Tobias Rydén: Systematic managed futures funds -- some statistical and computational aspects
Tid: On 2018-01-31 kl 15.15 - 16.15
Plats: Room 306, House 6, Kräftriket, Department of Mathematics, Stockholm University
Medverkande: Tobias Rydén (Lynx Asset Management)
Abstract:
A managed futures fund (also called commodity trading advisor, CTA) is a fund that trades futures contracts. In this talk I will first give some basic facts about what futures contracts are, and what opportunities that diversification across assets and risk adjustment over time offers.
Making predictions of future price movements is extremely difficult, which I will illustrate, but I will also show how little more than a 50% chance of a correct prediction that is needed to achieve good performance.
Traditionally, systematic trading of futures is often done using so-called trend-following (or, price momentum) strategies. I will give examples of such, and then proceed to discussing how they can be used, viewed, and generalized from the perspective of high-dimensional statistical and machine learning thinking. Finally I will also talk about principal components, a method that also has a strong motivation from economics, in the context of managed futures.
A managed futures fund (also called commodity trading advisor, CTA) is a fund that trades futures contracts. In this talk I will first give some basic facts about what futures contracts are, and what opportunities that diversification across assets and risk adjustment over time offers.
Making predictions of future price movements is extremely difficult, which I will illustrate, but I will also show how little more than a 50% chance of a correct prediction that is needed to achieve good performance.
Traditionally, systematic trading of futures is often done using so-called trend-following (or, price momentum) strategies. I will give examples of such, and then proceed to discussing how they can be used, viewed, and generalized from the perspective of high-dimensional statistical and machine learning thinking. Finally I will also talk about principal components, a method that also has a strong motivation from economics, in the context of managed futures.