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Start Time: 28 November 2012 15:00
End Time: 28 November 2012 18:00

Quantitative methods in hedge funds: statistical contributions and challenges
at the Royal Statistical Society

Dr. Richard D. Bateson (AHL, Man Investments)
Managing a Systematic Hedge Fund – A Bold Application of Statistics

In this talk we will present a bold application of statistical methodology – managing one of the world’s largest and most successful systematic or computer driven hedge funds. AHL has been one of the pioneers of systematic trading for over 25 years. Statistics is involved in every step of the investment process from initial strategy development, portfolio optimisation, trade execution and risk management. A range of practical examples and problems will be presented.

Kostas Triantafyllopoulos
Algorithmic pairs trading: some recent developments and statistical challenges

The term pairs trading refers to a basic trading strategy: buy low and short-sell high. In the recent years algorithmic pairs trading, which aims to automate statistical decisions relevant to trading without human intervention, has received significant development, in particular in hedge funds and related financial institutions. This talk concerns an introduction to pairs trading from a statisticial point of view. We will highlight some of the challenges of algorithmic pairs trading, in particular regarding to the processing of high dimensional data sets. Throughout the talk we will illustrate that managing uncertainty plays a crucial role for the success of these trading approaches.

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Organised by the RSS Business & Industrial Section This meeting will be preceded by the Section Annual General Meeting

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