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Webinar: Ernest Chan on Factor Models In Practice


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Webinar: Ernest Chan on Factor Models In Practice

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Hi guys,

It is my pleasure to welcome back Ernest Chan for a webinar on Thursday, September 18th @ 4:30 PM Eastern.

The topic is "Factor Models in Practice", which Ernie describes as follows:

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. This webinar will discuss the various factor modeling techniques and the more exotic factors that researchers have recently discovered.

You can find Ernest Chan on his website:
QTS Capital Management, LLC. | Quantitative Trading

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Ernie Chan is not a futures.io (formerly BMT) site sponsor. This webinar will be purely educational. If you wish to contact Ernie after the webinar is over, his contact information will be included.

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Registrations are now open:

https://futures.io/webinars/#registernow

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Big Fan of his book Quantitative Trading: How to Build Your Own Algorithmic Trading Business
He also has a good blog at epchan.blogspot.com

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I will be giving away five autographed copies of his book Algorithmic Trader: Winning Strategies and Their Rationale

Algorithmic Trading: Winning Strategies and Their Rationale: Ernie Chan: 9781118460146: Amazon.com: Books

These copies will be given away during the webinar.

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Reminder for tomorrow's webinar.

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Reminder for today's webinar.

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The webinar room is now open.

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I want to thank Ernie for another truly fantastic webinar.

And congratulations to the five book winners: @Tape reader, @IlyaKipnis, @Porsche, @edassery, @Chancellor. I will be in touch in a minute to get the info from you to send you the book.

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Here is the webinar recording:



Please allow YouTube 2 hours to finish encoding it.

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What did everyone think of the webinar?

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Big Mike View Post
I want to thank Ernie for another truly fantastic webinar.

And congratulations to the five book winners: @Tape reader, @IlyaKipnis, @Porsche, @edassery, @Chancellor. I will be in touch in a minute to get the info from you to send you the book.

Mike

I've heard from everyone and have sent the info to Ernie. You can expect the autographed book in approximately 3 weeks.

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What did everyone think of the webinar?

Extremely Interesting.
Would have been nice to see some actual examples of what he discussed no matter how basic.
I know in his books he actually walks you through the Matlab code used.

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Very cool video.

Here is some more on implied skew
https://www.ise.com/assets/files/FX%20Options/ExpiringMonthly_-_Trading_With_or_Against_the_Skew_0410.pdf

Actual code examples though I think would suffer from a data problem. Historic option and short interest data just isn't as available to give such an example.

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Actually, I'm not sure that paper above is exactly what is being talked about in the video.
This one is for sure though:
Implied Volatility Skews in the Foreign Exchange Market
Empirical Evidence from JPY and GBP: 1997-2002
https://www.stern.nyu.edu/sites/default/files/assets/documents/uat_024336.pdf

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not a coder,
not a quant,

and yet learned a lot from the webinar.
TY

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love Kahneman

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