Model Experiment Management to Software Factories for Computational Finance Professionals

A key component of a computational finance project is addressing the life cycle of a model from tracking its development through to production.  Specifically, we start with first principles to track and develop models and finish with support to productionise.

The first session addresses a common challenge when building models, be they in MATLAB, Simulink, C/C++, Java or Python, which is to track which combinations and parameters have been explored and their respective results.  We will leverage the MATLAB Experiment Manager application that is specifically designed to track model and parameter response to develop optimum models for trading, portfolio management and any other application that requires a tuned model

From this fundamental base, the second webinar looks at the use of software factory architectures to speed the deployment of the model that has been developed using the techniques described in the first webinar. The workflows described here are tailored to the needs of financial professionals and are derived from agile software development practices.

Please note that both webinars are reruns in AUNZ friendly times from our international computational finance team.

Highlights

• Organize and track large-scale parameter scans and stability tests
• Automate and parallelize backtesting workflows to improve efficiency
• Evaluate strategy robustness by analyzing parameter sensitivity and asset dependence
• Automate portfolio modelling and deployment workflow
• Improve model reliability and continuously refine forecasts with real-time diagnostics
• Detect performance degradation and adjust models proactively with portfolio monitoring

About the Presenters

Dr Peter Brady is a Principal Application Engineer in the MathWorks Australia Sydney office and is the first point of contact for technical support from computational finance professionals in Australia, New Zealand and the Pacific. Mr Morgan Quinn is the Sales Representative for the finance industry and is based in Sydney.