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21 Unique Quant Algo Trading Opportunities in Futures by Andreas Clenow

Andreas Clenow, Chief Investment Officer at ACIES Capital, presented his paper, “21 Unique Quant Algo Trading Opportunities in Futures,” at QuantCon 2018. You can find his video from QuantCon 2018 below, along with a brief summary.

21 Unique Quant Algo Trading Opportunities in Futures
There is a reason why futures is the weapon of choice for a large part of the quant trading industry. Futures as financial derivatives open up a world of opportunities, which cannot be found in other instrument types. These seemingly simplistic instruments have a few features which can be of great value to the discerning quant. Not only do futures allow us to trade a diverse set of asset classes in a uniform manner. With futures we are able to focus on the target risk exposure without being limited by capital constraints.

Perhaps the most important feature of all is the term structure. Analyzing and trading the futures curve and the implied yield opens a new dimension of quant modeling, one simply not available in the equity space. There are some unique challenges as well with futures time series data which needs to be addressed. This presentation will provide a practical guide to futures modeling and the unique opportunities therein. Covering both futures basics and more complex contango/backwardation analysis and curve trading, there will be learning elements for both futures beginners and advanced quant traders.


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