Please join us for our next webinar, “Seasonal Effects and Other Anomalies” on March 29th. QuantCon NYC speaker Petra Bakosova will lead this webinar. You can register for free here: (https://attendee.gotowebinar.com/register/1778385680633943297)
Seasonal Effects and Other Anomalies
In this webinar, we will revisit a series of popular anomalies: seasonal, announcement, and momentum. We will comment on statistical significance and the persistence of these effects, proposing useful investment strategies to incorporate this information. We will also investigate the creation of a seasonal trend model composed of the Sell in May (SIM), Turn of the Month (TOM), Federal Open Market Committee pre-announcement drift (FOMC), and the State Dependent Momentum (SDM). Using the total return S&P 500 dataset starting in 1975, we will estimate the parameters of each model on a yearly basis, based on an expanding window and then proceed to form, in a walk forward manner, an optimized combination of the 4 models using the return to risk optimization procedure.
Register today! (https://attendee.gotowebinar.com/register/1778385680633943297)
About the Speaker: Petra Bakosova
Petra Bakosova is the Chief Operating Officer at Hull Investments. Her background is in algorithmic trading across multiple asset classes, mathematical modeling, and risk management. She joined Hull Investments, LLC in 2014, and worked on projects for its proprietary trading firm Ketchum Trading, LLC before transferring to its quantitative asset management unit HTAA, LLC. Ms. Bakosova has helped shape the face and direction of HTAA prior to and since the launch of its first public product and continues to perform research on a number of HTAA strategies. Ms. Bakosova began her career in quantitative finance at Arbhouse, LLC as the company’s first strategist. Her expertise in high frequency algorithmic market making proved to be a valuable precursor to the systematic, quantitative approach sought after at HTAA. Prior to Hull Investments, she cut her teeth on stock market indices modelling during her tenure as a quantitative researcher at Toji Trading Group, LLC. Ms. Bakosova holds a Master of Science degree in Financial Mathematics from the University of Chicago. She pursued her undergraduate studies in applied mathematics at the Comenius University in Bratislava, Slovakia and Halmstad University in Halmstad, Sweden.
Petra will be speaking at QuantCon NYC on April 28th, 2018. Get your tickets today! (https://quantconnyc2018.splashthat.com/)
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