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