Judith Gu on Systematic Equities
As systematic equities market maker and risk manager, our business constantly needs to evaluate individual stock’s next move in the continuous market.
Systematic market making and risk management started about 25-30 years ago. The ecosystem has employed sound mathematics processes into pricing model for continuous market making, as well as incorporated risk factor model for risk management, and optimization for rebalancing / trading. Real time streaming technologies have enabled algorithmic trading in the rhythm of tick data. All of which has contributed to the rise of the machine.
On the other hand, we have not done a good job in short term prediction. Nor a good job at being regime change adaptive. Alpha or known as “idiosyncratic risk” is where we want to apply rigorous machine learning feature discovery techniques. Furthermore, prediction potential to do a better job in detecting anomalies in real time trading environment that lasts from hours to days.
In conclusion, short term trading is based on sentiment.
One of our research interests is how to incorporate sentiment for better market making and trading. News is real time fundamental sentiment, and it is one of the factors that drive stocks to deviate from market. Studying short term idiosyncratic behavior is where we will combine alternative data. Market data. And machine learning techniques. Moreover, which is also the evolution of quant investment from automating the “quantifiable, predictable, hedgeable” systemic risk to actively identifying and handling anomalies, idiosyncratic risk in a timely manner.
Learn more from Judith at the:
Cornell Financial Engineering Manhattan 2022 Future of Finance Conference
Judith Gu, MS, MBA, CPA
Judith Gu, MS, MBA, CPA is a Managing Director and Head of Statistical and Systematic trading at Scotiabank US Equities business. She is responsible for alpha signals, risk management, and electronic market making for the growing US equities trading business at the Canadian bank.
Prior to joining Scotiabank, Judith was a “strat” at Goldman Sachs. She worked at fundamental strategy group, equities market making desk as well as GSAM Quantitative Investment Solution ( “QIS” ) group. Judith earned her MS in Data Mining from University of Central Connecticut. And her MBA in finance from New York University.
In addition, Judith has amazingly passed all 4 Certified Public Accounting exams!
Judith Gu on Systematic Equities
