Every systematic trading company doing research follows a certain unifying set of principles on which the research is based. Typically, these principles are related to the background of the founders and key personnel. Systematic Alpha Management is not an exception in this regard.
The background of one of its principles and key past and present personnel is in theoretical physics and applied mathematics. One of the key researchers is a former winner of the All-Russia Physics Olympiad. Alexei Chekhlov has spent many years working in both of these fields both in Soviet Union and the United States. Both of them graduated from Moscow Institute of Physics and Technology, a Soviet version of MIT. Alexei Chekhlov’s academic experience includes post-diploma work at Landau Institute for Theoretical Physics and his work at Princeton University, where he was focused on developing theoretical models of fluid turbulence. For the last 8 years he is also teaching mathematics of finance at the Mathematics Department of Columbia University.
Our approach to studying the financial data and proposing and testing the statistical hypothesis is rooted in desire to have hypothesis which have simple “physical meaning”, with minimal number of parameters, and reliable statistical in-sample and particularly, out-of- sample testing. The robustness of the statistical results is absolutely key in the ever-changing financial and political environment.
Over the years of financial data research, some of the tools Systematic Alpha Management has developed and uses are:
- A proprietary backtesting environment which on a given financial data (given data resolution and type such as trade, BBO, equidistant bars) can test a rather generally formulated trading strategy. The testing can be done in-sample, or walk-forward out-of- sample. The arising complexity of such optimization problem is resolved through massive parallelization of computations across many cores on a given server or even across clusters of available servers.
- Efficient portfolio optimizers based on trading equity drawdown being used as the main risk measure.
- Trading robots environment that can execute any of the above tested strategies across various FCMs, connected to the middle-office and back-office software to automate and simplify end-of- the-day processing with minimal human input.
- Unified futures database with various types and resolutions of data going back as long as the dada exists.
- Relationship between Correlation and Volatility in Closely-Related Assets.
- Overnight vs. Day Session Price Difference Statistics in the Most Liquid Futures Markets.