Seminar (Zurich) - Saeed Amen - Creating trend following fund / Python demo

This will be a FREE event and our first event in Zurich - thanks to ETH for kindly hosting this event and for Swati Mital for organising. The talk will be at 6pm Zurich time. There will also be post-events drinks at bQm nearby.

Full title: Creating trend following fund: How to build a CTA? / interactive PyThalesians Python markets demo

Abstract: In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors.

Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub (https://github.com/thalesians/pythalesians)). Amongst other things we shall investigate the properties of intraday FX volatility, where we'll be accessing live market data via Bloomberg and also creating customised plots using Matplotlib (see below).

http://photos4.meetupstatic.com/photos/event/9/6/6/2/600_437138498.jpeg

Bio

Saeed Amen (@thalesians) is a managing director and co-founder of the Thalesians. He has a decade of experience creating and successfully running systematic trading models at Lehman Brothers, Nomura and now at the Thalesians. Independently, he runs a systematic trading model with proprietary capital. He is the author of Trading Thalesians – What the ancient world can teach us about trading today (Palgrave Macmillan). He graduated with a first class honours master’s degree from Imperial College in Mathematics & Computer Science.

Directions to the Venue

Room G 43, Building HG, ETH Hauptgebäude, Rämistrasse 101, 8092 Zurich

The Hermann Weyl room is located in the south wing of the ETH main building (2nd floor), corner Rämistrasse / Karl-Schmid Street (accessible by stairs 40).

Travelling by public transport from Zurich Central Station:

From the “Bahnhofstrasse/HB” stop: Tram no. 6 (towards the Zoo) as far as the “ETH/Universitätsspital” stop. Journey time: approx. 6 minutes

From the “Bahnhofplatz/HB” stop: Tram no. 10 (towards the Airport or Oerlikon station) as far as the “ETH/Universitätsspital” stop or Tram Nr. 3 (towards Klusplatz) as far as the “Central” stop (1 stop), from “Central” by Polybahn (departs every three minutes) to the Polyterrasse.

Journey time: approx. 8 minutes

You will require a ticket that is valid for zone 110 (city of Zurich).

Drinks venue

Post Event Drinks at bQm (http://www.bqm-bar.ch (http://www.bqm-bar.ch/))

Address: Leonhardstrasse 34, 8092 Zürich 044 632 75 03
It can be reached via the Polyterrasse at the end of main reception hall of ETH.