#Quant_Insights_Conference

از ارایه های روز دوم که اسلایدهاش خدمتتون تقدیم شد، این یکی از سخنرانی هایی هست که انتخاب شد تا در کانال قرار بگیره:

📎 Using Machine Learning Algorithms to Estimate the Functional Form of Optimal Trading Strategies, Graham Giller

A framework for the solution of stochastic programming problems relevant to trading with an alpha is given. The solution is expressed in terms of a ‘holding function’ which represents the optimal policy for a trader to follow at any given decision point based on their alpha and their current position. The use of Monte Carlo simulation and machine learning methods to investigate the optimal form of the holding functions is developed as a concept with several simple examples presented.

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