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Week 2: Thursday 23rd March, 17.30 GMT

A session at Online Workshop: Algorithmic Trading Strategies

Thursday 23rd March, 2017

5:30pm to 9:00pm

Mean-Reversion and RV trading

Indecisive markets?

Mean Reversion
Rationales: Liquidity provision or Overreaction
Stationary vs Non-Stationary processes (traditional timeseries analysis)Relation to Relative Value (RV) Trading
Univariate Tests - ADF, KPSS, Var-Ratio
Multivariate tests - Johansen, Nyblom
Cointegration and PCA
Shortcomings – Time-variation
Catching falling knives

RV Trading and its flavours
I(1) vs I(0): RV vs Trend
RV Trades in Delta-One space (pairs/spread, butterflies, baskets, etc)
Timing Entry points and mean reversion. Optimising
Stationarity: Are RV trades stationary? Macroeconomic trends and RV.

Change-point Detection and Regime SwitchesStop Losses and scaling
Breakpoint tests
In Practice – OOS vs IS fits

Robust prediction using mean reversion
Exponentially weighted moving averages (EWMA), Double exponential
EWMA as Kalman filters
Signal vs Noise
When trades go bad...

Change-point Detection and Regime SwitchesStop Losses and scaling
Breakpoint tests
In Practice – OOS vs IS fits
Seeing things more simply

Robust prediction using mean reversion
Exponentially weighted moving averages (EWMA), Double exponential
EWMA as Kalman filters
Signal vs Noise

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When

Time 5:30pm9:00pm UTC

Date Thu 23rd March 2017

Session Hash Tag

#algotrading

Short URL

lanyrd.com/sfpzzm

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