Meeting on 5/21/17 in San Francisco (updated time: 5pm)

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:

  1. Paper review: hypothesis, data and analysis methods, results, and robustness of paper linked above [60 minutes]
  2. Demo of Quantopian platform for backtesting [10 minutes]
  3. 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]

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