Systematic macro strategies: market forecasting based on small data
Tuesday 22 October 2024 | 13:00 - 14:00 | Webinar
This event has been organised by the CFA UK Data Science Working Group.
After a challenging decade, systematic macro strategies have experienced a big revival, fuelled by impressive performance in the post-COVID era.
Macro markets operate under a unique set of rules. In systematic macro, we are often forced to deal with a small number of features across a limited number of instruments. This presents significant challenges to standard applications of train/test splitting, cross validation, feature selection and parameter optimisation.
In this session Stanko Milojević, Head of Asset Allocation at HSBC, will reveal how his team overcomes these challenges to excel in developing and deploying cutting-edge quantitative strategies.
In this webinar you will:
- Understand the key drivers behind macroeconomic trading strategies.
- Understand the differences between the big data and small data strategies.
- Explore the limitations of applying standard ML techniques to macro data.
Speakers
Stanko Milojević, Head of Asset Allocation at HSBC
Stanko Milojević is Head of Asset Allocation at HSBC Global Private Banking. Stanko is responsible for all quantitative aspects of GPB’s investment strategy, including asset allocation and systematic trading strategies. Prior to joining HSBC, Stanko was an investment strategist at Mercer, where he developed quantitative investment strategies and portfolio construction solutions for institutional investors around the world. Stanko holds an MSc in Finance from Manchester Business School, a BSc in Economics from the University of Niš, and is a CFA charterholder.