QT201: Statistical Methods in Quantitative Trading

Course curriculum

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DISCLAIMER
Course Introduction
Foundational Concepts
Economics of Multiple Assets
Portfolio Metrics
Implementation of the Portfolio Metrics
Implementation of the Portfolio Metrics
Basics of Hypothesis Testing
t-tests and sign tests for portfolio return mean/median
Confidence Intervals and Signed Rank test
Permutation of Price Data
Permutation of OHLCV Bars
Adjustments for Dynamic Universe of Assets
Data Shuffle Implementation
Introduction to the Monte Carlo Permutation Test
Overfit Detection, Asset Timing and Asset Picking, Skill Hypothesis Tests
Implementation of Non-Permutation Based Hypothesis Tests
Decision Shuffling
Decision Shuffling
Implementation and Computation of the p-values
Multiple Hypothesis Testing with FER Control
Implementation of the Marginal Family Tests

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