Statistical Arbitrage for Traders and Fund Managers
Curso
En Benito Juárez
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Descripción
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Tipología
Curso
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Dirigido a
Para profesionales
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Lugar
Benito juárez
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Horas lectivas
6h
Objetivo del curso: One day with one of the most influential players in the Quant and Trading fields. Create profitable Trading and Arbitrage strategies using Statistical Arbitrage. Learning to identify opportunities at the Markets: Volatility equals money. Destinatarios del curso: Fund Managers. Asset Managers. Traders. Brokers. Individual Investors. Risk Managers. Regulators
Sedes y fechas disponibles
Ubicación
Inicio
Inicio
Acerca de este curso
• We recommend that the participants have medium or advanced mathematical skills level, risk management and/or trading experience in the financial Institutions.
Opiniones
Profesores
Marco Avellaneda
Consejero y Consultor
Fue Vicepresidente de Productos Derivados en Morgan Stanley, además, Portfolio Manager de estrategias de Volatilidad de Equity en Gargoyle Strategic Investments LLC, Dir. de la Mesa de Arbitraje de Volatilidad en Capital Fund Management y recientemente, Fund Manager en Galleon Group in New York.
Programa académico
Contenido:
1.US Equities and Exchange Traded Funds: a quant Perspective
- PCA and factor analysis of large-scale correlation
- Matrices
- Extracting factors from market correlations
- Systematic volatility, idiosyncratic volatility and their variation in time
2. Exchange Traded Funds
- Exchange-traded funds (ETFs): review
- ETFs as risk factors
- Leveraged ETFs and Volatility ETFs
3. Pairs-trading, mean-reversion, co integration
- Pairs trading: theoretical framework
- Leveraged ETFs pairs trading
- VIX ETF pairs trading
- Stock/sector ETF pairs trading
4. Statistical Arbitrage
- Portfolio construction
- Leverage & financing considerations
- Dynamic risk-management: limiting systematic risk
- Practical considerations
5. Historical Results via backtesting
- Late 1990s
- 2002-2007: How the subprime crisis affected statistical arbitrage
- 2008-2010: The future of medium-frequency statistical arbitrage
° Q&A opportunity for further technical questions
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Te ayudará a comparar y elegir el mejor curso para ti y a financiarlo en cómodas cuotas mensuales.
Statistical Arbitrage for Traders and Fund Managers