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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


Forthcoming Seminars for 2017


Thalesians Seminar (London) — Mark Davis — Model-free Finance

Mark Davis

Mark Davis

Date and Time

Wednesday 25th October 2017, at 7:30 p.m.

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/244400545/

Abstract

Model-free finance uses only the current prices of traded assets to derive the range of arbitrage-free prices of other assets as well as identifying cheapest super-hedging strategies via infinite-dimensional linear programming. The ideas are closely related to the ‘Dutch Book’ theorems of subjective probability, pioneered in the 1920s and 1930s by Ramsey and De Finetti.

Speaker

Mark Davis is a Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to Hanover Square Capital Partners, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Professor Davis holds a PhD from the University of California, Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.


London (City) Malcolm Sherrington: Fractals, Finance and Fractured Fairy Taless

Date and Time

Wed 11th October 2017

  • 5:50 PM City University Club doors open
  • 6:00 PM Champagne Reception
  • 6:30 PM Seminar Begins
  • followed by drinks at the bar with Malcolm and our team

Venue

City University Club, 50 Cornhill, London EC3V 3PD, London

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/243919885/

Abstract

Fractals, Finance and Fractured Fairy Tales

Economic systems are complex. Modern day studies of complexity has introduced the concepts of agent-based models, chaos and catastrophe, In general, these have been largely ignored by the financial sector based, as it is, on simpler models, utilising a set of unrealistic assumptions.


In this talk Dr Malcolm Sherrington will ask why this remains the case and briefly describe various aspects of complexity theory, reviewing some of the seminal work as applied to the finance sector and the ongoing impact on recent studies.

Speaker

Malcolm Sherrington has been involved in provision of I.T. systems for over 30 years, working on a wide range of projects in Aerospace, Healthcare and Finance, as well as teaching at universities in London and Brighton. His work has included research and consultancy on parallel processing and the use of GPUs in high performance computing.

We are delighted to announce to you, the Thalesians, that we have negotiated a special deal with City University Club, an exclusive private members club in the heart of the City of London, conveniently located at 50 Cornhill, right next to the Bank of England, the Royal Exchange, the DLR and tube station. Come and join us for the fifth time for a lecture by Dr. Malcolm Sherrington at 18:30 preceded by a champagne reception from 18:00 and followed by drinks at the bar with Malcolm and our team!


Thalesians Seminar (London) — Justin Chan — Forward Simulating Initial Margin with AAD: Funding, Liquidity, and Capital

Justin Chan

Justin Chan

Date and Time

Wednesday 27th June 2017 (Lecture: 7:30 p.m.)

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/243326069/

Abstract

As bilateral initial margin is phasing into the market over the next few years, and it is estimated to exceed $300B globally, effective management and simulation of initial margin will be key in many aspects of managing funding, liquidity, and capital. We will explore where some of the quantitative challenges are, and how techniques such as adjoint algorithmic differentiation (AAD) can help:

• The key role of initial margin in funding, liquidity, and capital management

• Employing algorithmic differentiation to calculate forward portfolio sensitivities

• Simulating initial margins with AAD – bilateral and CCP initial margins

• Other related novel uses of algorithmic differentiation

Speaker

Justin Chan has over 8 years of experience in financial risk management and capital markets. Mr. Chan has a deep focus on quantitative modelling and financial engineering, and provides his quantitative expertise to FIS’s clients, as well as strategic steering to software development. Prior to FIS, Mr. Chan worked at Manulife Financial as a manager in corporate risk management.

Mr. Chan studied engineering science (BASc), and theoretical physics (MSc) at University of Toronto, where he also holds a Master of Mathematical Finance (MMF) degree.


Thalesians Seminar (London) — Jason Ricci — Stochastic Control in Algorithmic Trading

Jason Ricci

Jason Ricci

Date and Time

6:30 p.m. on Wednesday 6th September 2017

Venue

City University Club, City, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/242924703/

Abstract

Over the past two decades, there has been a rapid increase in both the proliferation and sophistication of electronic trading algorithms. This talk is centered around applying the mathematical tools of Stochastic Control and Stochastic Filtering to algorithmic trading. We will demonstrate how to rigorously formulate and solve typical problems that arise in electronic trading and market making, investigate some qualitative and financially intuitive properties of the optimal strategy, and evaluate the performance against both simulated and historical data.

Speaker

After completing his PhD at the University of Toronto (Department of Statistical Sciences), Jason joined Morgan Stanley in London where he currently works as a Vice President in electronic FX-spot trading. His research and academic interests are concentrated in applied probability in quantitative finance, more specifically in high frequency and algorithmic trading.


Thalesians Seminar (London) — Harvey Stein — Big Data's Dirty Secret

Harvey Stein

Harvey Stein

Date and Time

Monday 26th June 2017 (Lecture: 7:30 p.m.)

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/240793902/

Abstract

"Let the data speak for themselves."

"We apply machine learning to the problem of..."

These are two commonly heard phrases these days. But what data exactly are we speaking about, and what do we intend to do with it? What is ignored all too often is the quality of the data being used and how it impacts the analyses being done. Are there holes in the data? Are there anomalies? Given how dirty data can be, a more apt phrase might be "Garbage in, garbage out".

In this talk we will discuss some of the data problems we've encountered in financial data, and approaches that can be used to address them. Our particular focus will be on techniques we've employed to address missing data and bad data in credit default swap (CDS) spread histories.

Speaker

Harvey J. Stein is Head of the Quantitative Risk Analytics Group at Bloomberg, responsible for all quantitative aspects of Bloomberg's risk analysis products. Dr. Stein is well known in the industry, having published and lectured on mortgage backed security valuation, CVA calculations, interest rate and FX modeling, credit exposure calculations, financial regulation, and other subjects. Dr. Stein is also a member of the board of directors of the IAQF, an adjunct professor at Columbia University, a board member of the Rutgers University Mathematical Finance program and of the NYU Enterprise Learning program, and organizer of the IAQF/Thalesians financial seminar series. He received his BA in mathematics from WPI in 1982 and his PhD in mathematics from UC Berkeley in 1991.


Thalesians Seminar (London) — Lynda White — Life Is A Game!

Lynda White

Lynda White

Date and Time

Wednesday 24th May 2017 (Lecture: 7:30 p.m.)

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/238924229/

Abstract

Game theory has applications in all walks of life, including politics, warfare, economics and ecology. I will introduce the basic ideas of zero-sum games, non-zero sum games (cooperative and non-cooperative) and show how we can use these ideas to help us make important decisions in our lives. There will be lots of examples and the opportunity for audience participation.

Speaker

Following Mathematics degrees at Oxford, Dr. Lynda White completed my her PhD at Imperial College London where she has lectured in the Mathematics Department for over 45 years. Her main academic interests have been Game Theory and Design of Experiments, although Lynda has broad interests in Mathematics more generally.


London (City) Frank Berkshire: — Chaotic Cards and Dynamic Dice: Profitable, but risky pursuits

Frank Berkshire

Frank Berkshire


Date and Time

Wed 7th June 2017

  • 5:50 PM City University Club doors open
  • 6:00 PM Champagne Reception
  • 6:30 PM Seminar Begins
  • followed by drinks at the bar with Frank and our team

Venue

City University Club, 50 Cornhill, London EC3V 3PD, London

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/238924540/

Abstract

Chaotic Cards and Dynamic Dice: Profitable, but risky pursuits


The development of Mathematics has had strong links to chance, gambling and risk – from basic probability to dynamical chaos. In ‘real life’ the assessment of risk is hard, involving subjective as well as objective elements. True odds are difficult to calculate, with many subtle features.Gambling has a colourful history, and those who might be tempted to gamble in the hope of making a small fortune should recognise that the surest way to do this is to start with a large fortune. When situations are biased, but even close to being idealised and symmetrical, the probabilities and associated risk can be quite markedly different from those for unbiased cases – well known empirically to card sharps and dice mechanics over many centuries.

Speaker

Some 47 years ago the Mathematics Department at Imperial College London recruited Frank Berkshire to its academic staff, where he has been happily (on his part) employed ever since.He had previously spent 4 years in Cambridge followed by 3 years on a PhD at Imperial. In addition to having various administrative service roles in course design and conduct, and supporting an active teaching load, he has endeavoured to become an ‘expert’ in theoretical and practical dynamics – with wide application in waves, vortices, planetary motion, chaos, sport and gambling…He is jointly (with Tom Kibble) the author of a textbook – ‘Classical Mechanics’ –now in its fifth edition.He loses few opportunities to promote Mathematics at all levels - in the UK and extensively overseas - and is also Chairman of the Board of a large Sports Club. His long suffering, but tolerant, wife is apparently very happy for him to remain ‘busy’.

We are delighted to announce to you, the Thalesians, that we have negotiated a special deal with City University Club, an exclusive private members club in the heart of the City of London, conveniently located at 50 Cornhill, right next to the Bank of England, the Royal Exchange, the DLR and tube station. Come and join us for the third time for a lecture by Dr. Frank Berkshire at 18:30 preceded by a champagne reception from 18:00 and followed by drinks at the bar with Frank and our team!


IAQF-Thalesians Seminar (New York) — Dr. Harrison Hong — Climante Risks and Market Efficiency

Harrison G. Hong

Harrison G. Hong


Agenda

Wednesday, June 14, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies from 1985 to 2014, we rank these countries at the end of each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for the food companies in that country. It also forecasts relatively poor food stock returns in that country, even adjusting for a variety of risk benchmarks. This excess return predictability is consistent with food stock prices underreacting to climate change risks.

(Joint work with Frank Weikai Li, Hong Kong University and Jiangmin Xu, Guanghua School of Management)

Speaker

Dr. Harrison Hong is Professor of Economics at Columbia University. He was previously the John Scully ’66 Professor of Economics and Finance at Princeton University until July 2016. He received his B.A. in economics and statistics with highest distinction from the University of California at Berkeley in 1992 and his Ph.D. in economics from M.I.T. in 1997. His work has covered diverse topics, including behavioral finance and market efficiency, agency and biased decisions, organizational diseconomies and performance, social interaction and investor behavior, and social responsibility and the stock market In 2009, he was awarded the Fischer Black Prize, given once every two years to the best American finance economist under the age of 40. He is a research associate at the National Bureau of Economic Research and currently an editor of the International Journal of Central Banking. He has been an associate editor at the Journal of Finance, Journal of Financial Intermediation and a Director of the American Finance Association.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Past Seminars for 2017


IAQF-Thalesians Seminar (New York) — Dr. Sebastian Jaimungal — Trading algorithms with learning in latent alpha models

Sebastian Jaimungal

Sebastian Jaimungal


Agenda

Monday, May 15, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem in an online fashion. Furthermore, we develop a forward-backward algorithm based on expectation-maximization to calibrate a pure-jump model to historical data, illustrate the efficacy of the optimal strategy through simulations, and compare to strategies which ignore learning in the latent factors.

(Joint work with Philippe Casgrain, U. Toronto)


Speaker

Dr. Sebastian Jaimungal is a Full Professor in the Department of Statistical Sciences at the University of Toronto, where he is the director of the Masters of Financial Insurance program, teaches in the Masters of Mathematical Finance program, and the PhD program. Sebastian is the current Chair (and former Vice Chair; Program Director) for SIAM Financial Mathematics and Engineering (SIAG/FM&E), he is a co-author of the book titled “High-Frequency and Algorithmic Trading” published by Cambridge University Press (2015), and acts on the editorial board for a number of academic and industry journals including: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High Frequency, Journal of Risks and Argo. Sebastian is also a founding board member of the Commodities and Energy Markets Association.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (Stockholm) — Paul Bilokon — Stochastic Filtering and Bayesian Methods in Electronic Trading: A Practitioner’s Overview

Paul Bilokon

Paul Bilokon

Date and Time

Wednesday 26th April 2017 (6 p.m., Lecture: 6:30 p.m.)

Venue

Auditorium 3:232 in House 3, Kräftriket Stockholm, Sweeden.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/239166887/

Abstract

In this talk we shall give an overview of the methods of stochastic filtering: from Kalman, to particle, to assumed density filtering. We shall focus, in particular, on volatility estimation, an application of particular interest in electronic trading. We start with a quick look at the structure of an algorithmic trading strategy to motivate our talk – we shall examine which components can utilise stochastic filtering methods and volatility modelling. We shall then present a brief history of volatility modelling. The historical perspective on the subject enables us to understand it in the broader context and elucidate the trains of thought and motivations of the contributors. We shall focus on those stochastic volatility models that account for the stylised fact known as leverage. We then consider applications of volatility modelling in algorithmic trading: which components of the strategy benefit from an estimate or forecast of asset price volatility? We proceed to review the differences between the Bayesian and frequentist approaches to statistical inference and present a brief overview of stochastic filtering, including the Kalman, particle and (the focus of this talk) assumed density filtering. We present applications of stochastic filtering to volatility models in the context of algorithmic trading and show how they can be calibrated using maximum likelihood and MCMC techniques.


Speaker

Paul A. Bilokon is CEO and Founder of Thalesians Ltd. He has previously served as Director at Deutsche Bank, where he ran the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit.

Paul has graduated from Christ Church, Oxford, with a distinction, and twice from Imperial College London. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Paul's other academic interests include stochastic filtering and machine learning. He is an expert developer in C++, Java, Python, and kdb+/q, with a special interest in high performance scientific computing.

His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a consultancy and think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 2,500 members worldwide. Thalesians was co-founded with two of Paul's friends and colleagues, Saeed Amen and Matthew Dixon.

Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forum's SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999); a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society; Associate of the Securities and Investment Institute, and Royal College of Science; and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains


Thalesians Seminar (London) — Saeed Amen — Flash people – A short introduction to high frequency trading

Saeed Amen

Saeed Amen

Date and Time

7:30 p.m. on Wednesday 26th April 2017

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/239154648/

Abstract

In this talk, we shall give a short introduction to high frequency trading, talking about its evolution over the past few years and the factors that have helped the adoption of high frequency trading. We shall discuss the various market participants in HFT space and give an overview of the types of strategies they use. We shall also address some of the issues that have been raised by HFT and the fragility associated with some of the strategies in HFT space, by looking at several case study events

Speaker

Saeed Amen is the founder of Cuemacro. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Through Cuemacro, he now consults and publishes research for clients in the area of systematic trading. His clients have included major quant funds and data companies such as RavenPack and TIM Group. He is also a co-founder of the Thalesians.


IAQF-Thalesians Seminar (New York) — Dr. Andrew Papanicolaou — Trading in VIX Derivatives

Andrew Papanicolaou

Andrew Papanicolaou


Agenda

Tuesday, April 25, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

In this talk I will give insight into markets for derivatives on the VIX. The VIX is an implied volatility on the S&P500 index (SPX) with a history of spiking when the market encounters turbulence. Futures on the VIX are liquid instruments that are useful in hedging volatility, which in turn has lead to a demand for VIX call/put options and exchange traded notes (ETNs). Some interesting questions to ask are: How are the VIX and SPX markets related? How to effectively manage the futures term structure? My aim is to address both questions.


Speaker

Andrew Papanicolaou is an assistant Professor in the Department of Finance and Risk Engineering. He holds a B.S. from University of California at Santa Barbara (2003), an M.S. from University of Southern California (2007), and a Ph.D. in Applied Mathematics from Brown University (2010).

His research focuses on filtering theory, parameter estimation, stochastic control, and financial mathematics. Specific problems he’s studied include model selection and calibration for pricing of volatility derivatives, statistical inference for hidden economic indicators, and optimal strategies for investment in markets with unobserved factors. His work provides detailed mathematical analysis while emphasizing a deeper understanding of financial economics. His interdisciplinary interests allow him to engage in new research directions in financial mathematics, as well finding new applications of arbitrage theory, portfolio theory, and financial data analysis.

His past appointments were as a postdoctoral fellow and lecturer at Princeton in the department of Operations Research and Financial Engineering from 2010 to 2013, and as a lecturer at the University of Sydney in the School of Mathematics & Statistics from 2013 to 2015. In Spring 2015 he was awarded a fellowship at the Institute of Pure and Applied Mathematics at UCLA, and participated in the workshop series on “Broad Perspectives and New Directions in Financial Mathematics.”


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Marc Henrard — SIMM and SA FRTB: double AD

Marc Henrard

Marc Henrard

Date and Time

Wednesday 19th April 2017 (Doors Open, Reception: 6 p.m., Lecture: 6:30 p.m.)

Venue

City University Club, City, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/238981871/

Abstract

Algorithmic Differentiation (AD) has been used in engineering and computer science for a long time. The term Algorithmic Differentiation can be explained as ``the art of calculating the differentiation of functions with a computer.

Over the last 5 years, AD has made its road to quantitative finance. The most straight forward use of AD is to compute the sensitivity of PV to market inputs. In the frame of SIMM and SA FRTB computation, those sensitivities are the main input and having an efficient way to produce them is important.

Once the IM/Capital number is computed, there are a lot of potential analysis which are handy, like marginal IM and IM attribution. Those analysis also require some form of differentiation, this time with respect to the positions.

Agenda

SIMM and sensitivity based FRTB: double AD - Algorithmic Differentiation and computation of sensitivities - First AD: fast inputs for SIMM/FRTB - Second AD: sensitivity of the IM/Capital itself w.r.t. sensitivities - Second AD applications: attribution and marginal IM/Capital

Speaker

Marc Henrard is a Advisory Partner at OpenGamma and visiting professor at University College London.

Over the last 15 years, Marc has worked in various areas of quantitative finance. His experience includes management positions in risk management, trading, software development, and quantitative research. In particular he has been Global Head of Interest Rate Modeling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.

Marc's research focuses on interest rate modelling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design). He publishes on a regular basis in international finance journals, and is a regular speaker at academic and practitioner conferences. He is the author of The multi-curve framework: foundation, evolution, implementation (Palgrave, 2014) and Algorithmic Differentiation in Finance Explained (Palgrave, forthcoming).

Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.


Thalesians Seminar (London) — Chris Godfrey — Behavioural Finance: the Current State of Play

Chris Godfrey

Chris Godfrey

Date and Time

7:30 p.m. on Wednesday 29th March 2017

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/237977773/

Abstract

Behavioural Finance is the application of behavioural psychology to Finance. The current state of the academic discipline of Finance is currently a bitter contest between two rival paradigms: on the one hand, the currently entrenched paradigm of Rational Expectations and Efficient Markets, centred on the Chicago School, and on the other, the emergent paradigm of Behavioural Finance, a loose coalition of finance and psychology academics.

The former envisages Finance as essentially a branch of physics: individuals are alleged to behave rationally, maximise traditional utility functions, assess information correctly, and possess perfect foresight as regards likely future outcomes and probability distributions. By contrast, Behavioural Finance regards the discipline more as a branch of experimental psychology: investors are frequently irrational, but they are irrational in distinctive ways. They often fail to adapt to new information, but this too can be consistently modelled; their trading and investment habits are profoundly and predictably affected by their own experiences, both recent and historic. Investors are affected by a host of biological factors, in ways which can be traded upon; although they generally fail to correctly assess future outcomes and probability distributions, they do so in a consistent manner. Through Behavioural Finance, we now know that the process by which investment ideas spread shows similar statistical properties to infectious epidemics.

The established school has made few new seminal theoretical contributions, outside of derivatives, for at least two decades. Owing to its obsession with models which are mathematically tractable but almost entirely unrealistic in their assumptions, it has of choice made itself largely irrelevant to the finance industry. Behavioural Finance, by contrast, is a field bubbling with new discoveries. Its current challenges are to develop a unified, overarching theoretical framework, and to convert its insights into profitable applications in the industry and beneficial reforms in financial regulation.

This talk will outline the current state of the intellectual battlefield in academic finance, before moving on to outline the most promising recent developments in Behavioural Finance. Finally, we will consider how these might be usefully applied in financial markets and regulation.

Speaker

Chris Godfrey is Lecturer in Finance at Alliance Manchester Business School, at the University of Manchester. Previously, he was Lecturer in Finance at the ICMA Centre, Henley Business School, where he also undertook his doctoral research in Behavioural Finance. Before that, he worked in Corporate Finance at ING Barings. He is currently researching behavioural finance, momentum trading, trading on market sentiment and how financial risk premia vary when applied to investable universes of assets.


IAQF-Thalesians Seminar (New York) — Dr. Lingjiong Zhu — A reduced-form model for level-1 limit order books

Lingjiong Zhu

Lingjiong Zhu


Agenda

Thursday, March 16, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

One popular approach to model limit order book dynamics of the best bid and ask at level-1 is to use reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of the level-1 limit order books of a basket of stocks and study the numerical evidence of drift, correlation, volatility and their dependence on the imbalance. Based on the numerical discoveries, we develop a nonparametric discrete model for the dynamics of the best bid and ask. This model can be approximated by a reduced-form model with analytical tractability that can fit the empirical data of correlation, volatilities and probability of price movement simultaneously.

(Joint work with Tzu-Wei Yang)


Speaker

Lingjiong Zhu grew up in Shanghai and went to study in England, where he got BA from University of Cambridge in 2008. He then moved to the United States and received PhD from New York University in 2013. After a stint at Morgan Stanley, he went to work at the University of Minnesota as the Dunham Jackson Assistant Professor before joining the faculty at Florida State University as an Assistant Professor in 2015. In his spare time, he enjoys reading, traveling, and going to art exhibitions, museums and classical music concerts.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Jason Ricci — Stochastic Control in Algorithmic Trading

Jason Ricci

Jason Ricci

Date and Time

6:30 p.m. on Wednesday 6th September 2017

Venue

City University Club, City, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/242924703/

Abstract

Over the past two decades, there has been a rapid increase in both the proliferation and sophistication of electronic trading algorithms. This talk is centered around applying the mathematical tools of Stochastic Control and Stochastic Filtering to algorithmic trading. We will demonstrate how to rigorously formulate and solve typical problems that arise in electronic trading and market making, investigate some qualitative and financially intuitive properties of the optimal strategy, and evaluate the performance against both simulated and historical data.

Speaker

After completing his PhD at the University of Toronto (Department of Statistical Sciences), Jason joined Morgan Stanley in London where he currently works as a Vice President in electronic FX-spot trading. His research and academic interests are concentrated in applied probability in quantitative finance, more specifically in high frequency and algorithmic trading.


Thalesians/Quant Finance Group Germany (Frankfurt) — Jacques du Toit — Innovations in Quant Finance from NAG - Adjoint Algorithmic Differentiation, HPC and PDEs

Date and Time

5:00 p.m. on Monday 6th March 2017

Venue

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

Meetup.com

You can register for this FREE event on Meetup.com: https://www.meetup.com/thalesians/events/237603912/

Abstract

FREE event, kindly hosted by PPI

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

The speaker will introduce very briefly NAG’s products and services for Quant Finance and then take a deeper dive into two of his favourite topics. Although there are many Algorithmic Differentiation (AD) tools to help users make adjoints of their CPU code, there is as yet no tool that can handle GPUs. We present a new tool for making adjoints of GPU accelerated codes. The tool also works on CPUs, and is significantly faster and more memory efficient than other operator-overloading AD tools. We present some results of applying this new tool to a prototype CVA code based on the G2++ model. In the second half of the talk we present some new results on calibrating Stochastic Local Volatility models via the Kolmogorov Forward Equation. Solving this PDE is challenging, and we outline a new finite volume approach which seems to perform very well. We present convergence studies for CIR (in one dimension) and Heston (in two dimensions) PDEs both when Feller condition is satisfied and is violated, before looking at some results for an SLV calibration to FX data from early last year.

Speaker

Jacques du Toit has a degree in Mathematical Finance, Statistics and Probability Theory and has been working as a software developer at NAG since 2010 specialising in finance applications, AD and GPUs. The Numerical Algorithms Group (NAG) provides expertise in numerical engineering, by delivering high-quality computational software, consulting services and high performance computing services. For over four decades NAG have collaborated with world-leading researchers in academia and industry to create powerful, reliable and flexible software which is relied on by tens of thousands of individual users, as well as numerous independent software vendors. As a not-for-profit company, NAG reinvests surpluses into the research and development of its products, services, staff and its collaborations.


Thalesians Seminar (London) — Saeed Amen — Using Python to analyse financial markets

Saeed Amen

Saeed Amen

Date and Time

7:30 p.m. on Wednesday 22th February 2017

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/237318190/

Abstract

In this talk, we discuss the Python open source ecosystem and how libraries like pandas can be used to form the backbone of data analysis. We also introduce the open source libraries, chartpy, findatapy and finmarketpy, showing how they can be used to visualise data, download market data in a generic fashion and also to backtest trading strategies. We shall be giving interactive demos, including a demo for a simple trend following strategy and visualisation of FX vol surface.

Speaker

Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan).


IAQF-Thalesians Seminar (New York) — Dr. Alan Moreira — Volatility Managed Portfolios

Alan Moreira

Alan Moreira


Agenda

Wednesday, February 15, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns.


Speaker

Alan Moreira is an Assistant Professor of Finance at the Yale University School of Management. Originally from Rio de Janeiro, Brazil, he received his undergraduate degree from the Rio de Janeiro Federal University (UFRJ) and his PhD in Financial Economics from the University of Chicago. Dr. Moreira’s research investigates how financial intermediation shapes the real economy and the causes and consequences of fluctuations in uncertainty. His research has been published in the top journals including the Journal of Financial Economics and Journal of Finance. In addition to teaching Risk Management in the MBA program at the Yale School of Management, Dr. Moreira teaches Asset Pricing at the PhD level. In his spare time, he enjoys biking, traveling, and hanging out the family.


Alan Moreira, Assistant Professor of Finance, Yale School of Management [1]


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Seminar (London) — Oskar Mencer — Multiscale Dataflow Risk Computations on Hybrid Cloud

Oskar Mencer

Oskar Mencer

Date and Time

7:30 p.m. on Wednesday 25th January 2017

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/236357723/

Abstract

The finance industry is going through a transformative era with Amazon AWS leading the transformation on the IT side and governments leading the transformation on the regulatory side. The key driving forces are the reduction of cost and the reduction of risk. In this talk I will show how Multiscale Dataflow Computing partnering with the new Amazon EC2 F1 instance coupled with regulation-compliant compute-storage solutions with data lakes from our partner Hitachi Data Systems create an elastic hybrid cloud solution which minimizes both operational and financial, cost and risk.

Speaker

Oskar Mencer. PhD, Stanford 2000, Thesis on Continued Fractions. Member of Technical Staff at Bell Labs, Unix group (1127), Visiting Professor at Stanford in Geophysics, Member of Academic Staff at Imperial College London, fan of automatic differentiation, and PhD supervisor of Prof Haohuan Fu, the most recent winner of the Gordon Bell award, and CEO of Maxeler Technologies, www.maxeler.com.


Thalesians Seminar (Frankfurt) — Thalesians Frankfurt 1st Open Stage Seminar

Frankfurt

Frankfurt

Date and Time

6:30 p.m. on Thursday 5th January 2017

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/236473845/

Abstract

In order to spare further time crowding towards year end and Xmas, we decided to slightly postpone the 2016 Q4 into early January - for a fresh start into the new year 2017!

And we'll start real fresh - with an experiment Thales would have enjoyed:

  • Thalesian's 1st Open Stage Seminar

We open up the stage - for you!

And for open discussion rounds on any hot topics in your mind!

Isn't there this new idea you work on and are keen to get out and known, and perhaps constructively discussed?

Isn't there this hot topic or nagging question you always wanted to elaborate on with bright guys around?

Then this is your chance! We invite suggestions for short presentations (15-30min) and discussion topics around:

  • Quantitative Finance
  • FinTech
  • Big Data & AI
  • Asset Management
  • Risk Management

As always, participation is free.

Logistics:

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

Thursday, January 5, at 6.30pm CET

Looking forward to see you Jan 5 - and to talk/discuss/debate/enlighten together!


IAQF-Thalesians Seminar (New York) — Dr. Tai-Ho Wang — Probability density of lognormal fractional SABR model

Tai-Ho Wang

Tai-Ho Wang


Agenda

Tuesday, January 24, 2017:


Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Instantaneous volatility of logarithmic return in lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such models are less known in the literature. We present in this talk a bridge representation for the joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a properly chosen deterministic path yields an Edgeworth style of expansion of the probability density for the fractional SABR model. A direct generalization of the representation to joint density at multiple times leads to a heuristic derivation of the large deviations principle for the joint density in small time. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices and comparing coefficients. The presentation is based on a joint work with Jiro Akahori and Xiaoming Song.


Speaker

Tai-Ho Wang holds a professorship in mathematics at Baruch College, City University of New York since 2012. His research in quantitative finance includes implied volatility asymptotics in small time, static arbitrage free bounds on basket options, optimal liquidation and execution in market impact models, and recently information dynamics in financial market.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Past Seminars

Seminars from 2016

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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