8 March 2018

Market Microstructure and Algorithmic Trading Workshop
  • 09:00

    Avoiding Overfitting in Machine Learning

  • 10:15

    Coffee break

  • 10:45

    Different Components of Algorithmic Trading Systems - increasing profitability by optimising systems.

  • 12:00


  • 13:00

    Applying machine learning to algorithmic trading strategies – Part I

  • 14:15

    Tea break

  • 14:30

    Applying machine learning to algorithmic trading strategies – Part II

  • 16:00

    Closing remarks

Ernie Chan is the Managing Member of QTS Capital Management, LLC., a commodity pool operator and trading advisor. Ernie has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. He received his Ph.D. in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He is the author of “Quantitative Trading: How to Build Your Own Algorithmic Trading Business”, “Algorithmic Trading: Winning Strategies and Their Rationale”, and “Machine Trading: Deploying Computer Algorithms to Conquer the Markets”. Find out more about Ernie at

Rajib Ranjan Borah is the co-founder & CEO of iRage, one of India’s leading High-Frequency Trading firms, which manages potentially the broadest option portfolio book in India. He is also the co-founder and director of QuantInsti, an ‘Algorithmic and Quantitative Trading’ training and research institute which has trained thousands of professionals from over 130 countries. His prior experiences include high-frequency trading on all major US & European exchanges (Optiver, Amsterdam); data analytics technology (Oracle); business strategy for a trading firm & derivatives exchanges (Strategy Consulting, PwC). Rajib has thrice represented India at the World Puzzle Championship. He was also a finalist at the Indian National Biology Olympiad (top 24 nationwide). Rajib holds an MBAfrom IIM Calcutta, a bachelor’s degree in Computer Engineering from NIT Surathkal; and has internship experiences with Bloomberg in New York (derivatives research) & Solutia’s EMEAstrategy HQ in Belgium.

Humberto Brandão is the Head of the Research & Development Lab (R&D Lab) at Federal University of Alfenas (Brazil), where he is also a Professor. He has been working on Algorithmic Trading using Machine Learning since 2009. During this period, he created a realistic simulator, which has been used for High-Frequency Trading in Brazil. As a consultant for hedge funds, Humberto has been applying different techniques in order to improve their return and risk over different kind of strategies. Recently, Humberto won several important prizes in competitions related to Algorithmic Trading and Data Science.

Price for the Workshop

  • Super Early Bird until 12 January 2018 - HK$ 2000
  • Early Bird until 15 February 2018 - HK$ 2750
  • Standard Price - HK$ 3500
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