ECTS : 3
Description du contenu de l'enseignement :
This is an intermediate course on Python programming. It is designed for students with some prior programming experience. During the course the students and the instructor will develop jointly a python library, covering the steps, methodologies, and standards to produce high quality open-source code. At the end of the course, the students are expected to develop an independent new feature compatible with the project.
Session 1 Introduction, Methodology, and Tools.
Session 2 PyBacktestChain: A Backtesting framework for investment strategies that uses Blockchain technology to avoid overfitting.
Session 3 Data Module: Numpy, Pandas, and Object Oriented Programming.
Session 4 Strategy Module: Portfolio Optimization with SciPy
Session 5 Simulation and Risk Management
Session 6 Blockchain Module: Foundations, create a blockchain from scratch
Session 7 Blockchain Module: Storing backtests in the blockchain.
Session 8 User Interface and final project presentation
Compétence à acquérir :
Knowledge in Python programming for career in quantitative finance
Mode de contrôle des connaissances :
Project 90% - Participation 10%
Recommended prior knowledge
Basic concepts of programming, statistics, linear algebra and convex optimization.
Bibliographie, lectures recommandées :
Mandatory literature: Mandatory installation:
Python 3.9 and other pydata libraries from Anaconda: https://www.anaconda.com/distribution/
An IDE like VSCode to run python code https://code.visualstudio.com/
Pre-requisite:
Recommended material if the student has no experience coding: 1 hour Python beginner tutorial - See the vide