Baruch MFE MTH 9867 Time Series Analysis and Algorithmic Trading

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iniesta

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Hello,

Is this course no longer being offered? on the website it only says Spring 2011.
 
This is the recommended textbook for the time series analysis portion
http://www.amazon.com/gp/product/0138147574/

There are also 110 pages of notes that go along with the time series portion of the class.

We just started the Algo trading portion, no textbooks mentioned thus far (I'm not sure if any that are worthwhile even exist...)

Course should be offered for the next cohort... I don't see why it wouldn't be.
 
Andy Nguyen said:
For those taking it, what are your opinion on it so far? Easy? Hard? Useful or not? How is the workload for reading, coding?
Click to expand...

I wouldn't say it's easy or hard. It's about what your background is. Time Series was presented from an engineer's viewpoint and for me it was difficult to follow. I personally dislike the way engineers treat mathematics -- I'm a mathematician, so go figure. That being said, I think the mathematics would have made more sense had it been placed in a physical, real world context with more examples. You hear the words "signal" and "system" a lot but they're rarely made tangible. But again, this reflects my personal preference. The Algo part presumes you're well-versed in Matlab, which is essential for all the data analysis that needs to be done. If you're not you're stuck having to use Help all the time. I'm well aware other people have different opinions about this course -- but most of them are engineers ;) I am planning to drop it and take it next year after acquiring the necessary skill sets.
 
Alexei Smirnov said:
I don't think you have to use matlab for the algo portion, as a matter of fact I've been told you can't for the last portion of the algo - unless you hook it up to a more formal database. The amount of data is too large.

The time series portion of the class was not what I expected it would be. I've been told that the signal processing view of it is most relevant to modern algo trading, but since that is not my desired career path, I'm not sure it is relevant for me. A part of me is scared to try to explain that I got vol using a fourier transform and how I did it to a trader or regulator...

Algo trading just started. Seems like a fair amount of work, its basically to design three algos that will work well in a backtest (we're not actually running forward). A part of me feels like I'm overfitting an algo, but I trust the professor and am curious where the class is going to go.
Click to expand...

You can use MATLAB for the last portion. I have done it before and have used MATLAB along with other people. Many people used R also.

You will not be explaining prop algo trading strateges to a regulator....ever, unless you tank the whole market with a fat finger.
 
Alexei Smirnov said:
Take it easy there, if you read the first half of the sentence you'll see I was talking about vol calculations NOT prop trading strategies. :confused: I would assume a regulator may at some point or another have questioned someone as to how they calculated the vol that goes into their options pricing calculations for example...

Don't be so quick to jump on people dude...
Click to expand...

hahaha. It's okay, I will buy you some dumplings later today.
 
I like the bro-love shown around here ;)
And thanks for providing first person experience on the course. I'm genuinely curious about this course.
As for if it's coming back in the future, I guess it will depend on the student feedback, interest on the course. There is a minimum number of enrollees required before a course is run.
Being a small program like Baruch, it's not going to have 60 students in a class like at Columbia.
 
Andy Nguyen said:
Being a small program like Baruch, it's not going to have 60 students in a class like at Columbia.
Click to expand...
It started off not far from there. How many students were actually enrolled I don't know. The first half of the course was interesting and likely useful, however given that I've seen Laplace & Fourier transforms and Complex Analysis before I benefited less from the first half. The second half is looking to be interesting, ask again in a few weeks. Workload isn't bad, readings are on a "as needed" basis, I guess.
 
Reading from the program's website, the course is being taught by two practitioners. Is that the reason for this "first half, second half" business? Or is it designed that way? What each half covers?
I guess if Baruch is going to make this course annually, they need to make a course page with more detailed info on it.
 
Yes, two practitioners. The course title pretty much draws the distinction:

1st Half: Time Series Analysis
2nd Half: Algo Trading
 

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