Back to all posts

"Quantitative Trading as a Mathematical Science" by Dr. Haksun Li from QuantCon Singapore 2016

QuantCon Singapore 2017, our algorithmic trading conference, is happening on September 28th-30th. To give you a preview of this year's conference, we are releasing presentations from QuantCon Singapore 2016.

"Quantitative Trading as a Mathematical Science" by Dr. Haksun Li, Founder and CEO, Numerical Method Inc.

Quantitative trading is distinguishable from other trading methodologies like technical analysis and analysts’ opinions because it uniquely provides justifications to trading strategies using mathematical reasoning. Put differently, quantitative trading is a science that trading strategies are proven statistically profitable or even optimal under certain assumptions. There are properties about strategies that we can deduce before betting the first $1, such as P&L distribution and risks. There are exact explanations to the success and failure of strategies, such as choice of parameters. There are ways to iteratively improve strategies based on experiences of live trading, such as making more realistic assumptions. These are all made possible only in quantitative trading because we have assumptions, models and rigorous mathematical analysis.

Quantitative trading has proved itself to be a significant driver of mathematical innovations, especially in the areas of stochastic analysis and PDE-theory. For instances, we can compute the optimal timings to follow the market by solving a pair of coupled Hamilton–Jacobi–Bellman equations; we can construct sparse mean reverting baskets by solving semi-definite optimization problems with cardinality constraints and can optimally trade these baskets by solving stochastic control problems; we can identify statistical arbitrage opportunities by analyzing the volatility process of a stochastic asset at different frequencies; we can compute the optimal placements of market and limit orders by solving combined singular and impulse control problems which leads to novel and difficult to solve quasi-variational inequalities.

Dr. Haksun Li Returns to QuantCon Singapore 2017 - September 28th-30th

Join Dr. Haksun Li, other financial luminaries, and your fellow quants for 3-day program focused on rigorous methodologies and ideas, cutting-edge data and tools, and current industry trends, that can help you improve your own investment strategies.

Other 2017 talks include:

  • "Supply Chain Earnings Diffusion" by Josh Holcroft, Head of Quantitative Research, Asia at UBS Investment Bank
  • "Portfolio Optimization: When You Don’t Know the Future (or the Past)" by Rob Carver, Independent Systematic Futures Trader, Writer and Research Consultant
  • "Real-time Machine Learning Architecture and Sentiment Analysis Applied to Finance" by Juan Cheng, Data Scientist at InfoTrie
  • "Application of ARIMA Modelling to Handle Intraday FX Volatility during Economic Data Release (EDR)" by Alex Siew, Fund Manager in VCB Capital

Tickets are available now. To learn more, visit www.quantcon.sg.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.