He will discuss the various factor modeling techniques and the more exotic factors recently discovered.
Why we should be interested in factor models:
- Low volatility in the markets mean that short‐term
trading models do not generate high returns
- HFT is no longer as profitable as before.
- Remedy: increase holding period!
- Factor models are well‐suited to long holding
- We do suffer from lower Sharpe ratio.
About Ernest Chan:
- Quantitative Strategist
- He was a principal of EXP Capital Management
- Supervised Drexel-Burnhan-Lambert’s commodity department in Los Angeles
- Ph.D. in physics from Cornell University
- Managing Member of QTS Capital Management, LLC.
- Adjunct Associate Professor of Finance at Nanyang Technological University in Singapor
Ernie Chan is the author of "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" published by John Wiley & Sons in 2009.