Back to Quantitative trading

Module 01 · Foundations

Quantitative time series and signals

Returns, streaming statistics without catastrophic cancellation, Ornstein-Uhlenbeck mean reversion, and cointegration spreads.

4 lessons · 3 graded exercises·3 hours·beginner·Prerequisite: Market microstructure and order books

Returns and stationarity

Raw asset prices are non-stationary. Quantitative modeling requires transforming price paths into stationary return series.

Streaming statistics

20 min · exercise

Compute exponential moving averages with warmup and sliding window sample variance without catastrophic cancellation.

Mean reversion and Ornstein-Uhlenbeck processes

25 min · exercise

Model mean-reverting price dynamics using continuous Ornstein-Uhlenbeck processes, calibrate parameters, and compute half-life.

Cointegration and spread signals

25 min · exercise

Distinguish cointegration from correlation, calculate hedge ratios via OLS regression, and construct normalized z-score spread signals.