A Newb's Beginnings in Algorithmic Investing & Trading Macro Event Days

Come join us at the Quantopian office to hear two speakers share their projects with fellow Boston quants over great pizza and cold beer. You'll get an inside look on how a project manager can use the platform to develop a trading idea and learn about the importance of integrating macroeconomic factors in your strategy. Stick around after the talks for a Q&A session and the opportunity to connect with the speakers and a mix of financial professionals, software developers, academic researchers and grad students. You don't have to be a quant to enjoy this talk- we'll have something for everyone.

A Newbs Beginnings in Algorithmic Investing

Karen Rubin, product director at Quantopian, has spent 10 years building software, but zero years in finance and zero years as a professional programmer. She started at Quantopian (http://www.quantopian.com) 6 months ago, retaught herself Python and found a strategy she could get passionate about - investing in female CEOs of Fortune 1000 companies.

In this talk, she will share her early work and where she currently stands with her algo. She'll also discuss what she has learned along the way and ask for feedback from the group on things she should try next to improve her strategy.

Trading Macro Event Days: How economic and equity event days affect risk, alpha and trading volume in equity and currencies

The impact of news on financial markets has been well researched, but often investors and risk managers do not fully integrate their understanding of market-sensitive information into their trade sizing and risk management. Sean Kruzel will compare the differences in market impact and correlations between known and unknown events as well as the differences between ‘equity-events’ and ‘macro-events’. Its implications on trade sizing as well as best-practices for integrating macroeconomic factors into quantitative strategies will be addressed.

About the Speakers

Karen Rubin is the Director of Product at Quantopian, a crowd-sourced quantitative hedge fund that offers a free algorithmic trading platform. She is currently focused on a new IPython Research Platform that will allow quants to access curated financial data in an interactive research environment.

Before coming to Quantopian, Karen spent time working on the investing team at Matrix Partners where she helped evaluate potential investments and supported portfolio companies. She also spent 5 years on the product team at HubSpot, where she was responsible for building the first version of many of their inbound marketing tools.

Sean Kruzel is a former portfolio manager for a NYC-based hedge fund where he designed and implemented an event-based macroeconomic strategy that invested in futures, currencies and commodities. During the financial crisis he worked at JPMorgan Asset Management where he developed fixed income relative-value strategies and novel forecasts to track economic and central bank news. He then worked at a small west-coast hedge fund where he helped implement an exotic FX options strategy. He utilizes Bayesian statistics and scalable computation techniques to develop and deploy tools that he wished had existed while he was a portfolio manager. Sean Kruzel graduated MIT in 2008 with a BS in Economics and a BS in Mathematics.

About Astrocyte Research:

Astrocyte Research - Founded by Sean Kruzel in 2014 to better address the intelligence and forecasting needs of professional investors. Astrocyte Research delivers real-time insight and predictions on the interaction between news and financial markets. The company specializes in the macroeconomic influences on global financial markets.

About Quantopian:

Quantopian, a crowd-sourced quantitative hedge fund that offers a free algorithmic trading platform. Visit us here: www.quantopian.com.

Hosted by Quantopian. Pizza and beer will be served.