Our next meeting is scheduled for 5/21/17 at 5pm in San Francisco at Workshop Cafe (180 Montgomery Street). See here for more information about the venue.
We will be discussing an observed anomaly regarding a lag between oil prices and the broader stock market. See this post for details about the article.
In terms of a suggested agenda:
- Paper review: hypothesis, data and analysis methods, results, and robustness of paper linked above [60 minutes]
- Demo of Quantopian platform for backtesting [10 minutes]
- Possible software test using oil price anomaly: use oil futures to predict returns in a major world index, measure the resulting alpha, volatility, and Sharpe ratio. [30-60 minutes]