Cross-sectional factor modeling is widely accepted by academics and industry practitioners alike as a general and consistent way to model and understand equity markets. We discuss mathematical factor models for both returns forecasting and risk management, and frame everything in terms of workflows used by professional quants to run large capital bases.
We aim to teach intuition for these concepts. Our goal is to have you walk away capable of learning more on your own. We will provide a high-level overview of the entire quantitative factor workflow including: evaluating a factor, comparing factors, combining factors into a strategy, and evaluating the performance of factor strategies.
Advanced Topics and Exercises include:
- Long-Short Equity Strategies
- The Pipeline API
- Fundamental Factor Portfolios
- Analyzing Factor Performance
- Backtesting and Real Market Concerns - Performance Analysis of Backtested Results using Pyfolio
Prerequisites to Attend:
- Laptop (You must bring it to the workshop)
- A strong working knowledge of the Quantopian platform, including the IDE and research environment
- Understanding of the following lectures from the Quantopian Lecture Series: Multiple Linear Regression, Hypothesis Testing, Spearman Rank Correlation, Beta Hedging, and the Dangers of Overfitting
- College-level math and statistics.