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Week 1: Thursday 16th March, 17.30 GMT

A session at Online Workshop: Algorithmic Trading Strategies

Thursday 16th March, 2017

5:30pm to 9:00pm

Overview, Math Background, Trend Following

Quant trading as an industry

Systematic Trading as an Industry:
Structure of Quantitative/CTA market
Trends in AUM
Performance
Where to find out more
Shared infrastructure for algo traders
Platforms and APIs
Python libraries
NOSQL, etc
Overview of Strategies
Momentum or Trend Following
Value
Mean reversion
Carry
Relative Value
Vol Selling
Statistical Arbitrage
Equities Quant
Overview of pitfalls
Time-series stats/econometrics (Discrete time)
Stochastic Differential Equations (Continuous time)
The basics: Quick Overview of Background Maths/Stats

Emphasis on modern fitting techniques, methods of solution, properties of solutions

Fads, Fancies and Trends

Momentum
Rationales
Mathematical/Statistical PropertiesImpact on design – option value vs reactivity, skewness vs Sharpe
Continuous time characterisations - power options and dependence on long-only Sharpes
Discrete time - skewness term-structure, autocorrelation and volatility
Non-linear filter - Impact and benefits
Returns distribution engineering, limitations and further direction

Momentum signals in practice.Timeseries vs Cross-sectional Momentum
Crossing moving averages
Z-scores
Filters
Technical indicators
Econometric forecasting, ARIMA models

On the street–CTAs and Quant Trend following vs Quant Equities

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When

Time 5:30pm9:00pm UTC

Date Thu 16th March 2017

Session Hash Tag

#algotrading

Short URL

lanyrd.com/sfpzzk

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