Testing Financial Hypotheses with Open Source

For our inaugural Open Finance Meetup the topics will be: “Testing Financial Hypotheses with Open Source” presented by Dan Gerlanc and a "Crash Course in Binary Options, Trading Strategies, and R" presented by Ben Sgro. We’ll be looking at free software tools in R and possibly Python and Java.

Financial hypotheses might range from something simple like “If I bought IBM on December 18th at market open and sold it a week later, I would make money” to, “The average quintile spread return from a 1-month momentum strategy on a universe of the SP500 between 2000 and 2010 is negative.” We’ll look at ways to evaluate both of these statements from data acquisition through to some basic coding.

Informal networking will follow.

Special thanks to Simulmedia for hosting us!

About the Presenters:

Dan Gerlanc is an experienced quantitative analyst and developer with over seven years of experience in empirical finance research, model development, and implementation. He has first-hand experience with the entire quantitative investment process from data management through to portfolio construction and trading. He has coauthored several open source R packages, published in prominent peer-reviewed journals, and is active in the data analytics communities in New York and Boston.

Dan enjoys teaching about data science and has presented talks and workshops for New England Artificial Intelligence, Boston Predictive Analytics, Boston Data Mining, and General Assembly. He has served as an R TA for courses at Tufts Medical School. He has been programming in R for almost a decade.

Dan is the founder of Enplus Advisors, a data science consulting firm. Enplus specializes in providing world-class analytics teams on a contract basis. At Enplus, Dan has worked in industries ranging from green energy to financial services with companies of all sizes, from one person startups to large multinationals.

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Ben Sgro

BIO: Ben's interest & professional career span finance and software-dev to hardware and infosec. Ben is currently employed as a Sr. engineer at Simulmedia.

TALK: Crash course in Binary options, Trading strategies & R
DETAILS: During this talk we will look at what Binary options are, what brokers offer them and how they are structured. Once that basic foundation is in place we'll venture into using R to build a simple model using cumulative distribution frequency for evaluating possible trades. This talk is essentially a crash-course in Binary options, R and simple model building.