Tag Archives: slides

Slides on systematic trading strategies

Slides on systematic strategies

Here are some very interesting and detailed mathematical strategies that you should consider when developing low-level trading models. This will showcase the power of math versus some technical chart chasing trading opportunity. That’s what all these unknowingly technical analyst amateurs do.
Check out this set of slides which will intrigue you about the advancement of math in trading

What REAL quant and HFT looks like from advanced math PHD doctorate book

When you look at this, I also need to remind you of this book which will show the advancement of mathematical formulas for any high frequency trader.

Check out this book here

I know we are nowhere close to using these advanced trading strategies but I follow more simplistic approaches like fundamental. With a combined solid baseline of economic analysis, you have a major advantage that no one else will see this type of data. But the question is what do you do with it? What do you think my upcoming analytical service will be about?

As they say get it while it’s hot, the remnants of my Quant Elite membership will be removed in coming months.

 

As a result, I highly recommend you to check out my Quant Elite membership.
You could always join here

Thank Bryan

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!

Slides on systematic strategies

Latest slides on systematic strategies

All from Attilio Meucci’s world who has some great example code for trading risk analysis

This is the major link you want:

 

 

In this issue you will find:
1. ARPM Education
Slides: Systematic strategies
2. ARPM News
Exhaustion and relief at the ARPM Bootcamp
3. ARPM Pointers
3.1 “Did you know?”
3.2 Featured white papers
3.3 Quant discussions

 

1. ARPM Education
Slides: Systematic strategiesSystematic strategies are dynamic quantitative portfolio construction techniques inspired by the key theorems of the asset pricing. Systematic strategies are also known as “quantitative strategies”, or “rule-based strategies”, or, with abuse of nomenclature, “smart beta”, or “alternative beta”, or “exotic beta”, or “quantitative alpha”, or “factors” or “risk premia”.
In this set of slides we describe:
– Signal identification (fundamental, pricing and statistical) and signal filtering
– The Fundamental Law of Active Management and its connection to expected returns
– The construction of factor-replicating portfolios with one or more signals
– BacktestingSee presentation ]   [ Join discussion ]
 

2. ARPM News
Exhaustion and relief at the ARPM BootcampThis year we had a record turnout at the ARPM Bootcamp: 333 attendees from all over the world!
However, wading through 6 days of instruction, marching through networking events and the Gala Dinner, practicing on the ARPM Lab, crawling under the MATLAB Day and the Python Day, and running through all the other activities in that one fiery week of August took a toll on our crowd, see for yourself:
ARPM is a proud sponsor of the one-day workshop
New Themes in Finance, Insurance and Energy Markets
September 22nd, 2016
Università del Piemonte Orientale, Department of Economics and Business, Novara (Italy)

[ Website ]  [ Program ]
Registration is free but mandatory. To register write to manfin@uniupo.it
 

3. ARPM Pointers
3.1 “Did you know?”

  • The Arbitrage Pricing Theory can be derived by assuming a linear factor model for the stochastic discount factor [Comment]
  • Two jointly t-distributed random variables cannot be independent  [Comment]
  • An arbitrary European-style option can be written as a portfolio of call options with the same expiry and different strikes [Comment]
  • The sample mean and sample covariance are very sensitive to the inputs, and thus are not robust estimators [Comment]
3.2 Featured white papers

The Advanced Risk and Portfolio Management Research Paper Series on SSRN collects 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.
Featured white papers:

3.3 Quant discussions

View our technical discussions on the Advanced Risk and Portfolio Management Group on LinkedIn. Join to contribute papers, code, or thoughts. We have a no-advertisement policy. Featured quant discussions:

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!

From Meetup.com: Free R Introduction scripts and Powerpoint slides now posted

From Meetup.com: Free R Introduction scripts and Powerpoint slides now posted

Ram had uploaded  his R files and Powerpoint slide. Goto:

http://www.meetup.com/R-Matlab-Users/files/

Details on this Meetup for those that missed it:

  • Online meetup through GotoMeeting. May have limit so sign up early to guage interest.

Intro to R with topics on:
R environment and installation
R packages and sample data sets
R objects and classes
Data input and cleaning
Graphic power and statistical computing
Quantmod and other important packages
Books and tutorials
Ram’s Bio:

” I am a software professional with 3 decades of experience. I hold a Masters degree in industrial engineering from Indian Institute of Technology, Chennai, India. with Dawn Analytics i focus on software development and consultancy with R, Python and Hadoop.”

 

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!