Quantitative Analysis of Market Data by Mr. Adithya M.R: 38th ATMA Bangalore Educational Meeting.

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2:00 pm - 5:00 pm

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Speaker:  Mr. Adithya M.R.

Speaker Profile:
Adithya is an alumnus of Indian Institute of Management, Bangalore and has over 5 years of experience in financial markets. He is passionate about quantitative finance, algo trading and applied math in general. While he has previously designed strategies and products for fixed income asset classes in developed markets, currently he works on developing quantitative strategies for the Indian markets.

The Educational Meeting will focus on:

Quantitative Analysis of Market Data.

Basics (15 mins)
– Returns, Standard Deviations and Distributions.
– Measures of Central Tendency and Measures of Dispersion.
– Inferential Statistics : Samples to populations.
– Some Statistical tools.
– Application : Statistical significance of a backtest.

Basics of Mean Reversion (30 mins)
– Concepts : Mean Reversion and Stationarity.
– ADF test and concept of Half Life.
– Capturing Mean Reversion in Inter-relationships : Cointegration.
– Relationships among more than two variables.
– Linear Mean Reverting Strategy and making it practical.
– Considerations : How to calculate the spread.
– Considerations : Computing a running hedge ratio.

Basics of Momentum (30 mins)
– Concepts of Autocorrelation and Kurtosis.
– Types and causes of momentum : Intraday and Longer time frame momentum.
– Time Series Momentum.
– Cross Sectional Momentum.

Quantitative Risk Management (15 mins)
– Optimal Leverage and the Kelly formula.
– Optimization of expected growth rate.
– Using Maximum Drawdown.
– Using Stop Losses.
– Constant Proportion Portfolio Insurance.

Schedule for the Meeting:
02:00pm – 02:30pm: Registration, Networking.
02:30pm – 04:00pm: Educational Session.
04:00pm – 04:30pm: Q&A on Educational Session.
04:30pm – 05:00pm: Networking, High Tea.

Sri Bhagawan Mahaveer Jain College Conference hall, 34, Ist Cross,
Next to Bangalore Stock Exchange, J C Road, Bangalore,Karnataka – 560027.

Registration fee: Non-Members; Rs.750/- Plus taxes.

Member Discount: 100%, Members kindly log-in & Register for the meeting to receive the Discount.

Register at:  http://www.atma.ac/events/past-events/bengaluru/448-quantitative-analysis-of-market-data-by-mr-adithya-m-r-38th-atma-bangalore-educational-meeting/individual-registration.html