LUISS

Aistis Raudys

Venerdì 14 giugno 2019 ore 12.00
Aula 304b – Viale Romania, 32
Seminario scientifico

AISTIS RAUDYS
Professor at the Faculty of Mathematics and Informatics, Vilnius University (pdf).
Fund manager at Algorithmic Trading Portfolio, an alternative investment fund supervised by the Central bank of Lithuania (htm)

ALGO TRADING STRATEGIES, RESEARCH AND PRACTICAL ORDER EXECUTION (pdf)

Abstract. In this presentation, I will review research and other activities in systematic trading fund “Algorithmic Trading Portfolio”. I will start about trading strategies, creation, validation, optimisation and overfitting. Next, I will move to portfolio construction from trading strategies and overfitting in portfolio construction, maximizing Sharpe ratio and other criteria. I will also talk about order execution research using tick touch, tick + execute minimum and bid/ask data. I explain how we evaluate strategies and A/B testing in real order execution. Post execution, slippage analysis. I will cover other aspects of everyday trading activities too.

MACHINE LEARNING APPLICATION IN ALGORITHMIC ORDER EXECUTION (pdf)
Hidden cost of trading. Slippage. Linit orders. Possible scenarios. Computational approach. Data selection. A/B testing. Execution improvements. Order book imbalance. Bid-ask imbalance. Multi armed bandit algorithm.


Sabato 29 ottobre 2016 ore 10.00
Aula 306 – Viale Romania, 32
Seminario scientifico

AISTIS RAUDYS
Senior Lecturer/Senior Researcher at the Faculty of Mathematics and Informatics, Vilnius University (htm).
Fund manager at Algorithmic Trading Portfolio, an alternative investment fund supervised by the Central bank of Lithuania (htm)

ALGORITHMIC TRADING AND QUANTITATIVE PORTFOLIO CONSTRUCTION

Dr. Aistis Raudys will give a lecture about how investment decisions are made by maths, will examine a rules-based investment opportunities and dangers, will review trading algorithms development and specific features of algorithmic trading (pdf)

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