Antoine Freches has more than 10 years working experience in commodity structured products, exotic derivatives and systematic strategies. He is currently focusing on futures and options electronic market making and algorithmic trading. He holds a Master of Science from HEC Paris.

Applying Machine Learning to Systematic Investment Strategies

♦ What are the challenges linked to using machine learning techniques to design a systematic investment strategy linked to commodity futures?
♦ What data is relevant and of practical use to attempt to forecast the behavior of a forward curve? 
♦ Can sequence models (RNNs, LSTMs) apply to the noisy data of commodity markets?
♦ How complex can the overall model be for optimal performance and interpretability?

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