Linear Systems, Vectors, Matrices and Their Determinants - A First Course in Linear Algebra (I)...and some secret announcements ...
(there’s an important announcement at the end of this post)
In the last post, we introduced the change of numeraire method.
As mentioned, in order to evolve our discussion on portfolio management, which necessarily deals with optimization problems in multivariate systems, we need to develop some understanding of linear algebra. In general, I like to think of linear algebra as classified into three parts - computational linear algebra, abstract linear algebra and advanced linear algebra. In particular, computational linear algebra will be particularly useful at this stage.
We will introduce computational techniques and linear algebra methods in three parts. We intend to finish all three parts over the next 1~2 weeks. Typically, this is taught at the undergraduate level as a first course in linear algebra over an entire semester, the contents of which we will give fair treatments to over the tripartite post.
The first post is on linear systems, matrices and vectors. We introduce concepts such as determinants, and put fair amount of focus on the invertibility of matrices. In the next part, we look at vector spaces and their properties.
As promised, this is made available to all readers:
Preview:
We will add this to the market notes and release the full notes to paid readers (now 450+pages of discussions in mathematics and trading) in future posts. Now, for the announcement. Most of you know that my introductory course to multi-strategy quant systems are hosted on Udemy here.
Due to high demand, I will be creating an advanced quantitative trading course (focused similarly on coding and engineering solutions) in 23/Q4 or 24/Q1. We will be talking about some of the methods used behind the scenes, engines designed for formulaic alphas and introduction to intelligent agents.
The estimated price is >=1k, but the catch is that all subscription costs paid to hangukquant.substack.com are deductible from the base price of the course. That is, if you have subscribed for 2 years, with payment $333.33 * 2 = $666.66, then you are eligible for a discount of $666.66 and so on. Some of our earliest readers are eligible for free access!
That is, if you intend to attend the course, and are not a paid subscriber of our newsletter - then you should - because all the subscription fees will be deductible!
Happy Weekend.
Was about to get laid until I saw the Substack notification. Told her she could wait.