Advanced Algorithmic Trading and Portfolio Management

About

Over the next few decades, machine-learning (ML) and AI will transform not only the finance industry but also other industries that borrow significantly from finance. This program has been carefully designed to help future analysts, traders, brokers, consultants and other industry professionals who are either currently exposed to, or foresee artificial intelligence, machine-learning and data science proliferate their work environment. The operating environment for investment management firms continues to evolve, with technological innovations and shifting investor preferences at the heart of this change. In that context, Artificial Intelligence (AI) is providing new opportunities to both professionals and investors. Portfolio management (e.g., mutual funds) industry is at the forefront of this transformation. The objective of this course is to help the students familiarize with advanced concepts related to risk management with portfolios, in the backdrop of Artificial Intelligence and Machine Learning techniques in financial markets, trading, and asset management. This program aims to demonstrate the applications of modern portfolio construction and optimization techniques. This includes solving real-life wealth management problems to improve investment decisions.

Throughout the course, we have used three kinds of data:

1. In-built datasets: These datasets are readily available within R.

2. Publicly available data: These datasets are sourced from publicly available sources like Yahoo Finance and Google Finance.

3. Proprietary Data: Acquired by the faculty from third-party sources, this data is of a proprietary nature and can only be used by the faculty strictly for academic research purposes. The faculty is not allowed to share these datasets.

For the inbuilt datasets, students may follow the respective code (R packages) for acquiring them.

Next, for publicly available data, students are expected to obtain data on their own from the sources like Google and…