STAT198

STAT 198 at UC Berkeley | Spring 2021

Resources

Tech

  • GitHub
  • Anaconda
  • PyCharm
  • Atom
  • Jupyter Notebook
  • More info available here

    • Piazza

    We will use Slack for any course related questions.

    Readings

    We will have weekly readings from various academic journals.

    Week 2

  • Fama, E.F. and French, K.R., 2015. A five-factor asset pricing model. Journal of financial economics, 116(1), pp.1-22.

    • Week 3

  • Dama, M., 2017. Quantitative Trading Summary.

    • Week 4

  • Black, F. and Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of political economy, 81(3), pp.637-654.

    • Week 5

  • Avellaneda, M. and Lee, J.H., 2010. Statistical arbitrage in the US equities market. Quantitative Finance, 10(7), pp.761-782.

    • Week 6

  • Markowitz, H.M., 1952. Portfolio Selection. The Journal of Finance, 7(1), pp.77-91.

    • Week 7

  • TBD

    • Week 8

  • TBD

    • Week 9

  • TBD

    • Week 10

  • TBD

    • Week 11

  • TBD

    • Books


    Textbooks
  • Advances in Financial Machine Learning by Marcos Lopez de Prado
  • The Elements of Statistical Learning by Trevor Hastie, Robert Tibshirani, Jerome Friedman
  • Algorithmic Trading: Winning Strategies and Their Rationale by Ernest Chan
  • An Introduction to Statistical Learning by Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani
  • Data 100 Textbook by Sam Lau, Joey Gonzalez, and Deb Nolan
  • Frequently Asked Questions in Quantitative Finance by Paul Wilmott

    • Fun Books
  • Flash Boys: A Wall Street Revolt by Michael Lewis
  • Liar's Poker by Michael Lewis
  • Beat the Dealer: A Winning Strategy for the Game of Twenty-One by Edward Thorpe
  • The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution by Gregory Zuckerman