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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 Seminar (Prague) — Saeed Amen — Trading Thalesians book talk / FX intraday demo

Saeed Amen

Saeed Amen

Date and Time

6:30 p.m. on Friday, 29 May, 2015

Venue

Konferenční sály Akademie věd ČR, Národní 1009, Praha 1, Czech Republic

Meetup.com

You can register for this FREE event at Meetup.com: http://www.meetup.com/thalesians/events/222183063/

Abstract

Thanks to Jan Novotny and Pavel Motuzenko for helping to organise our first Thalesians talk in Prague!

First half: What can the ancient world teach us about modern money markets? How can we use examples from the ancient world, philosophers and writers to better understand the markets? Just as historians such as Herodotus living in ancient Greece examined the past, can traders look to their past to learn something new? In this exciting new book, Saeed Amen looks to the ancient world to help us better understand modern money markets, demonstrating what ancient philosophers can teach us about trading markets today, and showing readers how to maximize their returns.

Second half: We leap into modern day, we will use Python in an interactive demo to investigate the properties of FX intraday price action and volatility, using FX tick data, in particular noting various patterns in price action. We shall also be discussing FX intraday price dynamics around ECB meetings.

Copies of Trading Thalesians will be available at the end of the talk, personally signed by the author!

Speaker

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 (Frankfurt) — Saeed Amen — Trading Thalesians book talk / Python FX intraday demo

Saeed Amen

Saeed Amen

Date and Time

6:00 p.m. on Wednesday, 3 June, 2015

Venue

Die-Zentrale, Berger Strasse 175, Frankfurt am Main, Germany

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/222182763/

Abstract

First half: What can the ancient world teach us about modern money markets? How can we use examples from the ancient world, philosophers and writers to better understand the markets? Just as historians such as Herodotus living in ancient Greece examined the past, can traders look to their past to learn something new? In this exciting new book, Saeed Amen looks to the ancient world to help us better understand modern money markets, demonstrating what ancient philosophers can teach us about trading markets today, and showing readers how to maximize their returns.

Second half: We leap into modern day, we will use Python in an interactive demo to investigate the properties of FX intraday price action and volatility, using FX tick data, in particular noting various patterns in price action. We shall also be discussing FX intraday price dynamics around ECB meetings.

Copies of Trading Thalesians will be available at the end of the talk, personally signed by the author!

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.


2nd Big Data Quant Finance Conference (London - External Event) — Speakers including Albanese and Amen

Claudio Albanese

Claudio Albanese

Date and Time

10th-12th June 2015

Venue

London

To sign up

You can register for this event and pay online at the WBS Training website: http://www.wbstraining.com/php/conferences/?id=103 (contact saeed at thalesians.com for a 25% discount code, which is available for Thalesians members!)

Abstract

This conference will showcase some of the latest progress made in financial data:

  • Deutsche Börse: Big Data Enabling Technologies – A Financial Market Perspective
  • Bloomberg will explore Newscasting - Forecasting Global Macro Economic Data from News and Events
  • UBS discuss High-Frequency Beta Estimation in Practice
  • ABN AMRO Analyze Large Volume Transactions on Capital Markets
  • Natixis will present Anomaly Detection in Sensitivity Computation by Machine Learning Techniques
  • Global Valuation Limited present on the latest develoements on Capital Simulations for OTC books
  • RavenPack open the conference with Tales from the Front Line; The Quant Market for Big Data
  • The Python Quants look at How Open Source Revolutionizes Financial Analytics

Speaker

  • Maurizio Luisi: Senior Quantitative Strategist, Bloomberg LP
  • Dragos Crintea: External IT Consultant, Deutsche Börse
  • Tobias Preis: Associate Professor of Behavioural Science and Finance, Warwick Business School, University of Warwick
  • David Jessop: Managing Director – Global Head of Equities Quantitative Research, UBS
  • Jose Luu: Head of Scientific Computing, Natixis
  • Yves J. Hilpisch: The Python Quants
  • Igor Stojkovic: Business Advisor Big Data Scientist, ABN Amro
  • Hugh Taggart: Director of Business Development, RavenPack
  • Claudio Albanese: CEO: Global Valuation Limited
  • Saeed Amen: Managing Director & Co-founder: THE THALESIANS
  • Bas van Schriek: Risk Manager: ABN Amro
  • Other presenters to be confirmed

Pre-Conference Workshop Day: Wednesday 10th June: Exploring Themes in Systematic Trading by Saeed Amen: Managing Director & Co-founder: THE THALESIANS


Thalesians Seminar (London) — AHL — Using Python to build trading strategies with AHL

AHL

Man AHL

Date and Time

7:00 p.m. on Wednesday, 17 June, 2015

Venue

AHL, Riverbank House, 2 Swan Lane, London EC4R 3AD

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/222320925/

Abstract

FREE evening of talks, kindly hosted by AHL at their London headquarters

The AHL team will be discussing how they use their Python based research platform to research quantitative trading systems. There will also be a real life Python demo, illustrating how they use it in practice.

There will also be a demo from Saeed Amen (from Thalesians), showing how to use Python to investigate the properties of intraday FX volatility, where he'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.


IAQF-Thalesians Seminar (New York) — Dr. Tim Leung — Exchange-Traded Funds and Related Trading Strategies

Tim Leung

Tim Leung

Agenda

Wednesday, June 18, 2015:

Venue

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

Registration

Abstract

We discuss a number of static and dynamic portfolios related to exchange-traded funds (ETFs). We first discuss the price dynamics of futures-based ETFs and leveraged ETFs. This leads us to develop futures-based strategies for the objective of leverage replication, and discuss their applications to VIX and commodity (L)ETFs. We also analyzed several trading strategies involving multiple leveraged ETFs, accounting for their leverage ratios, volatility decays, expense ratios, and tracking errors. The performance and risk characteristics of these portfolios are studied both analytically and empirically.

Speaker

Tim Leung is an Assistant Professor at Columbia University's IEOR Department. He's also an affiliated faculty member of the Center for Financial Engineering, and Institute for Data Sciences & Engineering. He received a Ph.D. in Operations Research & Financial Engineering (ORFE) from Princeton University, and B.S. in Operations Research & Industrial Engineering (ORIE) at Cornell University.

Professor Leung's research focuses on the valuation of financial derivatives, and associated risk management and trading strategies. In particular, he has written extensively on exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF), and published in journals, such as Mathematical Finance, Finance & Stochastics, Quantitative Finance, and SIAM Journals.

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.


Behavioural Models & Sentiment Analysis: Applied to Finance (London - External Event) — Speakers including Hafez & Amen

Peter Hafez

Peter Hafez

Date and Time

15-16th July 2015

Venue

London

To sign up

You can register for this event and pay online at Unicom's website at http://conferences.unicom.co.uk/sentiment-analysis/programme.php

Abstract

Sentiment analysis has developed as a technology that applies machine learning and makes a rapid assessment of the sentiments expressed in news releases. News (events) move the market and are measured quantitatively. Analysts and investors digest financial news and their perceptions impact the market and move stock prices. This conference presents the current state of the art in this fast-emerging field. This is the 5th conference on this topic organized by UNICOM Seminars Ltd. The programme focuses on the application of Sentiment Analysis to the respective models of trading, fund management and risk control. Specialists in the domain present their recent research results, case studies and technology overviews. In particular the topic of Algorithmic Trading is addressed. Special features of this year’s conference are the inclusion of Social Media data (Twitter, blogs, Google Trends, online searches); how trustworthy these are and how they influence market sentiment, sentiment analysis for multiple asset classes.

Speakers include

  • Saeed Amen: Managing director and co-founder of the Thalesians.
  • Cristiano Arbex Valle: OptiRisk
  • Ashok Banerjee: Dean of New Initiatives and External Relations at IIM Calcutta
  • Svetlana Borokova: Associate professor of Quantitative Finance at the Vrije Universiteit Amsterda
  • James Cantarella: Global Proposition Manager for Enterprise Analytics at Thomson Reuters
  • Asher Curtis: Assistent Professor at University of Washington
  • Elijah DePalma: Quantitative research analyst for Thomson Reuters Machine Readable News group
  • Giuliano De Rossi: Head of European Quantitative Research team at Macquari
  • Dan diBartolomeo: President and founder of Northfield Information Services, Inc
  • Armando Gonzalez: President & CEO of RavenPack
  • Ilya Gorelik: CEO & Founder of Deltix, Inc.
  • Peter Hafez: Quant Research at RavenPack
  • Gary Kazantsev: R&D Machine Learning group at Bloomberg
  • Adrian Letchford: Research Fellow in Data Science at Warwick Business School
  • Raphael Markellos: Professor of Finance at Norwich Business School, University of East Anglia
  • Gautam Mitra: Founder and the MD of OptiRisk Systems
  • Richard Peterson: CEO of MarketPsych Data
  • Stephen Pulman: Professor of Computational Linguistics at the Department of Computer Science, Oxford University
  • Rajib Ranjan Borah: co-Founder and Director of iRageCapital Advisory Private Limited, and QuantInsti Quantitative Learning Private Limited
  • Xiang Yu: Business Development Techno Executive at OptiRisk Systems

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

  • This page was last modified on 27 May 2015, at 22:30.
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