New York, 17th of November
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 study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting with PortfolioEffectHFT R package.
Prerequisite:
Beginner knowledge of R and finance, college level math, laptop with RStudio installed
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
3:30 PM-4:00 PM Portfolio optimization
4:00 PM-5:00 PM Exercise Built your own optimization
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 Stephanie.toper@portfolioeffect.com or info@portfolioeffect.com
