Statistical Models of the Stock Market

In this course we will learn about how the stock market works and more specifically what it means to be a “quant”. Students will use Matlab extensively or another statistical package to try and build models that predict future stock movements. Morning lectures/discussions will focus on the workings of the stock market and the inefficiencies that might be present. In afternoons lab sessions and as homework students will work by themselves or in teams (with the instructor’s help) to build actual models of future stock prices. Students will learn not only how to build those models but also how to evaluate how effective they are.