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Intermediate Investment Analytics & Data Visualization with R - Module 3 [Complete] Event Code: 170603W
Date 03-Jun-2017
Time 08:15 a.m. - 1:00 p.m.
Venue 14/F, BOC Group Life Assurance Tower, 136 Des Voeux Road Central, Hong Kong
Speaker(s) Mr. Mark C. Hoogendijk, CFA, CAIA
Managing Director
E8 Consulting Asia
Fee HKSFA Member(s) at HK$1,850.0/person
CFA Candidate(s) at HK$2,350.0/person
Guest(s) and Non-member(s) at HK$2,350.0/person
This seminar is qualified for 3.5 CPT hour(s), 3.5 CE hour(s), 3.5 RBV CPD hour(s)
Remarks
  • Only Visa and Master Card are accepted for online payment.
  • Participants are expected to bring their laptop / notebook.

Event Details
These 5 half-day / module courses are a direct extension of the “Investment Analytics & Data Visualization with R” course, which successfully ran already thrice in the last 18 months. The course will build upon the acquired skill sets of the previous introductory course and focus on Advanced Data Mining techniques required for portfolio and risk management of large portfolios. Topics also include Derivatives Pricing and Simulation, Portfolio Back-Testing, Machine Learning and creating Portfolio / Risk Dash-Boards with automated month-end reports. The modules are great for expanding ones understanding of the R language, whilst learning more about Portfolio & Risk Analytics together with Data Visualization.
 
All modules are based on up-to-date and historical market prices focusing on Stocks, ETF’s, FX Rates and Macro-Economic Indicators. Packages such as dplyr, tidyr, tibble and purrr will be used for fast Data Manipulation, required for the amount of data that will be analyzed.  (The modules will work with a database of 4700 stocks including historical price data, balance-sheet data, option data, splits and dividends and calculated technical indicators).
 
Basic understanding of R is required. This course is a beginner to intermediate level course for R.
Similar to previous modules, all code will be shared and provided to the participants. Full overview of available online materials will be shared too. Including an overview of additional financial packages to be used for further Portfolio Analytics. Participants are expected to bring their laptops / notebooks.   

Course Overview
  • Module 1: Intermediate Data Mining. Building your portfolio database.  Running Performance & Risk Analytics over a 4700 large stock database. Adding technical indicators to the database. 
  • Module 2: Fundamental Stock Analysis in R.  Running a selection model based on Fundamentals, building screeners and capturing the outcomes in powerful visuals and tables.
  • Module 3: Option Pricing & Option Backtesting in R. Back-testing plain vanilla option hedging strategies on portfolios over multi-period timeframes including re-balancing.
  • Module 4:  The Efficient Frontier, back-testing the Efficient Frontier, and implementing the Black-Litterman model. Efficient Frontier with own moment functions.
  • Module 5: Introduction to Machine Learning for Finance.

Module 3: Option Pricing & Back-Testing Option Strategies

 

Summary: This module is a great way to further one’s understanding of options, getting to grips with Volatility Surfaces, simulate impact of option strategies under different stress scenarios, and conduct option volume analysis based on public data.

 

                 Session 1: Black & Scholes in R

·        Quick introduction to Black & Scholes with R

·        Importing Option Data

o   Downloading Option Data from Yahoo

o   Accessing option daily volume through options clearing

o   Importing Monthly Volume Statistics from CBOE

·        Calculating the volatility smile from Option Data across tenors

o   Creating an overview of volatility smiles for 50 Stocks

·        Creating Sensitivity Analysis for all greeks based on ITM-ness

·        Running a simple Monte Carlo for Option MTM

·    Exploring the currently available packages for pricing American Options, Asian Options and exploring stochastic volatility.


                 Session 2: Backtesting Option Strategies

·        Historical Analysis of Volatility Surface movements in Time

·        Laying down the foundation for Option Backtesting

o   Looking at the change in Time Value

o   Looking at the change in Vol surface when rolling down the surface

o   Analyzing the moment of rolling over your hedge

·        Back-testing implemented

o   Writing functions required for back testing

Rating: Advanced
(Highly focused technical presentations of interest to participants with a high level of technical knowledge in the subject area.)


The training will be complemented with a list of research, reference materials and R Scripts to provide the participants with a solid  understanding of Portfolio Analytics, DataManipulation and Data Visualization with the open source software R.
 
 
About the Instructor
 
Mr. Mark C. Hoogendijk, CFA, CAIA
Managing Director
E8 Consulting Asia
 
Mr. Mark C. Hoogendijk is an established derivatives and investment professional with more than 17 years’ experience. His expertise lies within Risk Analysis of Investment Portfolios, Asset & Liability Management, and Capital Management.
 
Over the 13 years here in Asia, he has worked closely with insurance companies, Pension Funds and Asset Managers in Hong Kong, Taiwan, Singapore, Malaysia and Australia understanding their needs, conducting risk analysis and finding viable and suitable hedging strategies for their existing investment portfolios.
 
The first 12 years of his career, Mark worked within the Financial Markets division of large financial institutions such as ABN AMRO, BNP Paribas and Credit Suisse. Since 2012, Mark has been working as an Investment & Risk Consultant with E8 Consulting Asia, focusing on Investment, Risk & Derivative analytics with open source software, such as R.
 
Mark has a Masters in Chemical Engineering from the University of Technology, Delft, Netherlands. He is a CFA & CAIA charterholder and a member of the Hong Kong Society of Financial Analysts.