Quantifying Uncertainty
Details
Agenda:
5:30pm: Networking, Pizza & Drinks
6:00pm: Join Thomas Wiecki at the Boston Data Festival (http://www.bostondatafest.com) where he will talk about evaluating algorithms using probabilistic programming.
A small $6.27 fee will be charged for this event. Click here to purchase your ticket. (http://www.eventbrite.com/e/quantifying-uncertainty-evaluating-trading-algorithms-using-probabilistic-programming-thomas-wiecki-tickets-13335048489?aff=eorg)All proceeds go to the Boston Data Festival.
Quantifying Uncertainty: Evaluating Trading Algorithms using Probabilistic Programming
There exist a large number of metrics to evaluate the performance and risk of a trading strategy. Although those metrics have proven to be useful tools in practice, most of them require a large amount of data and yield unstable results on shorter timescales. Quantopian allows users to develop and launch trading algorithms that invest in the stock market. In order to identify stellar quants and connect them with investors, estimating performance with few data points becomes critical. Bayesian modeling is a flexible statistical framework well suited for this problem as uncertainty can be directly quantified in terms of the posterior distribution.
Thomas will briefly provide an overview of Bayesian statistics and how Probabilistic Programming frameworks like PyMC can be used to build and estimate complex statistical models. He will then show how several common financial risk metrics like Alpha and Beta can be expressed as a probabilistic program. Finally, he will apply this type of Bayesian data analysis to evaluate the performance of anonymized real-world trading algorithms running on Quantopian.
A small $6.27 fee will be charged. All proceeds go to Boston Data Festival. You can reserve your spot here (http://www.eventbrite.com/e/quantifying-uncertainty-evaluating-trading-algorithms-using-probabilistic-programming-thomas-wiecki-tickets-13335048489?aff=eorg).
About the Speaker:
Thomas Wiecki received his PhD from Brown University where he developed Bayesian models to help understand brain disorders. He currently works as a quantitative researcher at Quantopian Inc. (https://www.quantopian.com/) where he helps to build the worlds' first browser based algorithmic trading platform. Among other projects, he is involved in the development of PyMC — a probabilistic programming framework written in Python.
A small $6.27 fee will be charged. All proceeds go to Boston Data Festival. You can reserve your spot here (http://www.eventbrite.com/e/quantifying-uncertainty-evaluating-trading-algorithms-using-probabilistic-programming-thomas-wiecki-tickets-13335048489?aff=eorg).