Peter Sarlin, Hanken School of Economics - Deep Learning in Finance Summit 2016 #reworkfin

Evgeny “Jenia” Mozgunov (Caltech) won an algorithmic trading competition hosted by Quantiacs. Jenia used machine learning tools to write his trading algorithm that now trades an initial $1M investment. He is talking about his approach and his main learnings. Jenia's algorithm currently has a live Sharpe Ratio of 2.66.