Video Lesson - Factor Models In Practice with Ernest Chan

Video Lesson - Factor Models In Practice with Ernest Chan

30 July 2015, 15:11
Sergey Golubev
1
167
Ernest Chan will give a very detailed look into Factor Models in this webinar. Factor models are well-known among long-term investors who favor stock selection models, but there are some exotic factors from which shorter term traders can also benefit.

He will discuss the various factor modeling techniques and the more exotic factors recently discovered.

Why we should be interested in factor models:

  1. Low volatility in the markets mean that short‐term trading models do not generate high returns anymore.
  2. HFT is no longer as profitable as before.
  3. Remedy: increase holding period!
  4. Factor models are well‐suited to long holding period
  5. 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.


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