April 7, 2017

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Session Description: The formation of a profitable quantitative trading strategy is a unique intellectual undertaking that draws on out-of- the-box thinking, perseverance, proprietary data, and nearly all aspects of computer science. The challenge is amplified when we custom build a strategy inspired from an investment book or a client’s mandate.

Our goal in this presentation is to take you on a creative journey from the seed of an investment idea to a live systematic traded strategy. Finding real value in algorithmic trading requires a self-adjusting protocol that constantly responds to changes in the market while constantly avoiding the trap of overfitting.
Meet Lucena Research’s chief scientist Dr. Tucker Balch and CEO Erez Katz as they carry you through their regimented process designed for quantitatively inclined build-it- yourself investors. From identifying relevant data, applying cross validation through parametric searches, implementing machine learning algorithms, back-testing, and all the way to live deployment. You will see first-hand how Lucena makes custom investment strategies more accessible through automation.