Syllabus

ES.S61IntroductiontoTrading Spring2014

Introduction to Trading Syllabus Lecturers: Traders@MIT Executive Board ([email protected]) Course Coordinator: Youyang Gu ([email protected]) Lectures: Mondays 7-9PM. Room 5-134 Labs: Fridays 3-4:30PM. Room 3-333 A.Course Description

This is an introductory course designed for students who want to learn about trading. While providing a sound theoretical foundation, the class will also place emphasis on practical applications of theory. Our class will help prepare students for future full-time jobs and internships in the industry. At the end of the term, students will be able to understand the basics of trading and exchanges, discuss markets fluently, generate models using Excel, and, most importantly, be able to create their own trading strategies. B.Schedule

Lec Date Topic

1 02/10/14 Introduction to Trading and Exchanges

2 02/18/14 Equities

3 02/24/14 Fixed Income

4 03/03/14 Forwards & Futures

5 03/10/14 Commodities

Week of 3/10 Interview 1 (Covers Lec 1-4)

6 03/17/14 Options

7 03/31/14 Foreign Exchange/Swaps

8 04/07/14 Building a Trading Strategy I

9 04/14/14 Algorithmic Trading

04/25/14 Final Project Proposal Due

Week of 4/28 Interview 2 (Covers Lec 5-9)

10 04/28/14 Current Topic/Review

11 05/04/14 Building a Trading Strategy II

05/12/14 Final Project Writeup Due

12 05/12/14 Trading Strategy Presentation


C. Classes and Labs

Classes will be held on Monday evenings. They will cover the basics of many financial

products and how they are traded in the industry. Friday labs will involve simulated electronic trading (using the Rotman Interactive Client) and mock trading to give students a more hands-on experience and more opportunities to apply what they have learned in class. D. Interviews

Over the course of the semester, you will have two individual interviews with the

instructors. This is an opportunity to demonstrate what you have learned over the course of the semester. We believe this is a much better way to assess how much you have learned than exams. We will not ask you to regurgitate formulas and definitions. Instead, we try to ask questions that allow you to apply what you have learned to new situations. This is also a great way to practice for real trading interviews.

E. Final Project

We will cover many of the tools and methods that are commonly used to develop a trading strategy. For the final project, students will be asked to apply everything they have learned over the course of the seminar to create and present on their own trading strategy. Most students have enjoyed their projects in the past, and we hope this will be a rewarding experience for everyone. G.Grading and Attendance

This is a 6-unit P/D/F class. Grades will be calculated as follows: Class and Lab Participation (30%), two interviews (40% total), final trading strategy/presentation (30%) Attendance is mandatory! We structure our classes to be interactive, and so it is for your own benefit that you attend lectures and labs. You can only miss 2 lectures and 2 labs. If you miss more than that, you will need to have an official excuse.


H.About the Instructors

Youyang Gu, yygu@mit,edu, Course 6 and 18, Class of 2015

Youyang has been exploring the high-frequency trading industry since he was a freshman. He has worked with electronic trading groups at various firms including J.P. Morgan, Tower Research Capital, and Credit Suisse. He is currently the Co-President of Traders@MIT, and enjoys teaching others what he knows about the trading industry.

Alex Wang, [email protected], Course 6 and 18, Class of 2014 Alex is primarily interested in high-frequency trading. He has experience working at various trading firms including Wolverine Trading, Morgan Stanley, and Chopper Trading. Along with Youyang, Alex is the Co-President of Traders@MIT, and is also involved in the Sloan Trading Room Taskforce.

Vlad Kontsevoi, [email protected], Course 6 and 18, Class of 2014

Vlad is interested in high-frequency and short- to medium-term quantitative trading. He has worked in trading and quantitative research at a number of firms, including Jane Street, Tower, Five Rings, and D.E. Shaw. After graduation, he will be joining Hudson River Trading.

Oliver Huang, [email protected], Course 14 and 18, Class of 2014

Oliver is a senior at MIT who likes trading. He is on the executive board of Traders@MIT and does a lot of math in his free time. After graduation, he will be joining Morgan Stanley.

Documents

Syllabus