This video examines cross-sectional momentum, explaining how the basic idea and the strategies that seek to profit from it differ from the time series momentum approach pursued by CTAs.
In the final chapter, Anthony builds on the previous Optimisation chapter (which you should watch first) and focuses on constructing the Maximum Diversification portfolio, i.e. the portfolio which captures as much diversification as possible.
In this chapter, Anthony tackles the important methodological topic of Optimisation, and in particular Convex Optimisation, and shows through a worked example how it relates to the portfolio construction problem of maximising return subject to
In the third chapter of the series, Anthony explores some of the different areas within the hybrid discipline of Machine Learning. He uses an example binary classification problem to illustrate the differences between traditional Linear and Emp
In this second instalment, Anthony explores the topic of Limit Order Books and Trade Execution by giving a simplified look at how trading takes place in exchanges and illustrating the important process by which individual buy and sell orders ge
In this first chapter, Anthony sheds some light on Breakout Trading, which is one of the most popular systematic strategies and is widely used in trading Equities, Futures and FX Markets. He also notes how key ideas such as volatility scaling a
The subject of portfolio risk is tackled by explaining the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.
We look beyond the core momentum (trend) signal to provide insight into the technical and fundamental predictors commonly used by CTA and multi-strategy managers.
This video examines cross-sectional momentum, explaining how the basic idea and the strategies that seek to profit from it differ from the time series momentum approach pursued by CTAs.
We look beyond the core momentum (trend) signal to provide insight into the technical and fundamental predictors commonly used by Commodity Trading Advisors and multi-strategy managers.
The subject of portfolio risk is tackled by explaining the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.