The workshop is designed to give attendees a basic understanding of how futures markets are structured how futures are traded algorithmically, plus reinforce core statistical principles that help you [avoid being wrong].

Our lecture series is vetted and used by professors at dozens of top universities worldwide including Harvard IACS and Cornell ORIE. We work with academics and industry alike to ensure that our curriculum reflects both academic rigor and practical applications. 

Prerequisites to Attend:

- A college level understanding of mathematics

- Comfortable with Basic Python and Pandas/Numpy

- Laptop

Agenda:

10:30am - 11:00am: Registration

11:00am - 11:15am: Introduction and Overview

11:15am - 11:45am: Lecture: Introduction to Futures Contracts

11:45am - 12:15pm: Lecture: Futures Trading on Quantopian

12:15pm - 12:45pm: Exercise: Using the Futures API

12:45pm - 1:30pm: Lunch

1:30pm - 2:15pm: Lecture: Liquidity

2:15pm - 2:45pm: Lecture: Integration, Cointegration, and Stationarity

2:45pm - 3:00pm: Discussion: Quantitative Research

3:00pm - 3:15pm: Break

3:15pm - 3:45pm: Lecture: Pairs Trading on Futures Contracts

3:45pm - 4:15pm: Exercise: Exploring Mean Reversion on Futures

4:15pm - 4:45pm: Walkthrough: Futures template algorithm

4:45pm - 5:30pm: Choice of Directed Exercises

5:30pm - 6:00pm: Wrap-up and Questions

Our lecture series is vetted and used by professors at dozens of top universities worldwide including Harvard IACS and Cornell ORIE. We work with academics and industry alike to ensure that our curriculum reflects both academic rigor and practical applications.

Cross-sectional factor modeling is widely accepted by academics and industry practitioners alike as a general and consistent way to model and understand equity markets. We discuss mathematical factor models for both returns forecasting and risk management, and frame everything in terms of workflows used by professional quants to run large capital bases.

We aim to teach intuition for these concepts. Our goal is to have you walk away capable of learning more on your own. We will provide a high-level overview of the entire quantitative factor workflow including: evaluating a factor, comparing factors, combining factors into a strategy, and evaluating the performance of factor strategies.

 
 Prerequisites to Attend:
- A strong working knowledge of the Quantopian platform, including:

the IDE and research environment
- Understanding of the following lectures from the Quantopian Lecture Series: Multiple Linear Regression, Hypothesis Testing, Spearman Rank Correlation, Beta Hedging, and The Dangers of Overfitting
- College level math and statistics

- Laptop

Agenda:

10:30am - 11:00am: Registration

11:00am - 11:15am: Introduction and Overview

11:15am - 12:45pm: Pipeline API Tutorial

12:45pm - 1:15pm: Break - Lunch

1:15pm - 1:45pm: The Quant Equity Workflow

1:45pm - 2:15pm: Lecture: Long Short Equity

2:15pm - 2:45pm: Lecture: Factor Analysis

2:45pm - 3:00pm: Break

3:00pm - 3:30pm: Exercise: Analyzing Factors

3:30pm - 4:00pm: Discussion: Factor Combination

4:00pm - 4:30pm: Walkthrough: Template Algorithm

4:30pm - 5:00pm: Exercise: Filling in the Template

5:00pm - 5:30pm: Walkthrough/Discussion: Performance Analysis

5:30pm - 5:50pm: Exercise: Backtesting Your Algorithm

5:00pm - 6:00pm: Wrap-up and Final Questions