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23-27 May, 2022
Online virtual conferenceBST (British Summer Time, GMT+1)

Alpha & Quant Investing - Tuesday 25th May

This focus day will examine the quantitative techniques increasingly used by asset managers, hedge funds and insurance companies to optimise asset allocation and portfolio management, taking a deep dive into the latest strategies. Currently confirmed speakers and their presentation areas include the following:

Alternative Sentiment Data for Managed Futures
Alternative Sentiment Data for Managed Futures
  • Does macro sentiment data work for managed futures?
  • Application of Alexandria sentiment data
  • Features engineering
  • ML methods for feature selection and model training
  • The defensive risk-profile of simulated sentiment-driven managed-futures strategies

With Artur Sepp, Director of Research, Quantica Capital AG

Alpha generation models using Machine Learning techniques
Alpha generation models using Machine Learning techniques
  • Introduction to popular ML tools and possible applications to financial markets
  • Challenges and problems using ML tools
  • Finding alpha using ML tools and building autonomus automated trading systems (cross sectional vs time series modelling)
  • Live examples of classification models including application to L/S equity portfolios, asset allocation modelling and advantages vs conventional Mean-Variance models
  • Considering pattern recognition

With Andrea Nardon, Chief Quant Officer, Black Alpha Capital

Backtesting FX options trading strategies in Python
Backtesting FX options trading strategies in Python

In this session, we shall discuss the general approach to backtesting FX options in Python, and the steps required using the open source finmarketpy library. We shall also present a few common FX options trading strategies, illustrating the impact of delta hedging.

Saeed Amen, Founder, Cuemacro

Quant in Crypto-Land
Quant in Crypto-Land

Cryptocurrencies and digital assets have experienced tremendous growth in the last few years. A completely digital asset class, crypto should be the perfect vehicle for a new generation of quant strategies but has proven to be very resilient to most quant strategies.  This panel will discuss:

  • The challenges and opportunities for quantitative models in the crypto space
  • Different theses and techniques that have proven effective for discovering alpha in crypto markets
  • How emerging trends such as decentralized finance(DeFi) are challenging some of the preconceptions of traditional quant models in capital markets.

Moderator: Jesus Rodriguez, Co-Founder & CTO, IntoTheBlock

Your checklist for building systematic trading strategies
Your checklist for building systematic trading strategies

In this practical primer you will hear what it takes to build a systematic trading strategy from the ground up:

  • What are the pieces of the puzzle? Where can you find what you need?
  • What are the main pitfalls of going systematic, and why should you bother?

With Zoltan Eisler, MD, Head of Long Only Products, Capital Fund Management