Intraday Strategy Backtesting, Portfolio Optimization and Risk Forecasting with Python

Wednesday, November 16 2016, 10:30 AM - 5:30 PM [EST]

500 8th Avenue, #901, New York, NY, 10018, United States


1. Select Seats

2. Review and Proceed

This event is currently not on sale, please contact the event organizer for any additional questions.

Corporate Partial Approval - $799.00

Sales end on - Not on sale yet

Academic Partial Approval - $599.00

Sales end on - Not on sale yet

You need to register with a university email.

Enter your discount code

  • Subtotal (excluding fees and discounts)
  • Fee
  • Total amount

Event Information

Wednesday, November 16 2016, 10:30 AM - 5:30 PM [EST]

About the Event

New York, 16th 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 PortfolioEffect HFT Python package.


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


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 






   Name: Stephanie Toper

   Company: PortfolioEffect

    Title: Director







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 or



Event Location

About the Organizer

Andrey Kostin, PhD & Stephanie Toper
For any questions, email

CONTACT ORGANIZER View other events