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Algo trading: Inside boutique systematic fund | Practical order execution

14 giugno 2019 ore 12:00 - 14:00

Aula 304B, Sede di Viale Romania, 32

Speaker: Aistis Raudys , Vilnius University

Abstract:

In this presentation, I will review research and other activities in systematic trading fund “Algorithmic Trading Portfolio”. I will start about trading strategies, creation, validation, optimisation and overfitting. Next, I will move to portfolio construction from trading strategies and overfitting in portfolio construction, maximizing Sharpe ratio and other criteria. I will also talk about order execution research using tick touch, tick + execute minimum and bid/ask data. I explain how we evaluate strategies and A/B testing in real order execution. Post execution, slippage analysis. I will cover other aspects of everyday trading activities too.