how matlab did the work of 40 people and accelerated
TRANSCRIPT
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
How Matlab Did The Work of 40 People and Accelerated Investment Strategy Development
Aku Penttinen, Ph.D.
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
How many here today work or would like to work with investment strategy development?
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
How many would consider or dream about running their own fund?
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Please ask questions any time
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
What is investment strategy development?
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Manipulation of data to test ideas
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Data acquisition
Strategy testing
Data storage and cleaning
Data combination
Strategy implementation
+ reports
+ reports
+ reports
+ reports
+ reports
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
What is the most efficient form of organization?
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Data acquisition
Strategy testing
Data storage and cleaning
Data combination
Strategy implementation
IT
Data Analysts
Quant Analysts
The traditional view:A distributed framework
Traders
Por
tfolio
Man
ager
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
The setting for a thought
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
© Google Maps
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
The commute
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Brisbane, Australia
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Data acquisition
Strategy testing
Data storage and cleaning
Data combination
Strategy implementation
A unified framework
“All in one”
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Distributed vs. unified frameworks
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Factors to consider
Quality
Speed
Efficiency
Scalability
Security
Creativity
Stability
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Constraints:- Time
- Budget
Ultimate goal:- Replicable, risk-adjusted returns not constrained by capacity
Interim performance indicators:- “Output” per budget unit
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Distributed
Quality
Speed
Efficiency
Scalability
Security
Creativity
Unified
Stability
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Why Matlab?
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Data acquisition
Strategy testing
Data storage and cleaning
Data combination
Strategy implementation
A unified framework
Matlab
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Data downloader and test platform
6 months
6 x strategy development
11 months
Modular architecture
Tradeutility
1 month
Reports, quality assurance, and risk & performance analysis included within architecture
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Equity market neutral funds without leverage (UCITS)
Best performance in peer group
Raised 30% of all net investments
Small team to run
Intellectual property protected
-0.6 %
-0.4 %
-0.2 %
0.0 %
0.2 %
0.4 %
0.6 %
0 % 2 % 4 % 6 % 8 % 10 %
RETURN (montly)
RISK(annualized)
STRATEGY
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
“Big data”
Ideal tools for data scientists for finding a legal edge
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Please “Link In“
MATLAB Computational Finance Conference 2014New York Marriott Marquis, New York, NY, April 9th, 2014Presentation by Aku Penttinen, Ph.D.
Questions?