May 29, 2016
Python | Finance | Quantitative Trading

Quantitative Trading Project
April 26, 2016
1 The Task
As part of our program of study, you (and 0, 1 or 2 group partners) will invent, run and analyze a quantitative trading strategy. Such a strategy has the following features:
• Investmentinpubliclytraded(butnotnecessarilyelectronicallytraded) assets
• A “recipe” for evaluating attractiveness of potential trades that – depends on pre-specified classes of information
– Could be followed by anyone, given the recipe and data sources
• A “recipe” for investment sizes, and position entry and exit rules, that
– may link position size to attractiveness

May 17, 2016

Your project must be submitted to the Departmental Office COL
6.11 by
16 May 2016, 10:30am.
All consequences regarding late submission can be found on the School’s website
In particular “five marks out of 100 will be deducted for coursework submitted within 24 hours of the deadline and a further five marks will be deducted for each subsequent 24-hour period (working days only) until the coursework is submitted. After five working days, coursework will only be accepted with the permission of the Chair of the Sub-Board of Examiners”.
• Please submit two spiral bound copies of your project report. In addition, please upload your report as a PDF-file and all other files containing your computer codes, figures, etc. via Moodle. If your candidate number is 123456 then name your PDF file CN123456report.pdf. You can check your candidate number on ‘LSE for You’. Name the other electronic files similarly and make sure that none of the electronic files contains your name.