: Magic money-making machine<\/li>\n\t
      • Mismatch between what a company is worth and how they are valued in the market<\/li>\n\t
      • Take into account dollars in the future<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 5: Introduction to company valuation\n

        Lesson 4: The Capital Assets Pricing Model (CAPM)<\/span><\/h2>\n
          \n\t
        • One of the fundamental discoveries\/advances in finance<\/li>\n\t
        • To estimate how much a stock will go up or down, multiply market movement with beta for the stock<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 7: Framework for investing: The Capital Assets Pricing Model (CAPM)\n

          Lesson 5: How hedge funds use the CAPM<\/span><\/h2>\n
            \n\t
          • Use CAPM to figure out ratio in which you want to buy\/sell stocks, go long\/short<\/li>\n\t
          • Time scale: Change allocations weekly – monthly<\/li>\n\t
          • Potentially applicable to high-frequency trading<\/li>\n<\/ul>\n

            Lesson 6: Technical Analysis<\/span><\/h2>\n
              \n\t
            • Ways to generate some sort of forecast about a stock, looking at recent volume and prices<\/li>\n\t
            • Contrast this with using fundamental data about a company<\/li>\n\t
            • Indicators (like Bollinger Bands)<\/li>\n<\/ul>\n

              Lesson 7: Dealing with data<\/span><\/h2>\n
                \n\t
              • How data can be bad<\/li>\n\t
              • Actual & adjusted<\/li>\n\t
              • Survivor bias<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 12: Overcoming data quirks to design trading strategies\n

                Lesson 8: Efficient Markets Hypothesis (short)<\/span><\/h2>\n
                  \n\t
                • Hypothesis: What we want to accomplish in this course is impossible!<\/li>\n\t
                • Market responds to any piece of information, so we can never predict a stock movement and use that to our advantage<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 8: The Efficient Market Hypothesis(EMH) – its three versions\n

                  Lesson 9: The Fundamental Law of active portfolio management<\/span><\/h2>\n
                    \n\t
                  • Idea 1: Little intelligence about a lot of stocks<\/li>\n\t
                  • Idea 2: Deep intelligence about a few stocks<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 9:The fundamental law of active portfolio management\n

                    Lesson 10: Portfolio optimization and the efficient frontier<\/span><\/h2>\n
                      \n\t
                    • Deeper knowledge and philosophy behind portfolio optimization<\/li>\n<\/ul>\nReading: “What Hedge Funds really do”, Chapter 10: Modern portfolio theory: The efficient frontier and portfolio optimization\n\n \n

                      Projects<\/span><\/h2>\n02-P1 Build a market simulator\n\nCreate simulator server\n\n02-P2 Use an indicator to find where good buy & sell points are (with Technical Analysis lesson) Invent your own technical indicator\n\n02-P3 Write a strategy that generates orders Back tester: Test strategy using market simulator Possible peer feedback opportunity (peers back test your strategy)\n\n

                      Exam<\/span><\/h2>\nCorresponds to a midterm in the context of the overall course Some Python questions\n[\/et_pb_text][\/et_pb_column][\/et_pb_row][\/et_pb_section]\n\n","protected":false},"excerpt":{"rendered":"

                      Computational Investing Lesson 1: So you want to be a hedge fund manager? Introduce investing from a hedge fund manager’s point of view Reading: “What Hedge Funds really do”, Chapter 2: So you want to be a hedge fund manager? Lesson 2: Market mechanics How exchanges operate How orders arrive, are executed Buy, sell, market\/limit […]<\/p>\n","protected":false},"author":2,"featured_media":0,"parent":0,"menu_order":8,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_et_pb_use_builder":"on","_et_pb_old_content":"","_et_gb_content_width":"","footnotes":""},"class_list":["post-328","page","type-page","status-publish","hentry"],"jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/pages\/328","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/comments?post=328"}],"version-history":[{"count":4,"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/pages\/328\/revisions"}],"predecessor-version":[{"id":649,"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/pages\/328\/revisions\/649"}],"wp:attachment":[{"href":"https:\/\/lucylabs.gatech.edu\/ml4t\/wp-json\/wp\/v2\/media?parent=328"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}