Introduction to Algorithmic Trading Strategies 2013 @ HKUST

Hi Dr Li,

Thank you for offering this course. This is the first time I see where mathematics, computer science and trading can be fit together that well.

As a programmer I feel very excited now because….

“because some things are just worth [fighting|coding] for…” (Jim Raynor, Starcraft II… LOL) ;D

Cheers Paul

The project can really tell something on my CV, I really benefit from doing the project. I enhanced my programming skills and independent thinking ability during the course. I think the lab session is important and should not be dropped, during the lab session I knew how to debug and I also knew how to use algoquant efficiently. Practice makes perfect. Without the lab session, I don’t have clear understanding of what I’m learning. Some of your lectures required strong mathematical back ground (such as lecture 4) and I lost on this class, maybe you should adjust the course material. But just as you said, mathematics is a cheap skill. During your course, I knew how to think like a quant and how to use mathematics to express my idea and then translate my ideas into lines of codes. What is more, my programming skills really improved a lot.

LIU YUNING

By the way, I remember that the scv doesn’t have cigar．．．．．

boss does… ;D

It is a very interesting and useful course that I am taking in this term in HKUST. Because topics in Algorithmic Trading Strategies are dispersed in many fields in Mathematics and Finance, hardly can one find such a summative course like this one I take. Actually, I think that the most outstanding feature of this course is that each chapter is based on academic papers related to certain algorithmic trading strategies. And I have to say that most of academic papers given by Professor Li are very classical and most of them deserve a serious reading. Because algorithmic trading strategies is like a combination of mathematics, finance and coding, I personally believe that it is another good choice to make things not that complicated and give student intuitive feelings of certain models, which is exactly what the Professor Li does in the course. And besides, when I attend the final interview for J.P. Morgan, I was asked for disadvantages and improvements for Pairs Trading and Sharpe Ratio, which is exactly what I have learnt in Chapter 3, Chapter 4, Chapter 5 and Chapter 7. Even though at that time our courses have not reached Chapter 7, I answered that question with confidence because I pre-study some contents in the guess that some similar questions may be asked. Even though I may change the direction of my career in the near future, I will still remember instructive and creative ideas that Professor Li taught me in this course.

Good course, interesting, but the workload is too heavy.

Really good course, it promote my programming skills and modeling sensitive, but i think it’s really a big bag of open question homework plus big project, especially when the project is too difficult.

It was a very informative and interesting course and I like it a lot in the following ways:

1. Course content The course content covers a wide range of topics from HMM to portfolio optimization. And Dr. Li teaches more than the lecture notes. The lecture involves a lot of interaction and Dr. Li talks many of his industry experiences and gives much insight in terms of trading, quantitative modeling, job hunting or just random trivia that are fun. 🙂

2. Teaching style I like the way Dr. Li challenges students and ask questions all the time, and that keeps everyone’s attention. Some students may think some of his opinions are controversial, but I think it’s not bad to have controversial ideas / comments, otherwise there is no critical thinking.

3. Lab session and homework Though a lot of students didn’t enjoy the lab session, I found it very useful. I provides hands-on experience and gives an rough idea how theories and models are turned into programs. It is also very useful when you tweak parameters to calibrate, which gives more intuition how the model works in real world. Unfortunately we canceled the last two labs (possibly due to popular vote?) 🙁

Homework was not easy and is quite useful. And there were many open questions like writing a report after some research, which takes time and critical thinking.

4. SuanShu/AlgoQuant SuanShu/AlgoQuant is a Java library (with demos) provided by the lecture and is a very powerful and comprehensive tool for numerical methods and statistical modeling and simulations. Especially during the lab sessions, Dr. Li demonstrated how to use this library to build different models and calibrate them. We used the library to work on our project which took almost the whole semester to complete.

Overall, I think this is a very good course and I would recommend any student (even those with working experiences like myself) to take this course.

If there is any future improvement – maybe there are two: 1. maybe next time a microphone can be used because it’s hard to listen from the back of such a big classroom. 2. please don’t cancel any lab sessions 🙂

Liu Zeting (Boris)

Thank you for offering this interesting and useful course.

Firstly, the course is very useful, including the lab session. In the lab session, though I often cannot understand the code very well because I did not learn more about JAVA. I still can get some feeling about how the model works in real world, and I think this is very useful for us and it is the key point for learning algorithmic trading strategies.

Secondly, I can understand why you give us so many open and difficult questions in homework. We often just learn some knowledge from the book, and just like you said, we need to look at what happens in the world now.

Lastly, the project is a big challenge for me. We need to read some other references and ask some doctors to understand the paper well. But I really learn something from the project. By the way, thank Boris.

PS: I hope to have an easy exam and if it is possible, in the future course, you can teach little about math in the lecture, just put them on the lecture notes for self-study.

Zhu Liyuan

This course definitely represents practical courses module of our program. I wrote reports base on industrial reports and news rather than academic papers for the first time in our program. It’s help me broaden my horizons. Because I am quite sure that I won’t spend time on reading reports from World Economic Forum Annual Meeting without homework.

The project made me believe that we can do much better than we thought if we are dedicated enough. Your strictness let me know what I should present to my boss in the future. Thank you for your time of meeting every week. In addition, Thank my teammate, especially Boris, for teaching me a lot.

Xinmeng Yao

It’s the most interactive course I ever had in university. Though some questions could hardly be answered, we are impelled to do intuitive thinking and stay focus on class. Dr. Li shared his thinking pattern and insight of trading with us from a practitioner’s perspective, which differs from other theoretical courses and is very useful indeed. The project is pretty challenging, but I learnt a lot from it.

Thank you for sharing your time and knowledge with us, Dr.

Shu Ting No.1

During the semester I was busy working and didn’t have much time to take the lecture. Still I think the lectures are well-written and succinct to give starters a taste of how quant trading is like. Homeworks and projects are great ways to practice the know-how. A suggestion is to seperate the course into 2 modules/courses: 1. basic math and programing for quant research 2. algo trading in practice so beginners are easier build their knowledge. I do like Dr. Li style, reminds me good old days in the states ;D Louis Lai

Hi Dr. Li,

Thank you for teaching us for this semester. I do enjoy your teaching.

Things that you taught are really practical and important. Every paper that you used as your teaching materials is classic and useful. The lab session is rather important as you will tell us what the important things are and what we should be aware of when we try to implement different trading strategies.

Furthermore, the take-home-messages that you gave, from my point of view, are all very inspiring. I used to think that studying math is all about remembering theories and solving textbook questions until you told us that we studied math so that we are able to understand and explain math to others.

I would say, every lecture that you taught is interesting, useful and inspiring. Thank you for your teaching for this semester.

Best Regards, LEE Man Hon

Rather useful class especially for the person who wants to get a comprehensive and deep understanding of the quantitative investing.

As the final project is too difficult, when I review the whole semester I can only remember this course. But I hope I would not remember this course after the final exam.

(Easy final exam? Best Regards: best regards)

For those who are interested in getting into the field of quantitative finance, I highly recommend them to take this course. Unlike most courses I took before, Dr Li has shown the “trader perspective” as the motivation before diving into the theoretical details underpinning each strategy. The part I like the most is the lab session, which is a follow-up class after each chapter of lecture. The setup of the lab really gives student the “hands-on” experience in actually doing the “trial-and-error” experiment in tweaking the model and testing our own understanding of each strategy. As a side note, the lab session may be a bit challenging for those with less exposure in programming and Java. But, no pain no gain, I think, after rolling up our sleeves and getting our hands dirty in taking things apart, we can have a firm understanding of the limit and strength of each strategy.

And thanks Dr Li for offering this course. 🙂