Intraday Strategy Backtesting, Portfolio Optimization and Risk Forecasting with R

Thursday, November 17 2016, 10:30 AM - 5:30 PM [EST]

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


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Event Information

Thursday, November 17 2016, 10:30 AM - 5:30 PM [EST]

About the Event

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.


Beginner knowledge of R and finance, college level math, laptop with RStudio installed  


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.

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About the Organizer

Andrey Kostin And Stephanie Toper
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