AHL Explains

Anthony builds on the previous Optimisation chapter and focuses on constructing the Maximum Diversification portfolio, i.e. the portfolio which captures as much diversification as possible.

Maximum Diversification

Anthony tackles the important methodological topic of Optimisation, and in particular Convex Optimisation, and shows through a worked example how it relates to the portfolio construction problem of maximising return subject to a risk constraint.

Cross Sectional Momentum Optimisation

Anthony explores some of the different areas within the hybrid discipline of Machine Learning. He uses an example binary classification problem to illustrate the differences between traditional Linear and Empirical approaches and a Bayesian Machine Learning classifier, noting the advantages and weaknesses inherent to each method.

Machine Learning

Anthony explores the topic of Limit Order Books and Trade Execution by giving a simplified look at how trading takes place in exchanges and illustrating the important process by which individual buy and sell orders get matched.

Limit Order Books and Trade Execution

Anthony sheds some light on Breakout Trading, which is one of the most popular systematic strategies and is widely used in trading Equities, Futures and FX Markets. He also notes how key ideas such as volatility scaling and diversification apply here just as for other momentum-style trading systems.

Breakout Trading