量化交易

近年来，量化交易的理论研究及其应用有了很大的发展，量化交易在国内外金融市场中的应用愈加普遍。本课程的主要目的是让研究生能够从数学和统计学基础、金融市场微观结构、算法及其优化等角度深入理解量化交易的基本理论及其应用。从理论和技术层面学习和掌握量化交易的数理模型、核心算法、优化技术以及交易策略等，并着力培养研究生对量化交易的应用和实践技能。

课程核心内容包括但不限于量化交易内涵及其发展现状，量化交易的统计模型与方法，量化选股和量化择时策略，投资组合与套利策略，交易平台设计及其电子交易，限价指令、最优执行和智能订单路径，基于量化交易的金融监管对策等。

课程适用于有一定数理基础与程序编写能力的硕士和博士研究生。

18th February ~ 27th May, 2022

http://www.bimsa.cn/newsinfo/599976.html

投资学、期权、期货与其他衍生品、随机金融基础和金融时间序列分析

（1）丁鹏，量化投资——策略与技术，电子工业出版社， 2014年9月
（2）Xin Guo, Tze Leung Lai, Howard Shek, Samuel Po-Shing Wong，Quantitative Trading：Algorithms, Analytics, Data, Models, Optimization，Chapman and Hall/CRC，December 2016

No

Qingfu Liu, the professor and doctoral supervisor at School of Economics, Fudan University, was awarded as Shanghai Pujiang Scholar. Prof. Liu obtained a doctorate in management science and engineering from Southeast University, was a postdoctoral fellow at Fudan University, and also a visiting scholar at Stanford University. Prof. Liu is now the executive dean of Fudan-Stanford Institute for China Financial Technology and Risk Analytics, the academic vice dean of Fudan-Zhongzhi Institute for Big Data Finance and Investment, and the vice dean of Shanghai Big Data Joint Innovation Lab. Prof. Liu's research interests mainly include financial derivatives, big data finance, quantitative investment, RegTech, green finance and non-performing asset disposal. He has published more than 80 papers in the Journal of economics, Journal of International Money and Finance, Journal of Management Sciences in China and other important journals at home and abroad, published three monographs, and presided over more than 20 national and provincial research projects. He is currently an associate editor at Digital Finance and an editor at World Economic Papers.