NYC R Workshops

Intraday Strategy Backtesting, Portfolio Optimization and Risk Forecasting with R

Nov 17th, NYC

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 package available on CRAN.

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

 

Registration: Click here, space is limited

For a student discount, please email info@portfolioeffect.com

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