Avellaneda Lectures: Models and Risk

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:

• Statistical Models of Stock Returns
• PCA and Risk Factors
• Dynamic PCA & More Examples
• Exchange-Traded Funds
• Mean-Reversion
• Back-testing Statistical-arbitrage Strategies
• Quantitative Option Strategies
• Entropy Methods for Financial Derivatives
• Dispersion Trading
• Volatility Statistical Arbitrage
• Asymptotics
• Hard-to-Borrow Securities

Risk and portfolio management:

• Statistical Models of Stock Returns
• Principal Components Analysis and Factors Explaining Stock Returns
• Exchange Traded Funds: Gaining Exposure to Sectors
• Arbitrage Pricing Theory: Theory and Applications To Financial Data Analysis
• Stochastic Processes & Dynamics of Stock Prices
• Auto-Regressive Models
• Construction of Market Risk Models: Treasuries and MBS
• Equity Options: Risk and Portfolio Management
• Option portfolios with Several Underlying Assets
• Hard-to-Borrow Securities
• Statistical Methods for Mortgage-Backed Securities