" Computational intelligence in automated trading and portfolio construction "
by Dr. Aistis Raudys and Dr. Zidrina Pabarskaite
Speakers:
Dr. Aistis Raudys
Lecturer/Senior research fellow
Vilnius University, Faculty of Mathematics and Informatics, Lithuania
Dr. Zidrina Pabarskaite
Department of Process Control
Faculty of Electrical and Control Engineering
Kaunas University of Technology
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Date:
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2nd April 2013, Tuesday |
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Venue:
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School of Information Systems,
Seminar Room 2-4 |
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Programme:
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6.30 pm - 7.30 pm Registration & Refreshments |
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7.30 pm - 8.30 pm Seminar Delivery |
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8.30 pm - 8.45 pm Q&A |
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Registration:
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Please register on line.
For External Visitors, please
Register Here |
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Synopsis
Computational intelligence in automated trading and portfolio construction
In this seminar, the speakers will introduce the audience to the field of computational intelligence in finance and trading. An overview of automated trading – an increasingly popular topic in finance where computers play crucial role will be provided. The speaker will discuss some important problems on this topic. In particular portfolio construction issues are very important in algorithmic trading. Solutions to problems related to the classical Markowitz mean-variance portfolio optimization method as well as issues where the product of automated trading systems is far from Gaussian distribution will be discussed. Approaches, in particular, covariance matrix normalization, the empirical approach, creating a portfolio with no assumptions about the distribution of the underlying data and employing a multi agent approach by creating a number of diverse portfolios and using the best one will also be areas of discussion in this seminar.
About the Speakers
Dr. Aistis Raudys
Dr. Aistis Raudys received his Msc. from Kaunas University of Technology, Lithuania and Ph.D from Institute of Mathematics and Informatics, Lithuania in a field of artificial intelligence. Currently he works at Vilnius University Faculty of mathematics and informatics as a lecturer and senior research fellow. He also is a partner of first Lithuanian algorithmic trading hedge fund where he applies his expertise in trading financial market automatically. Previously Aistis worked as a research fellow and also as a developer in various software companies. He collaborated with number of banks including Deutsche Bank and Société Générale Alternative Investments and BNP Paribas in London, UK. Aistis research interests are machine learning, financial data analysis, automated trading and machine learning application in finance. He is the author of 18 publications and scientific works.
Dr. Zidrina Pabarskaite
In 2009 Zidrina Pabarskaite completed PhD at Vilnius University Institute of Mathematics and Informatics, Lithuania. Her doctoral dissertation topic was about enhancements of pre-processing, analysis and presentation techniques in web log mining. In 1998 she completed her MSc in Information Systems Technology in the Department of Software Engineering, Vilnius Gediminas Technical University, Lithuania. Her MSc diploma was devoted to protection of software against illegal spread and usage. In 1997 Z. Pabarskaite completed BSc in Engineering Information Technology in the Software Engineering Department of Vilnius Gediminas Technical University, Lithuania. She worked both in industry and in academy: ABB (Sweden), South Bank University, IntelliQ (London, UK) etc. Currently she works at Kaunas University of Technology, Lithuania as postdoctoral research fellow. Zidrina's research interests are multiclass classifiers, data mining, financial data analysis, web log mining. She is the author of 8 publications.
