Dear all,
I was asked to forward the following event to the list.
The Business and Industrial Section of the Royal Statistical Society
will host a half-day event, on the 28th of November, on Statistical
challenges in finance and in particular in hedge funds. The half-day
event will include three invited presentations and it will be held
at the RSS Headquarters at Errol Street, London. The talks are
scheduled at 15:00 to 17:30 hours with a coffee break and discussion
afterwards.
Below you can find speakers, titles and abstracts of the talks. For
registration, please send an email to
[log in to unmask].
28th November, 15:00-17:30, RSS Headquarters, London
Quantitative
methods in hedge funds: statistical contributions and challenges
Carol
Alexander (University of Sussex)
VIX Futures and their Exchange-Traded Notes
This talk addresses the trading, hedging and performance
characteristics of VIX futures and their exchange-traded notes
(ETNs). Do these products really provide a unique source of
diversification for long equity investors? What features of the
VIX futures term structure contribute to the high negative
roll-yield and how can we best structure ETNs that take advantage
of the term-structure convexity? What are the hidden risks from
hedging an issue of ETNs? Can technical rules be successfully
applied to forecast VIX futures prices, or is any perceived
out-performance due to data-snooping bias?
Gunnar
Klinkhammer (Man Group)
Managing money at a 'quant' fund is a bold application of
statistics: a practitioner's perspective
Systematic trading has become a widely recognized style of
managing money. Its applications range from medium-term trend
following across global markets to high-frequency ‘algorithmic’
market making in stocks. Systematic trading relies on persistent
features in market behaviour, identified from historical data. But
structural shifts do occur, sometimes rapidly. Thus we are faced
with the fundamental challenges of model validation, variance/bias
trade-off, and breakpoint identification. Drawing on my experience
in working with one of the largest systematic fund managers, I
will illustrate these challenges.
Kostas
Triantafyllopoulos (University of Sheffield)
Algorithmic pairs trading: some recent developments and
statistical challenges
The term pairs trading refers to a basic trading strategy: buy low
and short-sell high. In the recent years algorithmic pairs
trading, which aims to automate statistical decisions relevant to
trading without human intervention, has received significant
development, in particular in hedge funds and related financial
institutions. This talk concerns an introduction to pairs trading
from a statisticial point of view. We will highlight some of the
challenges of algorithmic pairs trading, in particular regarding
to the processing of high dimensional data sets. Throughout the
talk we will illustrate that managing uncertainty plays a crucial
role for the success of these trading approaches.
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