Thomas Schmelzer - Optimisation at a leading hedge fund

I will briefly introduce Winton Capital Management, a quantitative hedge fund utilising mathematical and statistical techniques taken from the hard sciences to develop trading systems for markets all over the world.

Winton's trading systems rely on the efficient estimation of expected returns and sophisticated risk models. Obviously I won't be able to tell you our recipes but these quantities often serve as input data for Markowitz models. The resulting quadratic programming formulation is usually highly unstable with respect to parameters - I allude to possible remedies.

A copy of his talk is available here.
The slides for the second part of the talk are available on request. Please contact

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