NBA 6450 - Advanced Investment Strategies

Fall. 1.5 credits.

P. Gao.

This course introduces students to a variety of advanced investment strategies on modern financial markets. The quantitative trading strategies are based on time-series and cross-sectional return predictability on global financial assets such as equity indices, foreign currencies, commodities, and sovereign bonds. In particular, we study the fundamentals of commodity futures returns and momentum strategy on commodity investment, the carry trade and momentum strategy on currency investment, the volatility strategy on option investment. In addition to delivering trading strategies, we pay close attention to common risk factors behind these investment strategies. Special topics change from one year to another to reflect recent trends and practices in industry, and also the state-of-art research in academia. This year’s special topics are stock crash concerns and expected returns, rare disaster concerns and hedge fund performance, and global tail risks across different asset classes.