Slide Decks
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