Fordham-PortfolioEffect Algo Trading Workshop with Python, NYC

NYC, Sunday, May 21st from 9am to 4pm

During the workshop, you will learn how to compute intraday risk with PortfolioEffect HFT package available on Anaconda. The complexity of tick market data will be explained. You will study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting.

Prerequisite:

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

We will learn how to use Jupyter Notebook.

 

Agenda

9:00 AM – 9:30 AM: Welcome

9:30 AM – 10:00 AM: Introduction to tick market data

10:00 AM – 10:30 AM: Intraday risk metrics

10:30 AM – 11:00 AM: Exercise

11:00 AM – 11:30 AM: Backtesting & build your strategies

11:30 AM – 12:00 PM: Exercise with a moving average strategy

12:00 PM – 1:00 PM: Lunch break

1:00 PM – 1:30 PM: Vol forecasting

1:30 PM – 2:00 PM: Exercise on vol forecasting

2:00 PM – 2:30 PM: Break

2:30 PM – 3:00 PM: Portfolio optimization

3:00 PM – 3:30 PM: Exercise

3:30 PM – 3:45 PM: Strategies

3:45 PM – 4:00 PM: Closing remarks

 

Partners

Fordham Quantitative Finance Society

To register click here.

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