Tag Archives: Bootcamp

6 day course Advanced Risk and Portfolio Management Bootcamp

I would do this!
I. ARPM Bootcamp 2015
Six-day course Advanced Risk and Portfolio Management Bootcamp
Dates: July 13-18, 2015. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPD units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Alex Lipton, Bob Litterman, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Supporters (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Supporters (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, MSCI, NAG,…); and several Masters in Financial Engineering (CQF, Washington, MIT, Carnegie Mellon, NYU, Cornell, …)
http://www.symmys.com/arpm-bootcamp

http://www.symmys.com/arpm-bootcamp/registration

For program and overview, click here. To register, click here.

Advanced Risk and Portfolio Management (ARPM) Bootcamp, by Attilio Meucci – SYMMYS

Watch the Video
no ratings yet 184 views

 

II. Featured white papers: special issue on diversification
 The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com.
Selected featured articles:
  • Fact, Fiction, and Value Investing, by C.S. Asness, A.Frazzini, R. Israel, T.J. Moskowitz, read article
  • Backtest Overfitting Demonstration Tool: An Online Interface, by D.H. Bailey, J.M. Borwein, A. Salehipour, M. Lopez de Prado, Q.J. Zhu, read article
  • Dynamic Portfolio Management with Views at Multiple Horizons, by A. Meucci, M. Nicolosi, read article
  • Facts and Fantasies about Factor Investing, by Z. Cazalet, T. Roncalli, read article

                                                                   

   III. Buy-side quant discussions on LinkedIn

View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

– Machine Learning: Questions about the quality/(quantity) for Labels, Features, Samples and Accuracy
– Applying Machine Learning to FX and Futures HFT
– Filling in Missing Data when Data Points are Missing-At-Random
– CUSUM and Related Techniques
– Hedged Monte Carlo for Corporate Bonds on Incomplete Markets

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.

IV. Upcoming Events
First Baruch Volatility Workshop by Jim Gatheral and Andrew Lesniewski
June 16-18, 2015, Baruch College, New York
This three-day, heavily quantitative, leading edge workshop targeted to industry professionals offers a unique opportunity for participants to catch up with cutting edge developments in volatility modeling in both equity and interest rates markets.
Topics (selected): fitting SVI; VIX, VVIX, and volatility derivatives; Arbitrage-free SABR; Risk management with SABR; Rough Volatility
Contact: Volatility.Workshop@baruch.cuny.edu
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

6-day quant bootcamp next month / white papers / quant forum … blah blah

6-day quant bootcamp next month / white papers / quant forum … blah blah

From one of my fave educators in this field
I. ARPM Bootcamp 2014
Less than a month to the six-day course Advanced Risk and Portfolio Management Bootcamp!
Dates: August 11-16, 2014. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Bruno Dupire, Alex Lipton, Bob Litterman, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Supporters (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Supporters (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, MSCI, NAG,…); and several Masters in Financial Engineering (CQF, Washington, MIT, Carnegie Mellon, NYU, Cornell, …)

For program and overview, click here. To register, click here.







 


II. Featured white papers: special issue on diversification






 The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com.



Selected featured articles:


    

  • Testing Asset Pricing Theory on Six Hundred Years of Stock Returns-Prices and Dividends for the Bazacle Company from 1372 to 1946, by D. Le Bris, W. N. Goetzmann, S. Pouget, read article
    • 

  • Economic Capital Modeling Closed Form Approximation for Real-Time Applications, by T. Ribarits, A. Clement, H. Seppala, H. Bai, S. Poon, read article
    • 

  • Regime Shifts and Stock Return Predictability, by R. Hammerschmid, H. Lohre, read article
    • 

  • Reconciling Factor Optimization with Portfolio Constraints, by B. Gnedenko, I. Yelnik, read article
    • 

  • Kinetic Component Analysis, by M. Lopez de Prado, R. Rebonato, read article
    • 





                                                                   


   III. Buy-side quant discussions on LinkedIn



View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

– VaR with time series of unequal lenght
– Converting Log Return Covariance to Return Covariance
– Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
– Non-normally distributed returns: which models to use for SAA?

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc. 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!					

		
		
	


	

				

			
						

				Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci
			

								


				

			
Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci

Dates: August 11-16, 2014. Location: New York University

40 CE units CFA Institute, 40 CPE units GARP


The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises.


Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more.


Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve.


See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk


To register with the discounted partner rate go to http://www.symmys.com/arpm-bootcamp/registration, then see 1) “Registration Type”, select “Partner”; 2) go to “Specify”, select “Other”; 3) go to “Specify”, type “Terrapinn”, or contact us at arpm.bootcamp@symmys.com


JOIN OUR FREE NEWSLETTER TO LEARN MORE ABOUT THESE EVENTS  

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!					

		
		
	


	

				

			
						

				Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements
			

								


				

			






Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements




I. ARPM Bootcamp 2014








Registration for the six-day course Advanced Risk and Portfolio Management Bootcamp is open! Dates: August 11-16, 2014. Location: New York University – Kimmel Center.




The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.

Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)


The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)

Much support comes from our Educational Partners (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Partners (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, NAG,…); and several Masters in Financial Engineering (Berkeley, Washington, MIT, Carnegie Mellon, …)



For program and overview, click here. To register, click here.












 


II. Featured white papers: special issue on diversification





The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com


Selected featured articles:




    

  • Positional Portfolio Management, by P. Gagliardini, C. Gourieroux, M. Rubin, read article
    • 

  • Equal Risk Bounding Is Better then Risky Parity For Portfolio Selection, by F. Cesarone, F. Tardella, read article
    • 

  • Algorithmic Trading with Learning, by A. Cartea, S. Jaimungal, D. Kinzebulatov, read article
    • 

  • Neither ‘Normal’ nor ‘Lognormal’: Modeling Interest Rates Across All Regimes, by A. Meucci, A. Loregian, read article
    • 







III. Buy-side quant discussions on LinkedIn


View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:


– Correlation and Joint Distribution by Using Copula

– Impact of Higher Moments on Portfolio Optimization

– Application of the 10 steps of “the Prayer” to Portfolios with a Benchmark


Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.














                                                      IV. Upcoming Events



MathFinance Conference 2014

The MathFinance Conference is the largest quantitative finance event covering the European market and an influential driver in the dissemination of ideas, information and knowledge. Renowned speakers from all over the world, including Senior Quantitative Analysts, Risk Managers and Academics, deliver their talks as part of this two-day event, to be held in Frankfurt on the 14th and 15th of April 2014.

Take a look at our Conference Handout and Registration Page!


The Trading Show Chicago

June 4-5, 2014, Navy Pier, Chicago, IL.

Chicago’s leading quant, automated trading, exchange technology and big data event, the Trading Show Chicago is the only place you will hear from leading CTO’s, CEOs, and experts in proprietary, quant investing and exchange technology.


Whether you’re focused on new quantitative models, adopting low latency systems or managing risk, The Trading Show Chicago provides unparalleled opportunities to network and ultimately do business with top trading firms, quant funds, international exchanges, end investors, banks, brokers, and technology providers.

Download the brochure here








NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!					

		
		
	


	

				

			
						

				Attilio Meucci Advanced Risk and Portfolio Management Bootcamp in Matlab now open
			

								


				

			






Attilio Meucci Advanced Risk and Portfolio Management Bootcamp in Matlab now open




I highly recommend this









I. ARPM Bootcamp 2014










Registration for the six-day course Advanced Risk and Portfolio Management Bootcamp is open! Dates: August 11-16, 2014. Location: New York University – Kimmel Center.



The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.

Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)


The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)

Much support comes from our Educational Partners (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Partners (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, NAG,…); and several Masters in Financial Engineering (Berkeley, Washington, MIT, Carnegie Mellon, …)



For program and overview, click here. To register, click here.

















II. Buy-side quant discussions on LinkedIn




View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:


– Minimum Torsion on Correlation and Covariance Matrix

– Equity Return Forecasting

– Incorporating Estimation Variance in Mean-Variance Optimization

– Question about statistical tests for stochastic dominance


Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.









III. Featured white papers: special issue on diversification



The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com


 Selected featured articles:




    

  • An Algorithm for Computing Risk Parity Weights, by F. Spinu, read article
    • 

  • Least-Squares Approach to Risk Parity in Portfolio Selection, by H. Bai, K. Scheinberg, R. Tutuncu, read article
    • 

  • What is Portfolio Diversification?, by A. Fragkiskos, read article
    • 

  • Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors, by A. Meucci, A. Santangelo, R. Deguest, read article
    • 




NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!