Tier 4 · QuantFree
Algorithmic Trading
The Signal
10 modules~73 min totalVerifiable certificate on completion
Syllabus
01The Information CoefficientMath
8 min02The Fundamental Law of Active ManagementMath
8 min03Market Microstructure: Spread, Impact, and Kyle's LambdaMath
9 min04Optimal Execution and Transaction CostsMath
9 min05Mean Reversion and the Ornstein-Uhlenbeck ProcessMath
9 min06Market Microstructure
6 min07Statistical Arbitrage
6 min08Momentum vs Mean Reversion
6 min09High-Frequency Trading
6 min10The Fundamental Law
6 minFrom Module 1 — read a sample
To know if a trading signal is real or luck, divide its average return by its standard deviation and scale by the square root of the number of observations. An IC of 0.05 sounds tiny but is actually excellent — markets are so competitive that being right slightly more than half the time, applied across hundreds of positions, generates real edge.
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