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Trading Strategies in Emerging Markets

2020/2021
Учебный год
ENG
Обучение ведется на английском языке
3
Кредиты
Статус:
Курс по выбору
Когда читается:
2-й курс, 2 модуль

Course Syllabus

Abstract

Курс проводится в формате смешанного обучения (blended learning). Онлайн-лекции читаются преподавателями Индийской школы бизнеса (Indian School of Business). Проверку самостоятельной работы, проведение семинаров и экзамена осуществляет НИУ ВШЭ.
Learning Objectives

Learning Objectives

  • Обучение навыкам, необходимым индивидуальным инвесторам и управляющим активами, для разработки торговых стратегий и их тестирования на развивающихся рынках
Expected Learning Outcomes

Expected Learning Outcomes

  • Знание структуры издержек, комиссионных, стратегий и рисков развивающихся рынков
  • Умение выбирать стратегию управления и формировать бенчмарк для заданных условий и момента времени
Course Contents

Course Contents

  • Основы торговых стратегий
    Brief introduction to financial statements and various common filings of firms. Basic asset pricing theories. Calculation of the expected returns of a stock or a portfolio. Asset markets functioning: type of players in the market, different types of orders and the efficient ways and opportune time to execute them, trading costs and ways of minimizing them, the concept of liquidity.
  • Торговые алгоритмы
    Seven trading strategies that work in emerging markets: strategies based on momentum, momentum crashes, price reversal, persistence of earnings, quality of earnings, underlying business growth, behavioral biases and textual analysis of business reports about the company. Piotroski F -score strategy. F - Score calculation. Post earnings announcement drift.
  • Продвинутые торговые алгоритмы
    Back test results for the strategies in developed and emerging markets. Building a robust back testing system for the strategies. Subjecting the back test results to stress tests. Ways in which transaction costs and other frictions could be incorporated in the back testing algorithm. Techniques for measuring a strategies' performance and the concept of risk adjusted return: Sharpe ratio, Treynor's Ratio and Jensen's Alpha.
  • Формирование портфеля ценных бумаг
    Ways of building a portfolio of strategies and integrating the same into a hedge fund. Measuring the contribution of a strategy to a portfolio in terms of risk and return. Consequences of including a strategy to a portfolio. Determination of the optimal weight to be placed on each strategy. Minimizing overall portfolio risk. Regulatory framework that is applicable to hedge funds.
Assessment Elements

Assessment Elements

  • non-blocking Экзамен проводится в форме расчетной работы
  • non-blocking Самостоятельная работа
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.3 * Самостоятельная работа + 0.7 * Экзамен проводится в форме расчетной работы
Bibliography

Bibliography

Recommended Core Bibliography

  • Gregoriou, G. N. (2015). Handbook of High Frequency Trading. Academic Press.
  • Ilmanen, A. (2011). Expected Returns : An Investor’s Guide to Harvesting Market Rewards. Chichester, West Sussex, U.K.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=391338
  • Rishi K. Narang. (2013). Inside the Black Box : A Simple Guide to Quantitative and High Frequency Trading: Vol. Second edition. Wiley.

Recommended Additional Bibliography

  • D. Capocci. (2013). The Complete Guide to Hedge Funds and Hedge Fund Strategies. Palgrave Macmillan.
  • FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance (Wiley-Blackwell), 25(2), 383–417. https://doi.org/10.2307/2325486
  • Fama, E. F. (1991). Efficient Capital Markets: II. Journal of Finance, (5), 1575. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.bla.jfinan.v46y1991i5p1575.617
  • Pesaran, M. H. (2010). Predictability of asset returns and the efficient market hypothesis. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.69756440