Alpha Generation: Controlling Intraday Risk Profile
Webinar Date and Time
Tuesday, January 10, 2017
8:30 PM IST | 9.00 AM CST
Asset returns based on low frequency prices (e.g. end-of-day quotes) are still dominating modern portfolio analysis. To make portfolio metrics more relevant intraday and improve the precision of estimates, new data frequency needs to be explored.
In this presentation we demonstrate how using high frequency market data for portfolio risk management and optimization could improve the classic variance-bias trade-off and bring new insights to strategy backtesting.
Since high frequency prices require special handling, we discuss key components of an automatic model pipeline for microstructure noise, price jumps, outliers, fat tails and long-memory.
We conclude our presentation with an introduction to high frequency portfolio optimization built on top of intraday portfolio metrics. Examples will be shown in Python.
Director of portfolio analytics, PortfolioEffect
Stephanie spent 8 years as a quantitative developer at Karya Capital, UBS and Societe Generale and was a senior risk analyst at MF Global. She has extensive experience in interest rate derivatives and quantitative library development.
She holds a Master’s degree in Mathematics of Finance from Columbia University and a Master’s in Applied Mathematics and Computer Science from ENSIMAG, France.
Who should attend?
This webinar will be very beneficial for those who need intraday risk metrics at any frequency, portfolio optimization, portfolio backtesting and metrics forecasting. Example will be shown in Python. The session will be ideal for:
- Quant Analysts
- Traders on Equities, ETF and Indices
- Those who are looking for backtesting strategies
- Python coders interested in financial markets
PortfolioEffect service offers portfolio optimization, portfolio backtesting, metrics forecasting and intraday risk metrics through 4 APIs: Python, R, Matlab and Java. The uniqueness of our service is that all calculation are done using high frequency market data which benefits low and high frequency traders. We cover 8,000+ US Equities (stocks, indices, ETFs). Clients can also upload their own market data. PortfolioEffect service employs latest advances in high frequency market microstructure theory to make classic portfolio risk and optimization results available intraday at tick-level resolution. It uses automated model pipeline to process high frequency price returns in a streaming fashion.
QuantInsti is Asia’s Premiere Algorithmic Trading Research and Training Institute focused on preparing financial market professionals for the contemporary field of Algorithmic and High Frequency Trading.
QuantInsti institute developed the curriculum for Asia’s first Executive Programme in Algorithmic Trading (EPAT™) in 2009. As an initiative by financial markets professionals with stellar academic and professional credentials, the program aims to fulfil the pressing demands for highly specialized skill sets of a potentially lucrative domain of Algorithmic Trading. QuantInsti opened the doors to global participants in 2012 by introducing virtual classrooms for its flagship EPAT™ course and have seen participation from all inhabited continents since then.