Statistics And Probability For Quantitative Finance

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Tags: Quantitative Finance

Learning by doing! Apply statistics on Trading and quantitative finance. (Forex, crypto, stocks )

Last updated 2022-01-10 | 5

- Find optimal stop loss & take profit using probability distribution
- Understand Student test and apply it to portfolio management problem
- Use probability distribution to compute the Value at Risk (VaR)

What you'll learn

Find optimal stop loss & take profit using probability distribution
Understand Student test and apply it to portfolio management problem
Use probability distribution to compute the Value at Risk (VaR)
Compute correlation between assets properly
Understand the main financial statistics: mean
variance
standard-deviation
skewness
kurtosis
covariance
correlation
...
Compute conditional probability to create a strategy with 70% beneficial trades
Master combinatorial statistics
Learn the basis of probability: random variables
intersection
union
independency
conditional probability ...
Learn bayes theorem
Learn the most used law of probability in finance: Bernoulli
Binomial
Poisson
Uniform
Exponential
Normal
...
Learn how statistical test works

* Requirements

* Nothing. Just be motivated to learn the quant technics

Description

  • Find optimal stop loss & take profit using probability distribution
  • Understand Student test and apply it to portfolio management problem
  • Use probability distribution to compute the Value at Risk (VaR)
  • Compute correlation between assets properly
  • Understand the main financial statistics: mean, variance, standard-deviation, skewness, kurtosis, covariance, correlation, ...
  • Compute conditional probability to create a strategy with 70% beneficial trades
  • Master combinatorial statistics
  • Learn the basis of probability: random variables, intersection, union, independency, conditional probability ...
  • Learn bayes theorem
  • Learn the most used law of probability in finance: Bernoulli, Binomial, Poisson, Uniform, Exponential, Normal,...
  • Learn how statistical test works

Course content

14 sections • 103 lectures

Introduction 2 lectures

READ ME Preview 00:31

Install the environments Preview 00:34

Descriptive statistics 21 lectures

Introduction Preview 01:45

Population versus Sample Preview 01:48

Application: create google stock prices sample Preview 03:10

Central tendency measure: The mean Preview 01:57

Application: compute mean Google return + Annualization of returns Preview 05:58

Central tendency measure: The median Preview 03:52

Application: Extreme value problem? Compute the median Preview 01:50

Central tendency measure: The percentile Preview 02:30

Application: Understand Google return distribution Preview 03:53

QUIZ - central tendency measure

Dispersion measure: The variance Preview 02:28

Application: Compute variance returns + Variance annualization Preview 01:15

Dispersion measure: The standard deviation Preview 01:57

Application: Compute the volatility + Annualize the volatility Preview 03:49

QUIZ - dispersion measure

Relationship measure: Covariance / covariance matrix Preview 04:45

Application: Assets covariance Preview 06:03

Relationship measure: Correlation Preview 02:33

Application: Assets correlation Preview 03:59

QUIZ - Relationship measures

DOWNLOAD summary sheet about descriptive statistics Preview 00:01

Exercise: Compute risk/return, correlation asset PROPERLY 3 lectures

Introduction Preview 02:34

Correction exercise 1: Compute asset risk/return Preview 03:12

Correction exercise 2: Compute portfolio correlation Preview 03:56

Combinatorial statistics 8 lectures

Introduction Preview 01:33

Arrangement: Permutation Preview 03:40

Arrangement: Without repetition Preview 04:57

Arrangement: With repetition Preview 03:10

Combination: Without repetition Preview 02:55

Combination: With repetition Preview 01:32

QUIZZ arrangement / combination

DOWNLOAD summary sheet about combinatorial statistics Preview 00:03

Exercise: Find the number of combinations between forex pairs 3 lectures

Introduction Preview 02:31

Correction exercise: Find the number of combinations between forex pairs(1) Preview 03:21

Correction exercise: Find the number of combinations between forex pairs(2) Preview 02:25

Probability 12 lectures

Introduction Preview 01:24

What a random variable is? Preview 04:40

Quiz - Random variable

Intersection Preview 03:32

Union Preview 04:49

Independent event Preview 03:48

Complementary event Preview 01:11

Quiz - Events

Conditional probability Preview 04:00

Bayes theorem Preview 02:52

Quiz - Conditional probability

DOWNLOAD summary sheet about probability Preview 00:03

Exercise: From 50% to 70% of good trade? 6 lectures

Introduction Preview 01:02

Import some data Preview 01:48

Compute basic probability Preview 03:16

Create Bollinger bands Preview 05:57

Computation for Bollinger bands strategy Preview 16:09

Compute conditional probability of increase Preview 09:52

Law of probability 10 lectures

Introduction Preview 01:00

Law of probability Preview 04:15

Bernoulli law Preview 02:37

Binomial law Preview 04:44

Poisson law Preview 01:46

Continuous uniform law Preview 05:54

Exponential law Preview 03:17

Normal law Preview 02:21

QUIZ - Law of probability

DOWNLOAD summary sheet about Law of probability Preview 00:03

Exercise: Find the best stop loss & take profit / Compute the VaR 3 lectures

Introduction Preview 01:02

Compute a value at risk Preview 04:22

Find the best stop loss & take profit Preview 07:58

Hypothesis test 6 lectures

Introduction Preview 00:53

Hypothesis test Preview 02:14

Example + Error threshold Preview 04:29

P value Preview 02:21

Quiz - Hypothesis test

DOWNLOAD summary sheet about hypothesis test Preview 00:03

Exercise: You trading strategy really works or it's randomness? / Bonus 3 lectures

Introduction Preview 00:48

Student test: practice Preview 07:18

AdFuller test: practice Preview 04:22

How to go deeper in the algorithmic trading field? 1 lectures

Tip Preview 00:26

BONUS 1: Python basics 15 lectures

Introduction Preview 01:41

Type of object: Number Preview 05:01

Type of object: String Preview 11:54

Type of object: Logical Operation / Boolean Preview 05:53

Type of object: Variable assignment Preview 07:23

Type of object: Tuple and list Preview 09:37

Type of object: Dictionary Preview 08:25

Type of object: Set Preview 05:16

Python structures: If / Elif / Else Preview 07:02

Python structures: For Preview 05:51

Python structures: While Preview 03:05

Functions: Basics of function Preview 06:14

Functions: Local variable Preview 02:41

Functions: Global variable Preview 02:10

Functions: Lambda function Preview 02:17

BONUS 2: Python for data science 10 lectures

Introduction Preview 00:51

Numpy: Array Preview 11:58

Numpy: Random Preview 08:00

Numpy: Indexing / slicing / transformation Preview 14:21

Pandas: Serie and dataframe Preview 05:14

Pandas: Cleaning and selection Preview 13:33

Pandas: Conditional selection Preview 04:25

Matplotlib: Graph Preview 03:08

Matplotlib: Scatter Preview 02:22

Matplotlib: Toolbox Preview 02:55