Machine Learning
Swagato Acharjee, Quantitative Strategist, RBC Capital Markets | October 10, 2019
Swagato formulates a methodology using machine learning to sift through troves of order execution data to identify key drivers of algorithm performance and provide actionable recommendations to clients in delivering execution alpha. Watch the highlights of this presentation, you can also request access to the full video and slides.
The performance of equity agency trading algorithms is driven by hundreds of factors with varying degrees of interaction. These factors range from client instructions and market conditions to various algorithm settings. Often recommendations to improve performance are based on past experience and intuition and employ a lot of discretion. This approach is expensive and does not scale beyond a set of focus clients.
Swagato formulates a methodology using machine learning to sift through troves of order execution data to identify key drivers of algorithm performance and provide actionable recommendations to clients in delivering execution alpha. When a client executes an order, the entire state of the order and the market is stored in a high-performance data repository. He applies machine learning algorithms on this extensive data store to search the parameter space and identify performance drivers ranked by their order of importance.
Using machine learning we are able to analyze and attribute the performance of algorithmic trading orders and provide clients with never before seen insights on the key drivers of execution performance beyond traditional metrics such as average daily volume, spread, and volatility. This approach provides us the ability to focus on the important performance drivers and optimize those for further enhancing algorithm performance. He finds this to be a highly scalable and efficient process versus current Transaction Cost Analysis (TCA) methods that focus on a standard set of metrics with few actionable insights for improving the client execution experience.
This presentation was held at the RavenPack Research Symposium in New York on September 10, 2019 .
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.
Your request has been recorded and a team member will be in touch soon.
High inflation has returned in developed markets after decades of lying low. In our latest paper, we show how to build an inflation-based asset allocation strategy using sentiment data and we illustrate that sentiment-based strategies outperform models that depend merely on past observed inflation values.
This year's RavenPack Research Symposium brought two intense days of knowledge sharing in London and New York, from 25 top experts in natural language processing, quantitative investing and machine learning. Together, we explored how firms can leverage new language models to generate alpha, better manage risk and respond to calls for more sustainable investment practices.
Human capital is at the heart of value creation. Our latest research demonstrates how unprecedented workforce insights, sourced from over 200 million job postings, can generate more alpha.