From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
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Finding strategies in trading: Market microstructure
From the course: Algorithmic Trading and Finance Models with Python, R, and Stata Essential Training
Finding strategies in trading: Market microstructure
- [Instructor] Algo trading often comes down to, particularly, in short-term periods, technical indicators or market microstructure factors. Let's take a look at an example. I'm in the 06_02_Begin Excel file. Now what I've done here is pull in some data from Stata, having kind of gone through and manipulated that data. And this represents the S&P 500, and we've got daily price levels over time from 1962 through the end of 2023. And what I've done then is go through, and these were all computed, these were values that were computed in Stata using various formulas, but we've gone through and computed stuff like the returns, the cumulative returns, et cetera. But what's interesting is if we were to go through and graph this, as you see here, it raises an interesting point, right? So we've got this graph of the S&P 500 over time and we see it sloped up. That's nice. But if I'm trying to trade the S&P 500 on a day by day basis, right? Maybe I'm interested in, as an example, trying to…
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