Slide Decks
BUSI 722-901
Data Driven Finance II

1. Intro to Quant Investing

1a. Valuation Fundamentals

1b. Quantitative Investing

1c. Factors

1d. Green-Hand-Zhang SQL Database

1e. A Simple Backtest

1f. Alpaca

2: Return Prediction and Evaluation

2a. Industries

2b. Transforming Features and Target

2c. Additional Considerations

2d. Evaluate Returns

2e. Market Benchmark

2f. Fama-French Benchmark

3. ML Models and Hyperparameters

3a. Trees

3b. Scoring and Complexity

3c. Forests

3d. Neural Nets

3e. Cross Validation

3f. Some Validation Results

4. Backtesting and Trading

4a. Backtest Overview

4b. Backtest: Preprocessing

4c: Backtest: Looping

4d: Backtest: Portfolio Returns

4e. Current Predictions

4f. Trading

5. Options

5a. Introduction to Options

5b. Option Returns

5c. Hedging with Options

5d. Put-Call Parity

5e. Early Exercise

5f. Option Spreads

6. Valuing Options

6a. Deltas in Binomial Models

6b. Risk-Neutral Probabilities

6c. Early Exercise in Binomial Trees

6d. Black-Scholes

6e. Implied Volatility

6f. Option Greeks

7. Futures

7a. Introduction to Futures

7b. Marking to Market

7c. The Expectations Hypothesis

7d. Spot-Futures Parity

7e. Futures-Based ETFs

7f. Currency Carry Trade with Futures