Webinars This Blog

Basics of Mean Reversion Strategies by Dr. Ernest P Chan

1 min read

Thursday 2nd November, 8:30 PM IST | 11:00 AM EST | 11:00 PM SGT

Mean Reversion strategy is a major component of technical acumen for trading. Prices and returns eventually move back to their mean or average stance, this concept forms the basis of many successful reversion strategies. And we at Quantra are proud to present our first webinar on ‘Basics of Mean Reversion Strategies’ in association with Dr. Ernest Chan.

‘Basics of Mean Reversion Strategies’ is a live interaction with Dr. Ernest Chan who is a globally renowned speaker on computerized trading. Dr. Chan has conducted multiple educative sessions worldwide and has authored three books so far. His writings on Quantitative, Algorithmic and Machine Trading form primary literature for traders and aspiring quants. In this webinar, Dr. Chan shall address the audience with an overview of Mean Reversion Strategy for trading.

Session Outline

  • Introduction
  • Stationarity of Time Series
  • Testing for Stationarity: ADF Test
  • Cointegration vs. Correlation
  • Mean Reversion Strategies
  • Questions


Dr. Ernest P Chan

Managing Member of QTS Capital Management, LLC

Dr. Ernest P Chan is the Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Dr. Chan received his PhD in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He was a cofounder and principal of EXP Capital Management, LLC, a Chicago-based investment firm. Chan is also the author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley), Algorithmic Trading: Winning Strategies and Their Rationale and his third and latest book is on Machine Trading: Deploying Computer Algorithms To Conquer the Markets. He is a popular financial blogger at http://epchan.blogspot.com.

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