In this talk we examine a quantitative momentum based trading model and examine the statistical estimation of its key components from multivariate historical data using both nonparametric and parametric estimation methods. Some background to futures markets will be given together with brief discussion of why they are suited to model based systematic trading.

Man Investment Products is a FTSE 100 company specialising in alternative investments. We manage funds based on systematic trading strategies applied to a wide portfolio of international markets. A diverse range of statistical modelling and analysis techniques is exploited in researching and developing these trading strategies.

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