From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
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Finding strategies in investing: Factors
From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
Finding strategies in investing: Factors
- [Instructor] When people think about algorithmic trading, they usually think about high-frequency trading, that is trading multiple times per day, or oftentimes multiple times per second or minute. It doesn't have to be that way. Algorithmic trading is really just any type of quantitative trading that's done by a computer. That can mean very short-term trading, but it could also mean more deliberate trading over time based on pulling in information and then looking for opportunities across mass large quantities of data. Indeed, there are many very large, very successful hedge funds and investment firms that use exact this approach. The academic term for this strategy is called factor investing, but it's often known in industry as smart beta investing. Let's take a look at an example of how this works. I'm in the 06_03_Begin Excel file. Now, what I've done here is use Stata, and I've pulled in data on all stocks from 1960 through present, and I have sorted these into quartiles based…
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