The Science of Algorithmic Trading and Portfolio Management
5 stars based on
Portfolio manager, fund founder. He is an active participant in science researches and international conferences. Quantitative research analyst, responsible for analysis of fund results, creation and improvement of trading strategies. Main tasks are to maintain trading systems and to look for ways of minimizing costs of order execution. The largest impact on the results of the Fund came from stock indexes In February, the stock market plummeted unusually sharply.
Events like these are undesirable as the algorithms try to profit from short term algorithmic trading and portfolio management moves. Potential higher losses were avoided because exposure on each stock index was limited. For the past few years, abrupt falls of the market are becoming more frequent compared to the history.
Therefore, it was decided to add more restrictions on the exposure of the asset classes. Simulations have shown that some additional restrictions can be implemented without decreasing the profitability significantly. However, it is nearly impossible to avoid some losses algorithmic trading and portfolio management while the Fund exploits mean-reversion strategies. Top four most profitable traded futures were interest rates futures.
Aistis Raudys is going to London to meet artificial intelligence experts in finance on February 15 — 16th.
If you are interested in the fund activity and want to meet Algorithmic trading and portfolio management in person, please contact us in advance. Aistis Raudys gave some insights about algorithmic trading and innovative future of Lithuania in general. Also he shared some of his free time activities in information technology field.
The project aims to identify, evaluate and present to the algorithmic trading and portfolio management the modern changes that have been taking place in Lithuania up to the present, as well as to promote and accelerate them. At the same time, the project is intended to publicise the progress made by Lithuania in a number of fields, and to present Lithuania as a modern, progressive and smart country. The IQ Forum Kaunas 4. At the event Dr.
Aistis has been volunteering for several years now, introducing children, students, and pioneers with financial world and basic programming skills. Lately, we noticed that investors are more likely to hold investments in euros rather than dollars. Also, some of the investors moved from the US dollar shares class to the euro shares class. Therefore, a significant part of investors does not expect the euro to depreciate against the dollar even more than it already has. The new euro share class was launched one and a half years ago.
Our team algorithmic trading and portfolio management pleased that investors actively make use of the new opportunity to invest in a desired currency. It goes without saying that investors seek to make a positive return on their investment portfolios. Each investor forms investment portfolio very individually. Some rely more on investment rules, other less so. Either way, most investors rely on correlation as it plays a significant role in investment management.
One of our potential customers asked to see how Algorithmic Trading Portfolio compares to other systematic — algorithmic funds based on returns correlation.
We have decided to share a few graphs with you. Graphs clearly show that large algorithmic funds are more likely to have correlated returns with each other than smaller ones.
Typically, it is caused by liquidity problem. A s maller algorithmic fund is more flexible and can exploit wider range of trading strategies than a large one. It is hard to imagine how such a large fund would trade at night session when liquidity decreases considerably. It would also be difficult for a such fund to trade in higher frequencies.
Therefore, large funds usually try to catch larger market trends and hold investments longer. This leads to similar and more correlated returns of large funds. Meanwhile, small funds which manages from a few to tens of millions can trade in high frequency, at night time and trade less liquid financial instruments. Small funds are much less likely to correlate both with small and large funds.
Thus, such funds are more suitable for the investment portfolio. It is vital to perceive that financial markets are becoming more global than ever. They become highly dependent on each other, so if one falls, then usually so does the others.
Consequently, it becomes increasingly difficult to find investments which would have a low correlation with other investments. Our advice to any investor is simple — make a wider diversification by mixing a variety of investments with as low correlation to each other as possible.
Then the risk will be low. The event was taking place on the th of May. More than 50 speakers from Lithuania and other countries were participating.
Aistis Raudys was speaking in the discussion; topic — Hedge Funds: Emerging Fund Managers, the new generation of Investors. Other panelists of the discussion: More information about the speakers and event here. I always observe conversations about investment. Lately, I have noticed that many people avoid investment. For example, the Danes, who have even had a negative deposit rate for a long time, still deposit lots of money into their bank accounts and do not invest.
Recently, they have beaten their bank account deposits record. A similar situation is going on here in Lithuania. I have tried to analyse the reasons why. One of the main algorithmic trading and portfolio management is risk. It turns out that people tend to evaluate risk in terms of fear. Some fears are reasonable and widely analysed; others, unexpected. The most popular fears are market distrust and fear of financial crisis. Trump, and many more. Most people see only losses in crisis.
Fewer have better insight and see possibilities of earnings. Another common fear arises from lack of knowledge. It is natural that a person be afraid of something that he or she does not understand.
However, it is not a necessity to be an expert to invest somewhere. It is important to observe that there is a algorithmic trading and portfolio management range of choices of investments algorithmic trading and portfolio management to choose the one which fits your priorities the best.
Nowadays, investments are not limited to real estate, bonds, stocks, and gold. One could invest to fund of funds, hedge funds, funds which are based on algorithms, start-ups, technologies, algorithmic trading and portfolio management exotic investments; for example, wine, plants, art, etc. Algorithmic trading and portfolio management choices meet every taste. None of the types of investment are best or worst — they all have their advantages.
The key is to be consistent, not to change investment types after your first unfortunate moments, and to constantly expand your knowledge. Another fear is the fear of being deceived by professional consultants.
Therefore, some people tend to invest only on their own. If they fail, then they tend not to invest anymore in any field. Algorithmic trading and portfolio management this, they sometimes blather on about how risky and unrewarding investments in general are and how it is best to avoid them. In doing so, they increase the fear even more. Stories of failure are usually more dramatic than success stories; hence, failure is widely covered in the algorithmic trading and portfolio management. An interesting fear appears to be the fear of embarrassing yourself when a professional consultant or investor discovers that you lack knowledge in investment.
In such cases I would ask why it is so scary to show that you do not understand something. However, this matter should perhaps be dealt with a therapist or psychologist. Some people tend to avoid areas in which they do not work and in which they are not professionals.
They choose to keep cash or deposit money in the bank because they feel algorithmic trading and portfolio management secure that way. However, algorithmic trading and portfolio management I have already mentioned above, it is not a necessity to be an expert. You do not have to be a professional investor to choose the right fund, or the right consultant, or the right investment area.
The algorithmic trading and portfolio management of the liquidity and of the volatility is common in many investment areas. For example, people are discouraged to invest in real estate because of illiquid, long-term investment, especially if the investor is not sure if he or she might need the invested money algorithmic trading and portfolio management the near future.
Contrarily, investments with very high liquidity, for example, the stock market, tend to be very volatile, so people are also repelled by the idea that they might lose a significant share of their investment in a few days. For those who are still willing to or who have already invested, I suggest taking into account three key indicators before any investment: It is essential to observe the interconnections between all these indicators rather than to focus on one of them.
The Sharpe ratio return divided from risk shows the real benefit of investment. High risk is not bad if high return is expected, and, on the contrary, low return is not bad if it comes with very low risk.
Liquidity is also a certain risk which must be considered while measuring the total risk of investment. The money deposited in the bank account inevitably depreciates; therefore, one should overcome the fear of risk and take a closer look at the very wide range of investment possibilities.
Aistis is going to share his experience as a hedge fund founder and a portfolio manager.