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Using MATLAB to Bridge the Gap Between the Portfolio Construction and Trading

Robert Kissell, Kissell Research Group

This presentation discusses Kissell Research Group’s latest financial research and findings and shows how the firm has been using MATLAB to help portfolio managers and traders bridge the gap between stock selection and portfolio implementation. Robert introduces techniques that use MATLAB to estimate the cost of trading via non-linear regression analysis, construct MI factor scores to assist portfolio managers with their portfolio construction process, and improve the accuracy and efficiency of algorithmic optimizers. Finally, he discusses how Kissell is using MATLAB to construct the next generation of Global Cost Indexes, and how these indices are used to back-test investment ideas and evaluate broker performance, which ultimately leads to higher portfolio returns for the investor.

Topics covered in this presentation include:

  • I-Star Cost Index
  • Portfolio construction
  • Algorithmic optimization
  • Back-testing series
  • Broker evaluation

Recorded: 9 Apr 2014

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