Thalesians/Quantopian (London) - Amen & Granizo-Mackenzie - CTA/Pairs trading

This is a joint Thalesians/Quantopian event - Location Thomson Reuters and will be free as it has been kindly sponsored by Quantopian. Food and drinks will be available.

Full title: How to build a CTA - Creating a trend following fund (Saeed Amen) & Pair trading strategies (Delaney Granizo-Mackenzie)

Abstract: How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - https://github.com/thalesians/pythalesians

Abstract: Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics.

Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk.

• What is cointegration?
• How to test for cointegration?
• What is pairs trading?
• How to find cointegrated pairs?
• How to generate a tradeable signal?

This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: https://www.quantopian.com/lectures .

Speaker: Saeed Amen is managing director and co-founder of the Thalesians. He has a decade of experience creating and successfully running systematic trading models at Lehman Brothers and Nomura. 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.

Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool.

After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaney’s background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning.