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Financial machine learning workshop: Using Mlfinlab, PortfolioLab and ArbitrageLab to create trading strategies

Oleksandr Proskurin, Co-Founder and CIO at Principia Invest, Co-Founder at Hudson and Thames Quantitative Research

September, 2

07:00 p.m.

Offline

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An offline workshop “Financial machine learning workshop: Using Mlfinlab, PortfolioLab and ArbitrageLab to create trading strategies”

On September 2, an offline workshop “Financial machine learning workshop: Using Mlfinlab, PortfolioLab and ArbitrageLab to create trading strategies’ ‘ will be held with Oleksandr Proskurin.

Speaker: Oleksandr Proskurin, Co-Founder and CIO at Principia Invest, Co-Founder at Hudson and Thames Quantitative Research.

Agenda:

Mlfinlab:

– Data Structures: compressing trades into bars (time, dollar, volume), Futures Roll 

– labelling: triple barrier and trend scanning labelling. Meta-labelling and trend-following example on example of Bitcoin 

– Feature importance analysis: MDI, MDA, Shapley feature importance on example of Trend-Following strategy on Bitcoin 

Portfolio lab: 

– Constructing investment portfolios using ML techniques and portfolio lab: HRP, HERC, NCO algorithms 

– Denoising/Detoning correlation matrices 

– Using Mlfinlab to get key strategy statistics: Sharpe, Probabilistic Sharpe, Max Drawdown, etc 

Tickets

Early Birds
Standard

Discounts

5% — from 2 tickets
7% — from 3 tickets
10%— from 5 tickets