Stefan Alex Popovici | Head of Quantitative Trading
TLP Trading LLC

Stefan Alex Popovici, Head of Quantitative Trading, TLP Trading LLC

Alex Popovici is the Head of Quantitative Trading at TLP Investment Group, where he is responsible for designing and implementing statistical arbitrage strategies on equity markets. Prior to joining the TLP Group, Mr. Popovici held various quantitative research & portfolio management positions with Pine River Capital in New York, Citadel Investment Group in Chicago and London and Deutsche Bank in London. Mr. Popovici has 15+ years of experience in the hedge fund industry, with focus on quantitative modeling of financial markets, statistical arbitrage strategies & quantitative risk management. He received his Ph.D. in Applied Mathematics from the University of Bonn (Germany) and a Masters in Math. Finance degree from the University of Paris 6 (France).


Day 2 @ 16:00

The art of backtesting – techniques & war stories from practitioners

  • Filtering published research – appropriate benchmarks, survivorship bias, transaction costs, robustness over time, regime changes, scalability
  • Dealing with data – gathering and trusting data, identifying bad records, techniques for dealing with missing data, alignment and synchronization, data adjustment (dividends, splits, future rolls, etc.)
  • Making sensible assumptions – borrow costs, order types and transaction costs (timeliness and slippage, commissions, scalability)
  • Correctness – model complexity, reducing parameters, cross validation
  • Model robustness & stability – over time, sensitivity to parameters, regime changes, overcrowding
  • Performance measurement – appropriate use of various metrics, importance of drawdown data
  • Going live – walk forward testing, learning from live results, improving execution

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