Interactive Webinar on Alpha Generation: Controlling Intraday Risk Profile

Attend a free webinar on Alpha Generation: Controlling Intraday Risk Profile by Stephanie Toper - Director of Portfolio Analytics, PortfolioEffect on Tuesday, January 10, 2017, 8:30 PM IST | 9.00 AM CST. This webinar will be very beneficial for those who need intraday risk metrics at any frequency, portfolio optimization, portfolio backtesting and metrics forecasting. Example will be shown in Python.

Webinar Date and Time

Tuesday, January 10, 2017

8:30 PM IST | 9.00 AM CST

Alpha Generation

Asset returns based on low frequency prices (e.g. end-of-day quotes) are still dominating modern portfolio analysis. To make portfolio metrics more relevant intraday and improve the precision of estimates, new data frequency needs to be explored.

In this presentation we demonstrate how using high frequency market data for portfolio risk management and optimization could improve the classic variance-bias trade-off and bring new insights to strategy backtesting.

Since high frequency prices require special handling, we discuss key components of an automatic model pipeline for microstructure noise, price jumps, outliers, fat tails and long-memory.

We conclude our presentation with an introduction to high frequency portfolio optimization built on top of intraday portfolio metrics. Examples will be shown in Python.

Register now

https://www.quantinsti.com/controlling-intraday-risk-profile-10-jan-2017/

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