What we're about

The Thalesians are a group of dedicated professionals with an interest in Artificial Intelligence (AI) / Machine Learning (ML), quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order. We currently run events London, New York, Budapest, Frankfurt and Prague!

Please also visit our main Thalesians web page here too (http://www.thalesians.com) to learn more about us!

The Thalesians are a member of Level39 (http://www.level39.co/) - Europe's largest technology accelerator for finance, retail, cyber-security and future cities technology companies​.

We consult, train, and write software. Our offering can be found on http://ai.thalesians.com/

Our GitHub (https://github.com/thalesians/pythalesians/) page contains our open source Python financial analysis library PyThalesians.

If you are a full-time student, between jobs, or for any other reason would struggle with our Meetup dues, please let us know and we'll mark you as exempt from them!

Upcoming events (1)

In Person: Gordon Ritter - Optimal Turnover, Liquidity, and Autocorrelation

Needs a location

$25.00

IAQF & Thalesians Webinar Series: Optimal Turnover, Liquidity, and Autocorrelation. A Seminar by Gordon Ritter

Monday, October 24th[masked]:00 PM Seminar Begins
7:30 PM Reception

In Person Event:
Fordham University
McNally Amphitheatre
140 West 62nd Street
New York, NY 10023

Registration Fees:
Complimentary for IAQF members
Thalesians Members: $25
Non-Members: $25

Abstract:
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state turnover can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γn+1‾‾‾‾‾√ where γ is a liquidity-adjusted notion of risk-aversion, and n is the ratio of mean-reversion speed to γ.

Bio:
Gordon Ritter completed his PhD in mathematical physics at Harvard University in 2007. His publications while at Harvard were in quantum field theory, differential geometry, quantum computation and abstract algebra, including a well-known simplicity theorem for Kac-Moody groups and a mathematically rigorous treatment of Euclidean QFT on Riemannian manifolds. Prior to Harvard he earned his Bachelor's degree with honors in Mathematics from the University of Chicago.
Dr. Ritter currently teaches at Columbia, NYU, University of Chicago and the Baruch MFE program. His academic research is on portfolio optimization and statistical machine learning; his finance publications can be found in journals including Risk, the Journal of Portfolio Management, Journal of Financial Data Science, European Journal of Operations Research, and others.

He was named Buy-Side Quant of the Year in 2019 (researchers awarded the same honor in other years included Marcos Lopez de Prado, Alex Lipton, and Jean-Phillipe Bouchaud). In parallel with his teaching responsibilities, Dr. Ritter works full time in the industry. In 2019 he founded Ritter Alpha LP, a registered investment adviser running systematic absolute-return trading strategies across multiple asset classes and geographies, based on cutting-edge technology and rigorous applications of statistics and the scientific method to investment problems.

Prior to founding Ritter Alpha, he built a successful trading system from scratch at GSA Capital, a firm which won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times. Prior to GSA, Dr. Ritter was a Vice President of Highbridge Capital Management (HCM) and a core member of the HCM statistical arbitrage group, a small team sharing full discretion over systematic trading models that generated billions in profit for investors and directed trillions of dollars of trades across global equities, futures and options. Several senior members of the HCM statistical arbitrage group later joined Gordon at Ritter Alpha. In his spare time Gordon enjoys scuba diving in Hawaii, and is passionate about preservation of Native Hawaiian culture and marine ecosystems.

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