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Avellaneda Lectures: Models and Risk

May 28, 2011

Quantivity recently stumbled upon the following two excellent lecture series by Marco Avellaneda (affiliated with Courant Institute), while researching a new trading strategy. The first series surveys quant strategies, with an emphasis on mean-reversion and factor models. The second surveys risk and portfolio management. All relevant for building quantitative trading strategies.

While this material is available elsewhere, self-contained lectures which coherently assemble important themes from the literature are a joy to read.

Quantitative strategies:

Risk and portfolio management:

6 Comments leave one →
  1. John Hall permalink
    May 28, 2011 10:51 am

    Great resource. Thanks for pointing this out. Unfortunately, how can I enjoy my long weekend when you put something like this up?

    • quantivity permalink*
      May 28, 2011 3:19 pm

      @John: thanks. Re your question: perhaps consider redefining “long weekend enjoyment” to include reading quant lectures? 🙂

  2. May 31, 2011 8:36 pm

    There are a couple of interviews to Marco Avellaneda

    • quantivity permalink*
      May 31, 2011 8:48 pm

      @besanson: thanks for links.

      Readers should be aware these are in Spanish.

      • May 31, 2011 9:26 pm

        Yes. Sorry i didnt warn.
        Did you receive my email? Any chance in the near future to do a podcast? In english of course.

  3. Emilio Lizardo permalink
    May 31, 2011 10:27 pm

    No Lecture 7 for the quant course?

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