Speaker: Ping Lu, former Managing Director, Two Sigma

Title: "An Introduction to Equity Statistical Arbitrage"

Abstract: The talk is an introduction to equity statistical arbitrage, an important business in the hedge fund industry. I will begin with an overview of the business and its history, followed by an in-depth discussion on factors, factor modeling, and risk model. I will then explore a few subjects in portfolio management, covering topics such as utility function and mean-variance optimization, and discussing a few examples of asset pricing anomaly and what the corresponding factor mimicking portfolio would look like after portfolio construction. In the end, I will briefly touch upon building trading signals, including factor-based and regression-based approaches.

Bio: Ping Lu joined Two Sigma Investments at 8/2011 and was most recently a managing director who oversaw the team that builds and maintains Two Sigma’s quantitative trading platforms for its core businesses. Ping had also worked at Horizon, a global macro fund within Two Sigma that explores relative value trading opportunities. Before joining Two Sigma, Ping was a software engineer at VMware Inc. Ping holds two Master's degrees in Computer Science, one for UNC-Chapel Hill and another from Nanjing University. Ping has a Computer Science Bachelor's degree, also from Nanjing University.