Intraday Strategy Backtesting, Portfolio Optimization and Risk Forecasting with R

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

500 8th Avenue, New York, NY, United States

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Event Information

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

About the Events

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

 

 

Event Location

About the Organizer

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

CONTACT ORGANIZER View other events