Introduction
Algo trading and high frequency trading (HFT) have become important to the financial industry that it generated over sixty percent of trading volume at Nasdaq and NYSE. There are wide range of activities that AI and big data can support in such trading process, which include opportunities identification, cost/friction estimation, market impact estimation, trading strategies selection, trade scheduling, capital and liquidity management, as well as risk management. In this course, we will discuss both traditional financial engineering models and modern AI, especially the machine learning and deep learning. Modern topics like Robo Advisor, AlphaGo Zero, and social media based market sentiment analysis will also be discussed.
Students with strong technical background or strong desire to learn programming languages like C++, Verilog, and OpenCL, as well as hardware accelerators, for example, GPU, FPGA, and Parallel Computing, will be able to participate in some cutting edge high frequency trading projects.
Consider the future development of Macau financial industry, Macau needs to develop the talents to support innovative financial products development. Therefore, we have contacted some local and Big Bay Area financial institutions to provide projects or even intern positions for those students who demonstrate the capability in developing algo trading based financial products. For example, one of the projects for students to choose is the development of Macau Economic ETF as well as its futures and options, which requires additional models to support the issuance of such products, such as, matching and trading mechanism, inventory control, bid-ask spread determination, liquidity forecasting, and risk management. Additional seminars and training will be provided for students who choose such topics.
- Teacher: jeromeyen, Jerome Yen