Past Meetup

Building a stock selection factor from Insider filings data

This Meetup is past

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Hi SFFT Members! I wanted to share a meet-up cross-post that I thought would be of potential interest to this group.

UPDATE: You may RSVP for this event either here, or directly on the newly launched Bay Area Algorithmic Trading event page:

Quantopian is coming to the Bay Area! Please join us for the launch of our Bay Area Algorithmic Trading Meetup on December 19th (venue TBD). Quantopian's co-founders, CEO John Fawcett and CTO Jean Bredeche will kick things off with a brief introduction and update, followed by a keynote talk from StarMine quant Hugh Genin on building alpha factors from insider filing data.

Quantopian is a browser-based algorithmic backtesting and trading platform - if you haven't checked it out yet take a look and let us know what you think:

Keynote Abstract:

Did Martha Stewart overlook important information that could have saved her from an SEC insider trading investigation? Hugh Genin of the StarMine research team will join us to discuss the newly released StarMine Insider Filings Model US and the insights it provides into insider behavior. He will show how this uncorrelated signal can be combined with other factors, such as Price Momentum, to generate superior performance. And how Martha Stewart could have avoided wearing an unfashionable blue jumpsuit with matching steel bracelets if she had just paid attention to publicly available insider trading records.

Keynote Speaker Bio:

Hugh Genin is a Manager of Quantitative Research at Thomson Reuters, where his team researches "smart money" models and investigates novel quant datasets. His work has included research on insider filings, short interest, and institutional ownership. His team also collaborated with the former Corporate Services division of Thomson Reuters (now part of NASDAQ) to develop several successful quant models for stock surveillance that involved private data such as DTC settlement reports and custodian bank holdings. He was previously a Quantitative Financial Analyst at StarMine prior to its acquisition by Thomson Reuters. Before that, he spent several years in the pharmaceutical industry doing small-molecule drug discovery as a computational chemist for companies including Accelrys, CV Therapeutics, and CombiChem. Hugh has a Ph.D. in Chemistry from Cornell University and a B.S. in Chemical Engineering from Stanford University.