Automated Trading 2008: Programme
Automated Trading 2008
Royal Society of Arts, London WC2 - 15 October 2008
| Programme | |
| 08:30 | Registration and coffee |
| 09:00 | Welcome and introduction |
| 09:05 | CORRELATION BETWEEN TRADING MODELS + A few theoretical results + An application to the FX markets + Challenges ahead Emmanuel Acar, Directional Trading |
| 09:50 | DATA MINING BIAS + Data mining as a multiple comparison procedure + Data mining and statistical inference + Data mining bias: an effect with two causes + Experimental investigation of the data mining bias + Solutions: dealing with data mining bais David Aronson, Baruch College |
| 10:30 | Refreshment Break |
| 11:00 | KERNEL REGRESSION FOR MODELLING FINANCIAL MARKETS John Wolberg, Israel Institute of Technology |
| 11:45 | OPTIMIZATION AND METHODS TO AVOID OVERFITTING Martin Sewell, University College London |
| 12:30 | Lunch |
| 14:00 | DATA SAMPLING CRITERIA Gaurav Mangla, Collage LLC |
| 14:45 | TESTING A PORTFOLIO OF SYSTEMS + How to select the best performing trading systems + How to deal with price series nonstationarity: Walk Forward Analysis + How to deal with trade dependency: Monte Carlo Analysis Urban Jaekle, Emilio Tomasini & Partners |
| 15:30 | Refreshment Break |
| 15:50 | BACKTESTING VALUE-AT-RISK BASED ON TAIL LOSSES: AN ALTERNATIVE TO STRESS TESTING FOR FAT TAIL EVENTS Woon Wong, Cardiff Business School |
| 16:30 | End |
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