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Quantitative Finance Seminars

Seminars

The Thalesians Quantitative Finance Seminars are a series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.

We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.

Come along to our seminars in Canary Wharf (LDN), Midtown Manhattan (NYC) or Budapest (BUD) and join us for a quantitative finance talk by a guest speaker followed by discussions and often also networking drinks.

Videos

Videos of some of the London talks are available: older videos in Flash format and downloadable in MP4 format for iPod/iTunes. Newer videos are available on this website and on our YouTube site.

Cost

The London seminars charge £15 at the door for events to cover the venue hire and other expenses. Admittance to the IAQF/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAQF members.

Registration

  • For UK talks, please contact Paul Bilokon, paul, who is at thalesians.com, to reserve your place and/or sign up to our official seminar list.
  • For US talks, please contact Matthew Dixon, matthew, who is at thalesians.com, or Harvey Stein, harvey, who is at thalesians.com to reserve your place and/or sign up to our official seminar list.

Forthcoming Seminars for 2015

Thalesians/Quant Finance Group Germany (Frankfurt) — Quant Evening

Yves Hilpisch

Saeed Amen

Date and Time

6:00 p.m. on Monday, 7 September, 2015

Venue

PPI AG Office, Wilhelm-Leuschner-Straße 79, Frankfurt Am Main

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223304563/

Abstract

FREE evening of talks, kindly hosted by PPI AG

Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI AG for hosting.

  • History, Mission Statement and Future of the Group & Welcome from PPI Host
  • Saeed Amen (Thalesians) - Quant trading in FX & PyThalesians
  • Jochen Papenbrock (PPI & Firamis) - Correlation Networks
  • Miguel Vaz (D-Fine) - Networks with Python/Spark
  • Adrian Zymolka (Axioma) - Multi-Period Optimization

Event finish and drinks!

You can access the Thalesians/Quant Finance Germany (Frankfurt) LinkedIn Group page here.

Selected talk abstracts

Saeed Amen (Thalesians) - Quant trading in FX & PyThalesians - We shall present how to use the open source PyThalesians Python library to analyse FX markets, plot data and also to create FX trading strategies.

Jochen Papenbrock (PPI & Firamis) - Correlation Networks - On the rise: correlation networks experience a vibrant time. They are currently emerging due to their ability of capturing systemic risk and extrinsic fragility. They help to create antifragile portfolios which actually gain from crisis and also do well in calm market times. This is because of their higher order diversification properties which systematically harvest the risk premiums of multiple assets. Also, risk managers, regulators and auditors appreciate correlation networks due to their simplicity and effectiveness - and their ability to scan portfolios for risk and to visualize portfolio fragility. In the talk I will give an overview on all these aspects of correlation networks.

Adrian Zymolka (Axioma) - Multi-Period Optimization - Modern optimizers can handle complex portfolio construction problems with many realistic requirements. In practice - particularly in production environments - such tasks usually focus on immediate decisions to take ('the next portfolio/trade list') which makes them myopic by nature. In contrast, multi-period optimization tackles an entire portfolio evolution through time and determines the optimal allocations/trades for the current as well as subsequent rebalancings at once. This allows to exploit better trade-offs between short- and long-term effects as well as between averaging and accumulating measures, leading to better informed decisions in view of expected future developments.

In this talk, I briefly introduce our approach to multi-period optimization, differentiate it against other time-referenced portfolio construction concepts, and present some typical application cases, like trade scheduling, tracking around benchmark reconstitutions, alpha factor selections, or multi-horizon alpha integration.

(A longer presentation on the topic and the application cases is planned for a future Thalesians seminar.)

Selected Bios

TBC


Thalesians Seminar (Zurich) — Creating trend following fund: How to build a CTA? / interactive Python PyThalesians demo

AHL

Saeed Amen

Date and Time

6:00 p.m. on Tuesday, 8 September, 2015

Venue

Room G 43, Building HG, ETH Hauptgebäude, Rämistrasse 101, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/223572550/

Abstract

This will be a FREE event and our first event in Zurich - thanks to ETH for kindly hosting this event and for Swati Mital for organising. The talk will be at 6pm Zurich time.

In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors.

Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub). Amongst other things we shall investigate the properties of intraday FX volatility, where we'll be accessing live market data via Bloomberg and also creating customised plots using Matplotlib.

Selected Bios

Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd.

Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He is currently also writing a book on trading which is due to be published by Palgrave Macmillan (preliminary title: Trading Thalesians - What the ancient world can teach us about trading today)

Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science.


Thalesians Seminar (San Francisco) — Steven Pav - Portfolio Inference and Portfolio Overfit

StevenPav

Steven Pav

Date and Time & Schedule

6:00 p.m. on Thursday, 10 September, 2015
6pm: Reception in Julia's Lounge
7pm: Talk in the Member's Lounge
8pm: Networking*

Venue

Berkeley City Club, 2315 Durant Ave, Berkeley, CA

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/224519949/

Abstract

By using a little known matrix equation, we derive the asymptotic distribution of the Markowitz portfolio, taking into account common practical tweaks. This allows inference to be performed in a wide variety of asset allocation problems. We also discuss a fundamental bound on portfolio quality when the goal is to maximize the Sharpe ratio. This bound, which can be seen as a quantification of 'overfit', helps solve some puzzles in asset allocation: why diversification can hurt, why portfolio managers do not (or should not) make more than 5 decisions at a time, etc.

Bio

Steven Pav served as a quantitative strategist at Cerebellum Capital for 7 years where he designed and implemented backtest, execution, and research infrastructure in Matlab and C for a daily trading system on equities and volatility futures. His contributions also include designing machine learning quantitative strategies and devising methods to correct for overfit bias in the backtesting and strategy development process. Steve holds a Ph.D. in Math from Carnegie Mellon.

Acknowledgements

The Thalesians are delighted to acknowledge the sponsorship of this event by Voleon Capital Management.

  • Please note the bar in Julia's Lounge will remain open to the public until 8:30pm, but the Member's Lounge will remain open to the Thalesians until 9:30pm.

Thalesians Seminar (London) — Stephen Pulman — Multi-Dimensional Sentiment Analysis

Stephen Pulman

Stephen Pulman

Date and Time

7:30 p.m. on Wednesday, 23 September, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/223986866/

Abstract

All sentiment analysis systems can deliver positive/ negative/neutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere.

Speaker

Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut für Maschinelle Sprachverarbeitung, University of Stuttgart; and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI International's Cambridge.


Thalesians Seminar (New York) — Creating trend following fund: How to build a CTA? / interactive Python PyThalesians demo

Saeed Amen

Saeed Amen

Date and Time

6:00 p.m. on Thursday, 1 October, 2015

Venue

Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY

Meetup.com

You can register for this event and pay for tickets at Meetup.com: http://www.meetup.com/thalesians/events/224534116/

Abstract

In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors.

Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub). Amongst other things we shall investigate the properties of intraday FX volatility, where we'll be accessing live market data via Bloomberg and also creating customised plots using Matplotlib.

Selected Bios

Saeed Amen is a Managing Director and a Co-founder at Thalesians Ltd.

Saeed is currently publishing ground-breaking quant strategy notes at Thalesians Ltd., drawing upon nearly a decade of experience both creating and running systematic trading models successfully with real cash. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX. He is currently also writing a book on trading which is due to be published by Palgrave Macmillan (preliminary title: Trading Thalesians - What the ancient world can teach us about trading today)

Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. Later he was at Nomura as an Executive Director in Quantitative Strategy, also in FX, developing their model infrastructure and also running systematic FX prop risk. He graduated from Imperial College with a first class honours master's degree in Mathematics and Computer Science.


Thalesians Seminar (London) — Robert Carver — Lessons from Systematic Trading

Robert Carver

Robert Carver

Date and Time

7:30 p.m. on Wednesday, 21 October, 2015

Venue

Ginger Room, Marriott Hotel, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/224130063/

Abstract

It's my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes I've made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically.

Speaker

Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of "Systematic Trading", a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment.

Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL , one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHL's fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013.

Past Seminars

Seminars from 2015

Seminars from 2014

Seminars from 2013

Seminars from 2012

Seminars from 2011

Seminars from 2010

Seminars from 2009

Our old events page is here

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