Alpha Generation: Controlling Intraday Risk Profile
with Python, Chicago

Friday, February 10 2017, 10:30 AM - 5:30 PM [CST]

Chicago, Illinois, United States

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Event Information

Friday, February 10 2017, 10:30 AM - 5:30 PM [CST]

About the Events

Chicago, 10th of February

You will learn why the use of high frequency market data is necessary to be able to measure correctly the risk and rebalance your portfolio adequately. You will also learn how to build strategies to generate alpha. You will study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting with PortfolioEffect hft Python package.


Prerequisite:

Beginner knowledge of Python and finance, college level math, laptop  


Agenda

10:30 AM-11:00 AM      Welcome

11:00 AM-11:30 AM      Introduction to high frequency market data

11:30 AM-12:00 PM      Intraday risk metrics

12:00 PM-12:30 PM      Exercise-build intraday risk metrics on portfolio  

12:30 PM-1:00 PM        Backtesting portfolio and build your own strategies

1:00 PM-1:30 PM          Lunch break

1:30 PM-2:00 PM          Exercise on backtesting  

2:00 PM-2:30 PM          Vol forecasting

3:00 PM-3:30 PM          Exercise on vol forecasting

3:30 PM-4:00 PM          Portfolio optimization & Alpha generation

4:00 PM-5:00 PM          Exercise-build your own optimization for alpha generation

5:00 PM-5:30PM           Closing remarks 

 


 

Lecturer

 

   

   Name: Stephanie Toper

   Company: PortfolioEffect

    Title: Director

 

 

 

 

 

Profile:

Stephanie is a director of portfolio analytics at 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.

Question, comment: reach at info@portfolioeffect.com

 

 

Event Location

About the Organizer

Andrey Kostin, PhD And Stephanie Toper
For any questions, email info@portfolioeffect.com

CONTACT ORGANIZER View other events