Chicago Python Workshop

Alpha Generation: Controlling Intraday Risk Profile with Python

Friday, February 10 2017, 10:30 AM – 5:30 PM [CST]

Chicago, 10th of  Frebruary

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 learn how to build strategies to generate alpha. You will 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 with Anaconda2 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 on vol forecasting

3:30 PM-4:00 PM     Portfolio optimization & Alpha generation

4:00 PM-5:00 PM     Exercise-build your own optimization for alpha generation

5:00 PM-5:30PM     Closing remarks


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


Registration: Click here, space is limited


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