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Thalesian Xmas Dinner (London) — Tomas Petricek — Introduction to Deedle: Effective Data & Time Series Analysis

Tomas Petricek

Date and Time

7:30 p.m. on Wednessday, 10th December 2014.

Venue

La Tasca, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/216330812/

Dinner

We invite you to our 2014 Thalesians Xmas seminar by Tomas Petricek on Deedle followed by dinner at La Tasca in Canary Wharf. The 3 course dinner includes:

Starter: Matured manchego cheese and rustica tomatoes Main Course: Selection of tapas (Chorizo, Pescado Blanco Frito, Patatas Bravas con Alioli, Costillas De Cerdo, Pollo con salsa and salad) and paella Dessert: Gluten-free chocolate & toffee tart

Abstract

Deedle (http://bluemountaincapital.github.io/Deedle) is a new open-source library for data and time series manipulation. It supports wide range of operations such as slicing, joining and aligning, handling of missing values, grouping and aggregation, statistics and more. Deedle is written in F#, but it also provides an easy to use C# interface. In this talk, we’ll demonstrate Deedle by analyzing time series financial data from historical currency exchange rates. Then we’ll try to understand the US government spending with data from Freebase and WorldBank and finally, we’ll explore the Titanic survivals data set. Although the main focus of the talk is the Deedle library, we will demonstrate the entire “data science” stack for F# along the way.

We will: - Use F# Data type providers to fetch data from the internet· - Align, process and explore data using Deedle - Perform advanced statistical computations using the R type provider - Visualize data using R’s ggplot and F# visualization and reporting libraries

Speaker

Tomas Petricek is a long-term F# enthusiast, frequent conference speaker and an author of “Real-World Fun­ctional Programming”. He is a co-founder of F# Works (www.fsharpworks.com) where he provides training and consulting services. Tomas contributed to the development of F# as a contractor at Microsoft Research, authored Try F# tutorials on financial computing and recently spent 3 months in New York, working on financial data analytics tools for F# at BlueMountain Capital.

Video

Slides

To be published here

Resources

To be published here


Thalesian Seminar (London) — Prof. Tiziana Di Matteo — Are Dependency Structure and Scaling Properties of Financial Time Series Related?

Tiziana Di Matteo

Date and Time

7:30 p.m. on Tuesday, 25 November, 2014.

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/216348952/

Abstract

There are two main elements that define the complexity of financial time series: the first is multifractality [1],which is associated to the behavior of each single variable and the way it scales in time; the second is the structure of dependency between time series, associated with the collective behavior of the whole set of variables [2-5]. So far, these two manifestations of complexity have been investigated separately. In this talk I will discuss both and I will point out that they might be related [6].

[1] T. Di Matteo, Quantitative Finance 7(1) (2007) 21. [2] Won-Min Song, T. Di Matteo, T. Aste, PLoS One 7(3) (2012) e31929. [3] F. Pozzi, T. Di Matteo and T. Aste, Scientific Reports 3 (2013) 1665. [4] N. Musmeci, T. Aste, T. Di Matteo, Clustering and hierarchy in financial markets: advantages of the DBHT, (2014) arXiv:1406.0496 [q-fin.ST], PLoS One. [5] N. Musmeci, Tomaso Aste, T. Di Matteo, Risk diversification: a study of persistence with a filtered correlation-network approach, (2014) Journal of Network Theory in Finance arXiv:1410.5621 [q-fin.PM]. [6] R. Morales, T. Di Matteo, T. Aste, Scientific Reports 4 (2014) 4589.

Speaker

Tiziana Di Matteo is Professor of Econophysics. A trained physicist, she took her degree and PhD from the University of Salerno in Italy before assuming research roles at universities in Australia and Britain. She works in the Department of Mathematics at King’s College London in Econophysics, complex networks and Data science. She has authored over 80 papers and gave invited and keynote talks at major international conferences in the US, across Europe and Asia, making her one of the world’s leaders in this field.

Video

To be published here

Slides

To be published here

Resources


IAQF-Thalesians Seminar (New York) — Dr. Michael Lipkin — The Curious Case of Non-Equilibrium Finance

Michael Lipkin

Agenda

Monday, November 24, 2014:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

When markets are shocked, they can exhibit "high"-frequency price fluctuations. Equilibrium thinking, in other words classical finance, fails here. In particular converse trading strategies can both make money.

A useful theoretical approach is to partition the price/trading space by frequency.

We show evidence for viewing these conditions from the paradigm of physical turbulence.

(This is work with T. Leung)


Speaker

Mike Lipkin has been an options market maker for the past 21 years on the American Stock Exchange. He has also done research in derivatives, producing a generally accepted theory of the pinning of optionable stocks on expirations. Current research involves take-overs, earnings and special announcements, all topics covered in the course, Experimental Finance, he co-developed and teaches here with Sacha Stanton.

His background includes a PhD in Chemistry, but insists that the best training he has received for derivatives work has come from playing bridge.

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 Séance (Budapest) — Detlev Schlichter — Paper Money Collapse: The Folly of Elastic Money

Hungarian Parliament

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events.!

Date and Time

7:00 p.m. on Friday, 21st November, 2014.

7:00 p.m. - Welcome drinks, 8:00 p.m. - Detlev Schlichter, Paper Money Collapse: The Folly of Elastic Money 9:00 p.m. - Panel discussion with Gustav Anderson, Zsolt Bihary, Imre Koncz & Zsolt Simon, 12.00 a.m. - Next pub

Venue

ART IX-XI Gallery, 1 Bartók Béla str., Budapest, Hungary

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/211616852/

Abstract

The evening will consist of a talk by Detlev Schlicter on the subject of Paper Money Collapse: The Folly of Elastic Money. Later, a panel will discuss the subject, which comprises of Gustav Anderson, Zsolt Bihary, Imre Koncz & Zsolt Simon.

Slides

Download the slides (to add)

Speaker

Detlev Schlichter is the author of the bestseller "Paper Money Collapse". Today, he is an independent economist, market commentator and investment strategist. Detlev had a 19-year career in international financial markets as a trader and portfolio manager, including stints at J. P. Morgan, Merrill Lynch, and Western Asset Management. For more info visit http://detlevschlichter.com/


Global Derivatives USA (Chicago - External Event) — Speakers including Bodek — Trading and risk management

Saeed Amen

Date and Time

17th - 21st Nov, 2014.

Venue

Swissotel, Chicago, USA

To sign up

You can register for this event and pay online at the Global Derivatives USA website: http://www.globalderivativesusa.com/

Members of the Thalesians also have a special 10% discount (please contact saeed who happens to be at thalesians.com for details)

Abstract

Global Derivatives USA - The Leading Quantitative Finance & Derivatives Event In The Americas

What Makes Global Derivatives USA 2014 The Must-Attend Event For All Quants, Traders & Derivatives Practitioners?

  • Over 80 Speakers From Leading Financial Firms
  • Hear senior practitioners from firms including Morgan Stanley, Aurora Investment Management, Ford Motor Company, Bank Of America Merrill Lynch, Barclays, Bluefin Trading, Caisse De Dépôt Et Placement Du Québec, Chicago Trading Company...
  • The Only Event To Offer In-Depth Coverage Of All Asset Classes Of Derivatives Under One Roof In Four Days with a full 5 day program, 90 sessions and 9 separate streams to choose from...
  • Meet 200+ senior traders, portfolio managers, derivative strategists, quantitative analysts from all over the world read more
  • The Most Diverse Speaker Line-Up Ever - Learn from senior quants, portfolio managers and traders from asset managers, hedge funds, pension funds, prop trading firms and banks.

Fascinating Market Insights - Gain invaluable insights from our keynote speakers including

  • Neal Soss, Vice Chairman, Research, CREDIT SUISSE who will examine the global economic outlook for 2015 and beyond
  • Haim Bodek, Managing Principal, DECIMUS CAPITAL MARKETS who will discuss market structure and the problem of high frequency trading
  • Ray Iwanowski, Founder & Managing Principal, SECOR ASSET MANAGEMENT – former Head of Quantitative Investment at Goldman Sachs Asset Management – unique perspective to offer

Speaker

As well as the above, speakers include many well known figures from the finance community, such as John Hull, Peter Carr, Bruno Dupire and Jim Gatheral. Saeed Amen, a co-founder of the Thalesians is also speaking on FX beta.


Thalesian Seminar (London) — Prof. Damiano Brigo — Optimal Execution Comparison Across Risks and Dynamics, with Solutions for Displaced Diffusions

Damiano Brigo

Date and Time

7:30 p.m. on Wednesday, 12 November, 2014.

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/215856292/

Abstract

Joint work with Giuseppe Di Graziano.

We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new criterion called "squared asset expectation" (SAE), related to a version of the cost variance measure, are derived and compared. It is well known that displaced diffusions (DD) exhibit dynamics which are in-between arithmetic Brownian motions (ABM) and geometric Brownian motions (GBM) depending of the choice of the shift parameter. Furthermore, DD allows for changes in the support of the mid asset price distribution, allowing one to include a minimum permitted value for the mid price, either positive or negative. We study the dependence of the optimal solution on the choice of the risk aversion criterion. Optimal solutions across criteria and asset dynamics are comparable although differences are not negligible for high levels of risk aversion and low market impact assets. This is illustrated with numerical examples.

Speaker

Professor Damiano Brigo is Chair of Mathematical Finance and co-Head of group at Imperial College, London, consistently ranked among the top 10 Universities in the world. Damiano is also part of the Stochastic Analysis Group at Imperial and Director of the Capco Insitute in the industry. Damiano’s previous roles include Gilbart Professor and Head of Group at King's College, Managing Director and Global Head of Quantitative Innovation in Fitch, Head of Credit Models in Banca IMI, Fixed Income Professor at Bocconi University in Milan, and Quantitative Analyst at Banca Intesa.

Damiano published 70+ works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, with H-index 24 on Scholar, and books for Springer and Wiley that became field references in stochastic interest rate and credit modeling. Damiano is Editor of the International Journal of Theoretical and Applied Finance, of Mathematics of Control Signals and Systems, and has been listed as the most cited author in Risk Magazine in 2006, 2010 and 2012. Damiano's current interests include valuation, risk measurement, funding, counterparty risk, stochastic models for commodities and inflation, dependence dynamics, liquidity risk, the interaction between the exponential statistical manifold and the dynamic features of stochastic processes laws, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.

Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.

Video

To be published here

Slides

To be published here

Resources


Thalesians Seminar (New York) — Saeed Amen — Trading Thalesians NYC Book Launch

Saeed Amen

Agenda

Wed 12th Nov, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

6:45 PM Q/A

Venue

New York Public Library- Science, Industry, and Business 188 Madison Ave, New York, NY.

Enter and leave the building at 188 Madison Avenue. Signs will direct you to the lower level and conference room 014/015.

Registration

You can register for this event on Meetup: http://www.meetup.com/thalesians/events/202322572/

Abstract

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. Based on the rationale that if your primary objective is purely to make money from trading quickly, you can make decisions that perversely increase the likelihood of losing; this book demonstrates how successful trading can actually be achieved as a byproduct of good trading. Relating concepts from the ancient world, such as water and risk, diversified knowledge, Herodotus and historical bias to the modern world money markets, Amen demonstrates that by focusing on goals that go beyond making money, lateral thinking, targeting risk adjusted returns, and keeping drawdowns in check, investors will indirectly make more money in the long run. Investors might be fooled by randomness on occasion, but luck can never be derided as an important factor, which helps investors succeed. Instead repeated success in investing capital over an extended period seems to be less a product of randomness, but instead a product of a profound understanding of markets.

Further details on the book can be found on the Amazon page at http://www.amazon.co.uk/Trading-Thalesians-Saeed-Amen/dp/113739952X

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).

Disclaimer

This is not an instructional program of the New York Public Library.


Thalesians Seminar (London) — Saeed Amen — Trading Thalesians LDN Book Launch

Saeed Amen

Date and Time

7:30 p.m. on Monday, 3 November, 2014.

Venue

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

Registration

You can register for this event on Meetup: http://www.meetup.com/thalesians/events/203222312/

Abstract

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. Based on the rationale that if your primary objective is purely to make money from trading quickly, you can make decisions that perversely increase the likelihood of losing; this book demonstrates how successful trading can actually be achieved as a byproduct of good trading. Relating concepts from the ancient world, such as water and risk, diversified knowledge, Herodotus and historical bias to the modern world money markets, Amen demonstrates that by focusing on goals that go beyond making money, lateral thinking, targeting risk adjusted returns, and keeping drawdowns in check, investors will indirectly make more money in the long run. Investors might be fooled by randomness on occasion, but luck can never be derided as an important factor, which helps investors succeed. Instead repeated success in investing capital over an extended period seems to be less a product of randomness, but instead a product of a profound understanding of markets.

Further details on the book can be found on the Amazon page at http://www.amazon.co.uk/Trading-Thalesians-Saeed-Amen/dp/113739952X

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. Olympia Hadjiliadis — Drawdowns as insurance and as measures of risk

Olympia Hadjiliadis

Agenda

Wednesday, October 22, 2014:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

In this talk we examine analytical properties of drawdowns as path dependent measures of risk. To this effect we derive analytical formulas of the joint law of drawdowns and the speed with which they are realized. We also examine the problem of valuation of drawdown insurance in the form of digital contracts based on drawdown events. We demonstrate that it is possible to replicate the payoff of such contracts by actual trade instruments. We also consider the problem of valuation of such insurance contracts through a continuously paid risk premium and the optimal termination strategy of such a contract under appropriate conditions.

Speaker

I was born in Athens Greece. All my undergraduate studies were completed in Toronto, Canada, where I studied Statistics. I then completed a Master's degree in Mathematics with specialization in Statistics and Finance at the University of Waterloo in Waterloo, Canada. I worked as an intern for Citibank Canada and as an Associate Financial Engineer at Algorithmics Inc. in Toronto, Canada. I then completed my PhD at the Department of Statistics of Columbia University in 2005 with distinction under the supervision of Jan Vecer and the mentorship of G.V. Moustakides. I finally joined the group of Dean H. V. Poor as a postdoc at Princeton's Department of Electrical Engineering for two years before assuming my position at the City University of New York. My research interests began in the area of quickest detection and sequential analysis. In my earlier years as a researcher I have addressed fundamental problems arising in the area of quickest detection and sequential analysis. For this work I received the NSA Young Investigator's award by the Division of Mathematical and Physical Science in the area of Probability in 2009. Since then, in my attempt to seek further applications of quickest detection and statistical surveillance, I got involved in the development of algorithms for online detection and classification of objects in point clouds of urban scenes, a problem in computer vision. This work has led to further external funding by the NSF. I have also been involved in the area of financial engineering through the study of drawdowns and drawdown insurance and more recently in the applications of detection algorithms in algorithmic trading.

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.


Thalesian Seminar (London) — Pierre Lequeux — FX markets structural changes & implications for FX managers

Pierre Lequeux

Date and Time

7:30 p.m. on Wednesday, 15 October, 2014.

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/208735772/

Abstract

In this talk, Pierre will be discussing the growing history of randomness of currency markets. Later, he will cover the factors behind the structural changes of FX markets. There will also be a discussion of the implications of this for currency manager performance and investors.

Speaker

Pierre is currently an independent consultant. Pierre was Head of Currency Management at Aviva Investors from April 2010. to July 2012. Prior to this, Pierre was CIO currencies at Fortis Investments (ABN AMRO Asset Management legacy business) From March 1999 to March 2010. Pierre began his career in 1987 with Banque Nationale de Paris, London branch, where his last role was Head of the Quantitative Research and Trading Desk. Pierre, born 1961, is a graduate in International Trade from ISTEG (1983) and holds a diploma of the Forex Association (1990). He was an Associate Researcher at the Centre for International Banking and Finance of Liverpool Business school. He is an active contributor to academic and practitioner conferences and is presently a member of the editorial board of the Journal of Derivatives & Hedge Funds and also acted as an expert reviewer for the European Commission.

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAQF-Thalesians Seminar (New York) — Dr. Nina Boyarchenko — Understanding Mortgage Spreads

NinaBoyarchenko

Agenda

September 10th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver of MBS spreads and present a new pricing model that uses “stripped” MBS prices to identify the contribution of this risk to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the variation in the time series is mostly accounted for by a non-prepayment-risk component, which is related to credit risk in fixed- income markets and MBS supply. Finally, we study the MBS market response to the Fed’s large-scale asset purchases and show that the model is consistent with spread movements following the initial announcement and, in particular, the fanning out of option-adjusted spreads across different coupons.

(Joint with Andreas Fuster and David O. Lucca)

Speaker

Nina Boyarchenko joined the Federal Reserve Bank of New York in 2011 as an Economist in the Capital Markets Function. Her research interests are in Macro Asset Pricing and Financial Economics. She holds a joint PhD in Finance and Economics from the University of Chicago, Booth School of Business and Department of Economics, as well as a B.S. in Applied Mathematics from University of Texas at Austin.

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.


Bloomberg Seminar (London) — Saeed Amen & More — How Social Media is Changing News Environment

Saeed Amen

Date and Time

2.45 p.m. on Wednesday, 24 Sep, 2014.

Venue

Bloomberg, City Gate House, 39-45 Finsbury Square, EC2A 1PQ, London, UK

Registration

You can register for this event on Meetup: http://www.meetup.com/thalesians/events/205900732/ (to confirm attendance please read advert on Meetup.com website, only registering on Meetup.com will not fully confirm your attendance)

Agenda

14:45 Registration 15:00 Welcome - Kate Ranford, Account Manager, Bloomberg 15:10 Trading with News in a Big Data Environment - Claudia Quinonez, Bloomberg News Application Specialist 15:30 Systematic Trading Strategy: Case Study - Saeed Amen, Thalesians 16:00 Event-Driven Algorithmic Trading – Simon Bigg, Product Specialist, Bloomberg 16:20 Panel Discussion: How Social Media is Changing the News Environment -Moderator: Charles Farara, Bloomberg Application Specialist Panelists: Chris Kingdon, Bloomberg News Social Media Monitoring team, Mark Dimon, Bloomberg Social Media News Product 17:00 Networking Drinks

Abstract

In this afternoon, we shall be exploring how social media is changing the news environment. As part of the afternoon, Saeed Amen, will be presenting some systematic trading models using Bloomberg News data which can be used to trade FX and other macro asset classes.

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).


Thalesian Seminar (London) — Mark Cudmore — Macro discretionary FX Trading: Fundamentals & technicals vs narratives

Date and Time

7:30 p.m. on Wednesday, 3 September, 2014.

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/201610152/

Abstract

The talk will focus on macro discretionary FX trading. We will be making a case for the importance of narratives in FX trading, illustrating it with some current and recent examples. We will be answering the following questions for the audience.

What are the advantages of trading EM FX over G10 FX? What are the current narratives within the market? Where are these narratives stale and misplaced?Where do the opportunities lie in the year ahead?

Lastly, we will briefly look at some of the most interesting EM FX paradigms.

Speaker

People/Biographies/MarkCudmore

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesians Seminar (New York) — Prof. Naumann — Adjoint Algorithmic Differentiation Software Tool Support for Computational Finance

UweNaumann

Agenda

July 15th, 2014:

5:30 PM Registration

5:45 PM Seminar Begins

6:45 PM Q/A

Venue

New York Public Library- Science, Industry, and Business 188 Madison Ave, New York, NY.

Enter and leave the building at 188 Madison Avenue. Signs will direct you to the lower level and conference room 014/015.

Registration

You can register for this event on Meetup here.

Abstract

We discuss recent developments in Adjoint Algorithmic Differentiation (AAD) software tool support in the context of large-scale parameter calibration methods in Computational Finance. First-and second-order derivative-based approaches to solving the underlying numerical optimization problems are considered. Specific mathematical and structural properties of the underlying simulation are exploited. The superiority of AAD software tools over manual approaches to the implementation of adjoint financial models as well as over numerical approximation of the required sensitivities by finite differences (bumping) is illustrated. This talk is meant to show you how AAD can be applied in practice in a robust and sustained fashion.


Speaker

Dr. Naumann has been professor of computer science with focus on numerical methods and software tools for Computational Science, Engineering, and Finance at RWTH Aachen University, Aachen, Germany, since 2004. He is head of the Steinbeis Consultancy Center for Simulation Sofware Analysis, Transformation, and Optimization, Aachen, Germany, and member and technical consultant of the Numerical Algorithms Group Ltd., Oxford, UK.

Dr. Naumann has published more than 100 scientific papers in peer-reviewed journals and in proceedings of international conferences. He is the author of “The Art of Differentiating Computer Programs. An Introduction to Algorithmic Differentiation” published by the Society for Industrial and Applied Mathematics in 2012. The AAD software developed by his group is actively used within a large number of numerical software projects and, in particular, by several tier-1 banks.

Disclaimer

This is not an instructional program of the New York Public Library.


IAQF-Thalesians Seminar (New York) — Dr. Nina Boyarchenko — Understanding Mortgage Spreads

NinaBoyarchenko

Agenda

September 10th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver of MBS spreads and present a new pricing model that uses “stripped” MBS prices to identify the contribution of this risk to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the variation in the time series is mostly accounted for by a non-prepayment-risk component, which is related to credit risk in fixed- income markets and MBS supply. Finally, we study the MBS market response to the Fed’s large-scale asset purchases and show that the model is consistent with spread movements following the initial announcement and, in particular, the fanning out of option-adjusted spreads across different coupons.

(Joint with Andreas Fuster and David O. Lucca)

Speaker

Nina Boyarchenko joined the Federal Reserve Bank of New York in 2011 as an Economist in the Capital Markets Function. Her research interests are in Macro Asset Pricing and Financial Economics. She holds a joint PhD in Finance and Economics from the University of Chicago, Booth School of Business and Department of Economics, as well as a B.S. in Applied Mathematics from University of Texas at Austin.

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 Séance (Budapest) — George Cooper — Fixing the broken science of economics — a new paradigm to help rebuild economic theory

George Cooper

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events. This our third event in Budapest!

Date and Time

7:00 p.m. on Friday 25th July, 2014.

7:00 p.m. Welcome drinks, 8:00 p.m. George Cooper's talk 9.00 p.m. Drink & Discuss, 12.00 a.m. Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest, Hungary

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/192038942/

Abstract

The heterodox schools of economics refers to those areas of economics thought considered outside "mainstream economics". There are many different "heterodox theories" in existence. These include socialist, Marxian, Austrian and post-Keynesian amongst others. George's talk will be on the subject of unifying the heterodox schools of economics and fixing the broken science of economics. He will draw upon some themes from his new book "Money, Blood and Revolution: How Darwin and the doctor of King Charles I could turn economics into a science".

Speaker

Dr George Cooper is the author of "Money, Blood and Revolution: How Darwin and the Doctor of King Charles I could turn economics into a science" and "The Origin of Financial Crises: Central banks, credit bubbles and the efficient market fallacy".

George has worked for Goldman Sachs, Deutsche Bank, J.P. Morgan and BlueCrest Capital Management in a variety of fund management and financial market strategy roles. Prior to joining the City, George worked as a research scientist at Durham University and as an engineer for Fujitsu microelectronics.

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Saeed Amen — Systematic FX gamma trading

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 2 July, 2014.

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/189570292/

Abstract

In this presentation we shall examine the properties of implied and realised volatility. Later, we shall develop vol trading strategies and look at how delta hedging impacts the P&L of these strategies. Finally, we shall ascertain the sensitivity of our vol trading model with respect to other factors like transaction costs and scheduled events.

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).

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesians Seminar (London) — George Cooper - Herding Cats - unifying the heterodox schools of economics

George Cooper

Date and Time

7:00 p.m. on Wednesday, 18 June, 2014 (note: we shall be starting the talk slightly earlier than usual to accommodate the football, which will kick off after the talk ends! After the talk, enjoy the evening's World Cup game in style in the Marriott's hotel bar, which will also be a great opportunity to meet other Thalesians!

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/185649282/

Abstract

The heterodox schools of economics refers to those areas of economics thought considered outside "mainstream economics". There are many different "heterodox theories" in existence. These include socialist, Marxian, Austrian and post-Keynesian amongst others. George's talk entitled "Herding Cats" will be on the subject of unifying the heterodox schools of economics. He will draw upon some themes from his new book "Money, Blood and Revolution: How Darwin and the doctor of King Charles I could turn economics into a science".

Speaker

Dr George Cooper is the author of "Money, Blood and Revolution: How Darwin and the Doctor of King Charles I could turn economics into a science" and "The Origin of Financial Crises: Central banks, credit bubbles and the efficient market fallacy".

George has worked for Goldman Sachs, Deutsche Bank, J.P. Morgan and BlueCrest Capital Management in a variety of fund management and financial market strategy roles. Prior to joining the City, George worked as a research scientist at Durham University and as an engineer for Fujitsu microelectronics.

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Panel (London) — Haim Bodek and more — HFT: What's it all about?

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 4 June, 2014.

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/182207552/

Abstract

The subject of HFT has been a hot topic in the media. In this panel we'll be delving into the subject, with some experts in the field.We'll be asking what is all the noise about in HFT? What is the controversy here? Furthermore, some of the discussion will examine industry and regulatory driven responses. We'll also be discussing what should all market participants know about HFT. Furthermore, we will be looking ahead to see what the future might hold for HFT. Although the talk is in London, we shall also have speakers dialing in from New York and Chicago.

Speaker

Moderator: HFT journalist - Anna Reitman in London

HFT expert and order-type whistleblower - Haim Bodek in New York Automated algo quant trading developer - Zachary David in Chicago HFT architecture expert from technical perspective (@ZakDavid) Graeme Burnett in London FX quant perspective - Saeed Amen in London (@thalesians)

Selected Bios

Haim Bodek is a Managing Principal of Decimus Capital Markets, LLC, a tactical consulting and strategic advisory firm focused on high-frequency trading and securities market structure. Mr. Bodek was formerly a founder and Chief Executive Officer of Trading Machines, LLC, an independent high-frequency options trading firm. Before that, Mr. Bodek was a Managing Director and Joint Global Head of Electronic Volatility Trading at UBS and a financial engineer at Goldman Sachs. Mr. Bodek is an electronic trading executive and algorithmic trading strategist with over 15 years of experience in the automated trading space. His career, experiences, and advocacy for regulatory reform of securities markets are extensively profiled in the book “Dark Pools” by Scott Patterson and in the film “The Wall Street Code” directed by Marije Meerman. Mr. Bodek’s book “The Problem of HFT – Collected Writings on High Frequency Trading & Stock Market Structure Reform” came out in January 2013.

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).

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAQF-Thalesians Seminar (New York) — Dr. Peter Carr — Variable Volatility and Financial Failure

PeterCarr

Agenda

May 20th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Structural models of corporate default (eg. Merton's model) typically impose a rigid para- metric specification on the volatility of the firm's assets. This approach fails to recognize that management can exert some limited control on the level of the assets' risk at every possible level of their firm's default probability. In this talk, we assume that management chooses the assets' volatility level as a non-parametric function of the firms' risk-neutral default prob- ability (RNDP). We develop closed form formulas which relate RNDP and equity value to this asset volatility function and to asset price. We also show how to explicitly determine the implied RNDP and the implied asset value from the market price of the equity and from the market prices of co-terminal calls written on the equity. Remarkably, the RNDP formula is independent of both the initial asset level and the debt level.


Speaker

Peter Carr is a Managing Director at Morgan Stanley with over 18 years of experience in the derivatives industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU’s Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 80 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and as Financial Engineer of the Year by IAFE/Sungard in 2010. More recently, Institutional Investor has included Dr. Carr in its annual Tech 50 for the last 3 years.

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.


Thalesian Seminar (London) — Tom Wickham-Jones — Wolfram Cloud Technologies

Tom Wickham-Jones

Date and Time

7:30 p.m. on Wednesday, 21 May, 2014.

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/181924512/

Abstract

This talk will discuss Mathematica and related Wolfram technologies. It will cover the traditional core components such as computation, document presentation and programming. It will then continue to examine the upcoming Wolfram Cloud features showing how these compliment existing functionality and provide new ways to create innovative applications and elegant solutions to a wide range of problems.

Speaker

Tom Wickham-Jones is currently the Director of Kernel technology at Wolfram Research. He has worked on the implementation of Wolfram technologies such as Mathematica since 1990. His areas of work have included details of its programming language, as well as other aspects such as graphics. In addition, he is the architect of webMathematica http://www.wolfram.com/products/webmathematica/ and Wolfram Workbench http://www.wolfram.com/products/workbench/. In 1992 he published the book Mathematica Graphics: Techniques and Applications. His most recent work has focused on cloud applications.

Video

To be published here

Slides

To be published here

Resources

  • N/A

IAQF-Thalesians Seminar (New York) — Dr. Peter Carr — Variable Volatility and Financial Failure

PeterCarr

Agenda

May 20th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Structural models of corporate default (eg. Merton's model) typically impose a rigid para- metric specification on the volatility of the firm's assets. This approach fails to recognize that management can exert some limited control on the level of the assets' risk at every possible level of their firm's default probability. In this talk, we assume that management chooses the assets' volatility level as a non-parametric function of the firms' risk-neutral default prob- ability (RNDP). We develop closed form formulas which relate RNDP and equity value to this asset volatility function and to asset price. We also show how to explicitly determine the implied RNDP and the implied asset value from the market price of the equity and from the market prices of co-terminal calls written on the equity. Remarkably, the RNDP formula is independent of both the initial asset level and the debt level.


Speaker

Peter Carr is a Managing Director at Morgan Stanley with over 18 years of experience in the derivatives industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU’s Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 80 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and as Financial Engineer of the Year by IAFE/Sungard in 2010. More recently, Institutional Investor has included Dr. Carr in its annual Tech 50 for the last 3 years.

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 Séance (Budapest) — Csaba Tóth — Political risk: scenarios, alternatives and the evolution of political systems

Hungarian Parliament

A very special thanks to Attila Agod for organising this talk! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events. This our second event in Budapest!

Date and Time

7:00 p.m. on Monday, 19th May, 2014.

7:00 p.m. Welcome drinks, 8:00 p.m. Csaba Tóth talk 9.00 p.m. Drink & Discuss, 12.00 a.m. Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest, Hungary

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/179200542/

Abstract

In this topic talk given the recent Hungarian general election, we seek to discuss risk from a political context, examining the evolution of political systems over time.

Slides

Download the slides here

Speaker

Csaba Tóth is the Director of Strategy at Republikon Institute.

He holds a PhD in Political Science from the Faculty of Law and Political Science at ELTE, Budapest, where he is also an assistant lecturer. He also holds MAs in both Sociology and Political Science also from ELTE. He has published a number of significant publications on Hungarian politics.


Global Derivatives Europe (Amsterdam - External Event) — Speakers including Hull — Trading and risk management

Saeed Amen

Date and Time

12th - 16th May, 2014.

Venue

Hotel Okura, Amsterdam, The Netherlands.

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: http://www.icbi-derivatives.com/FK2383THEM

Members of the Thalesians also have a special 10% discount (please contact saeed who happens to be at thalesians.com for details - clicking the link above will also activate this discount)

Abstract

The World's Leading Quantitative Finance Conference: Cutting Edge Strategies & Practical Techniques For Advanced Derivatives Pricing, Hedging, Trading & Risk Management

What's On The Cards For Global Derivatives 2014?

  • BREAKING NEWS! Brand New Keynote Speaker Confirmed For 2014 - Darrell Duffie of STANFORD UNIVERSITY
  • BREAKING NEWS - Call For Papers! Registered attendees have the chance to shine during The Rising Stars Of Quantitative Finance
  • Macro Insights - Hear From Julian Callow, Managing Director, Head Of International Economics, Head Of European Economics, BARCLAYS CAPITAL as well as David Bloom, Global Head FX Research, HSBC
  • Brand NEW Insights : In 2014 Global Derivatives welcomes more new speakers than ever before- academics, quants and more buy-side speakers than ever read more
  • More Traders, Investment Strategies & Buy-Side Participants Than Ever Before! 2014 offers the most diverse line-up of speakers, with NEW speakers, NEW perspectives offering invaluable insights
  • Don't Miss Out On More In-Depth Content - The Electronic Trading & Quantitative Investment Strategies Summit, Plus Pre- & Post-Conference Workshops
  • Get More Interactive At Global Derivatives 2014 - How could Global Derivatives celebrate its 21st birthday without some innovative new features and formats to ensure that everyone really enjoys the party?

Speaker

Speakers include many well known figures from the finance community, such as John Hull, Peter Carr, Bruno Dupire and Jim Gatheral. Saeed Amen, a co-founder of the Thalesians is also speaking on FX vol trading strategies, as is Paul Bilokon on credit algo trading.

Thalesian Seminar (London) — Iain Clark — Jump Diffusive and Regime Switching Models for Electricity and Pegged Currency Pairs

Iain Clark

Date and Time

7:30 p.m. on Wednesday, 7 May, 2014.

Venue

Private rooms at 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/178966422/

Book signing

Iain have copies of his new book Commodity Option Pricing: A Practitioner's Guide to buy at the venue and he'll also be signing copies!

Abstract

In this talk I will survey the similarities between modelling approaches used for pegged FX currencies and for electricity derivatives. Both markets are characterised by markets which exist in at least two regimes: a 'standard' regime, and a 'spike' or 'deval' regime. Motivated by work in energy modelling, we introduce the two principal modelling approaches used, namely jump-diffusion models and regime switching models, and investigate their ability to capture volatility skews and event risk.

Speaker

Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) has over 14 years experience as a front office quant. He has worked as Head of FX and Commodities Quantitative Analysis at Standard Bank, as Head of FX Quantitative Analysis at Unicredit and at Dresdner Kleinwort, and at Lehman Brothers, BNP Paribas and JP Morgan. Iain has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. His main research interests are on exotic options, stochastic models for FX and commodities, and numerical methods for option pricing. He is a frequent contributor to industry conferences, training courses and invited speaker at various universities.

His first book Foreign Exchange Option Pricing: A Practitioner's Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioner's Guide is due to appear in early 2014 (also with Wiley Finance).

Video

Slides

To be published here

Resources

  • N/A

IAQF-Thalesians Seminar (New York) — Dr. Allan Malz — Risk-Neutral Systemic Risk Indicators

Allan Malz

Agenda

April 28th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

This talk describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large- intermediary equities. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from option prices, tying together the single-firm return distributions via a copula to simulate the joint distribution and thus the financial-sector portfolio return distribution. The indicators can be computed daily using only current market prices; no historical data are involved. They are therefore forward-looking and can exploit all the information impounded in current prices. However, the indicators blend both market expectations and the market’s desire to protect itself against volatility and tail risk, so they cannot be readily decomposed into these two elements. The talk presents evidence that the indicators have some predictive power for systemic risk events and that they can serve as a meaningful market-adjusted point of comparison for fundamentals-based systemic risk indicators.


Speaker

Allan M. Malz is Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. He is the author of Financial Risk Management: Models, History, and Institutions (Wiley, 2011), a survey of quantitative risk management tools and of the public policy issues raised by the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a Ph.D. in Economics from Columbia University, where he also teaches a graduate course on risk management.

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.


Thalesian Panel (London) — Chiara Albanese & more — Spring market views panel

Saeed Amen

Date and Time

7:30 p.m. on Monday, 7th April, 2014.

Venue

Teak Room at Marriott Hotel in Canary Wharf (near Canary Wharf and West India Quay DLR)

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/173050052/

Abstract

2014 is going to be a crucial year in markets with Fed tapering. In our very first Thalesians panel to celebrate the 5 year anniversary of the Thalesians first talk, we shall be discussing market views for the future with a panel of traders & strategists that has nearly 40 years of experience combined in FX markets. The discussion will be moderated by Katie Martin who covers FX markets for the Wall Street Journal and is also a well known personality on Twitter @katie_martin_FX.

Speaker

Moderating - Chiara Albanese, WSJ, FX markets journalist Mark Cudmore, MCFX, trader, former European head of FX hedge fund sales at Commerzbank Barney Singer, Nomura, head of EMFX trading, London Dmitri Petrov, Nomura, EM strategist, London Saeed Amen, Thalesians, co-founder of the Thalesians, strategist & trader

Selected Bios

People/Biographies/MarkCudmore

Barney Singer in an Executive Director at Nomura and heads the Emerging Markets FX Trading team in London. Barney joined Nomura after Lehman Brothers filed for bankruptcy in 2008. At Lehman, Barney also traded EMFX and was responsible for market-making Asian NDFs and for risk-managing the flow originated via the E-Commerce trading platform for Asia FX. He has held internships at Morgan Stanley and Merrill Lynch. Barney studied Economic History With Economics and graduated with 1st class Honours at the London School of Economics. Before that he was awarded the Connelly-Delouvrier scholarship for the General Course Degree Programme at the LSE via Villanova University, Pennsylvania.

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).


Thalesian Seminar (London) — Didrik Pinte — Python & Quantitative Finance

Didrik Pinte

Date and Time

7:30 p.m. on Wednesday, 26 March, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: TBA

Abstract

In this talk, we'll look at some of the key reasons why the Python programming language is a one of the de-facto solution to build successful quantitative finance tools. From research to production systems, Python offers the flexibility and richness needed to solve the real life problems seen in today's finance world.

Speaker

Didrik Pinte is Managing Director of Enthought Ltd. He has been supporting the financial, geophysics and engineering industry for the past 6 years by building advanced scientific computing solutions (e.g. big data processing, real time visualization, scriptable frameworks). He is an engineer from University Catholic of Louvain, Belgium and holds a Master in Management from the LSM, Belgium. He founded the London Financial Python User Group in 2009.

Video

To be published here

Slides

To be published here

Resources

  • N/A

MathFinance 2014 (Frankfurt - External Event) — Speakers including Wystup & Clark — Quant event

Uwe Wystup

Date and Time

14th - 15th April, 2014.

Venue

German National Library, Frankfurt

To sign up

You can register for this event and pay online at the Global Derivatives Europe website: https://mathfinance2.com/Conferences/2014/Registration

Abstract

The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 14th and 15th of April 2014.

For over 12 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.

Speaker

Many speakers who have also spoken at the Thalesians will be speaking, including Iain Clark (on the Thalesians Advisory Board) and Uwe Wystup.


IAQF-Thalesians Seminar (New York) — Prof. Ciamac Moallemi — High-Frequency Trading and Modern Market Microstructure

Ciamac Moallemi

Agenda

March 20th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Driven by technological advances, modern financial markets have become an electronic world dominated by automated agents that interact algorithmically. Markets are now characterized by decision-making that evolves on a microsecond timescale, with activity fragmented across many exchanges and alternative market structures. This has led to challenging new decision problems for market participants. This talks explores some of the basic questions and develops quantitative models to address issues that have arisen in modern market microstructure.


Speaker

Ciamac C. Moallemi is the Barbara and Meyer Feldberg Associate Professor in the Decision, Risk, and Operations Division of the Graduate School of Business at Columbia University, where he has been since 2007. He received S.B. degrees in Electrical Engineering & Computer Science and in Mathematics from the Massachusetts Institute of Technology (1996). He studied at the University of Cambridge, where he earned a Certificate of Advanced Study in Mathematics, with distinction (1997). He received a Ph.D. in Electrical Engineering from Stanford University (2007). Prior to his doctoral studies, he developed quantitative methods in a number of entrepreneurial ventures: as a partner in a $200 million fixed-income arbitrage hedge fund, as the director of scientific computing at an early-stage drug discovery start-up, and as the founder of a computer security software start-up. He is an associate editor at the journals Operations Research and Management Science. He is a member of INFORMS, the AFA, and the IEEE. He is the recipient of a British Marshall Scholarship (1996) and a Benchmark Stanford Graduate Fellowship (2003). His research interests are in the area of the optimization and control of large-scale stochastic systems and decision-making under uncertainty, with an emphasis on applications in financial engineering.

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.


Thalesian Seminar (London) — Vytautas Savickas — Deep Dive into basis spreads & FR replication

Vytautas Savickas

Date and Time

7:30 p.m. on Wednesday, 12 March, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/168616932/

Abstract

This work thoroughly investigates the stochastic Libor-OIS basis spreads and the FRA replication problem. Libor-OIS basis has exploded since the start of the credit crisis and consequently, many derivatives pricing models relying on a unique risk-free rate became useless. Multi-Curve pricing became the new standard, but only few attempts were made to relate the Libor-OIS basis with Credit risk and price derivatives in this setting, which can have important implications for risk management practices such as Credit Valuation Adjustments (CVA). In this work we follow the footsteps of M.Morini and model FRA rates as an Option on Libor driven by CDS spreads of the Libor panel banks. We extend M.Morini’s model to multiple currencies and tenors, and show that even naive extension improves FRA replication for USD and GBP markets. Then, we construct FRA-implied volatility surface and a global best-fit volatility for joint-replication of FRA’s over all available maturities. We show that the original model performs well in general, but cannot fully replicate the FRA’s during periods of stress. To correct for the latter we introduce an uncertain-volatility model driven by two lognormal distributions for stochastic basis spreads. We show that one can jointly replicate series of 3-month and 6-month FRA’s with error very close or within the Bid/Ask spread levels. We finalize our work by analysing historical implied volatilities, which give a unique perspective on credit and liquidity effects in Libor markets during and after the peak of the crisis.

Speaker

Vytautas Savickas is a PhD student at Doctoral Training Centre in Financial Computing, University College London. His main research areas are interest rate modelling with basis risk, counterparty valuation adjustments and GPGPU computing.​

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Chia Chiang Tan — CVA, DVA and FVA - Where they Matter

Chia Chiang Tan

Date and Time

7:30 p.m. on Wednesday, 26 February, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://events.thalesians.com/events/166523222/

Abstract

The post 2008 landscape in derivatives pricing has mushroomed in complexity, with dealers recognising that pricing can no longer be pursued in an idealised world, divorced of funding and credit considerations. Many academics and practitioners have attempted to design a new framework, either via a de minimis extension of the status quo that achieves coherence, or via an overarching framework for pricing in a general world. Some authors believe that the complexity of a fully integrated approach is necessary in light of the real world environment we operate in. Whilst we believe that such a framework is useful as an ultimate fallback to aid understanding and analysis of an institution’s positions, a substantial simplification (where possible) is necessary for widespread adoption of CVA, DVA and FVA calculations as regards a majority of an institution’s positions against a significant proportion of its counterparties. In this paper, we consider the circumstances where such simplification is warranted.

Speaker

Chia Chiang Tan is currently a Director within DBAnalytics at Deutsche Bank, and an Honorary Lecturer with the Mathematics Department at University College London. He has previously held positions at Dresdner Kleinwort, Barclays Capital and CIBC. His work has spanned equities, foreign exchange and interest rates, giving him a bird's eye view of their common themes and individual peculiarities. Chia has an undergraduate degree in Mathematics from University College London and a Master of Mathematical Finance from University of Toronto. He is also the author of Demystifying Exotic Products (Wiley 2009) and Market Practice in Financial Modelling (World Scientific 2012).

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) — Saeed Amen — Impact of events on FX vol

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 12th February, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/164119502/

Abstract

In this talk we discuss how to understand the FX implied vol add-on related to major scheduled events such as FOMC and the US employment report. We estimate these using market data. We assess whether the implied vol add-ons are justified compared to realised. We also examine various stylized facts related to FX vol.

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).

Video

To be published here

Slides

To be published here

Resources

  • N/A

Thalesian Seminar (London) —Katie Martin & more — Market views - 5 year anniversary

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 29th January, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/160157632/

Abstract

2014 is going to be a crucial year in markets with Fed tapering. In our very first Thalesians panel to celebrate the 5 year anniversary of the Thalesians first talk, we shall be discussing market views for the future with a panel of traders & strategists that has nearly 40 years of experience combined in FX markets. The discussion will be moderated by Katie Martin who covers FX markets for the Wall Street Journal and is also a well known personality on Twitter @katie_martin_FX.

Speaker

Moderating - Katie Martin, WSJ, FX markets journalist Mark Cudmore, MCFX, trader, former European head of FX hedge fund sales at Commerzbank Barney Singer, Nomura, head of EMFX trading, London Cameron Millar, Positive Gamma, trader, former head of FX options at Lehman Brothers Saeed Amen, Thalesians, co-founder of the Thalesians, strategist & trader

Selected Bios

People/Biographies/MarkCudmore

Cameron Millar is in his 25th year trading the foreign exchange derivatives market having spent the majority of his career at Deutsche Bank and Lehman Brothers. His resume includes senior trading management roles in FX Prop, Spot and Options with spells working in London, Frankfurt, Singapore, Tokyo and New York. Cameron Millar has also worked for Infinium Capital Management and acted as an adviser / consultant to many start-up hedge funds and large Banks. He currently resides in Edinburgh, trading his own capital under 'Positive Gamma' with the focus remaining on FX Options. Cameron is an economics graduate from Heriot-Watt University and a Member of the Society of Technical Analysts.

Barney Singer in an Executive Director at Nomura and heads the Emerging Markets FX Trading team in London. Barney joined Nomura after Lehman Brothers filed for bankruptcy in 2008. At Lehman, Barney also traded EMFX and was responsible for market-making Asian NDFs and for risk-managing the flow originated via the E-Commerce trading platform for Asia FX. He has held internships at Morgan Stanley and Merrill Lynch. Barney studied Economic History With Economics and graduated with 1st class Honours at the London School of Economics. Before that he was awarded the Connelly-Delouvrier scholarship for the General Course Degree Programme at the LSE via Villanova University, Pennsylvania.

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).


Thalesians Séance (Budapest) — Saeed Amen — Impact of events on FX vol

Saeed Amen

A very special thanks to Attila Agod! Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with self-financed quarterly events. Hopefully this will be the first of many! It will also be a great occasion to celebrate the fifth anniversary of our very first talk in London!

Date and Time

7:00 p.m. on Friday, 31st January, 2014.

7:00 p.m. Welcome drinks, 8:00 p.m. Saeed Amen's talk, 9.00 p.m. Drink & Discuss, 12.00 a.m. Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest, Hungary

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/159988812/

Abstract

In this talk we discuss how to understand the FX implied vol add-on related to major scheduled events such as FOMC and the US employment report. We estimate these using market data. We assess whether the implied vol add-ons are justified compared to realised. We also examine various stylized facts related to FX vol.

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).


Thalesian Seminar (London) — Brian Spector — Implied Volatility using Python’s Pandas Library

Brian Spector

Date and Time

7:30 p.m. on Wednesday, 15th January, 2014.

Venue

Private rooms at Dockmaster's House, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/158205702/

Abstract

Python has some nice packages such as numpy, scipy, and matplotlib for numerical computing and data visualization. Another package that deserves a mention that we have seen increasingly is Python's pandas library. Pandas has fast and efficient data analysis tools to store and process large amounts of data. We present an example using NAG’s python bindings and the pandas library to calculate the implied volatility of options prices. Additionally we will fit varying degrees of polynomials to the curves, examine the volatility surface, and look at the limitations of numerical computing in Python.

Speaker

Brian is a Technical Consultant at Numerical Algorithms Group in Lisle, Illinois, USA. He works closely with NAG’s customers very often with those from financial services providing technical support and/or delivering services. Brian has worked on a number of projects including different methods of portfolio optimization, implied volatility, and a Gaussian mixture model algorithm. Recently, he has been developing the Python bindings for the NAG Library.

Brian has a Master’s degree in Math from Carnegie Mellon University with concentration in Applied Analysis and is currently working on his Master’s in Financial Math from the University of Chicago.

Video


IAQF-Thalesians Seminar (New York) — Dr. Marcos López de Prado — Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-Of-Sample Performance

MarcosLopezdePrado

Agenda

January 13th, 2014:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

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

Registration

You can register for this event on Meetup here.

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians site for further details.

Abstract

A large number of quantitative hedge funds have historically sustained losses. In this study we argue that the backtesting methodology at the core of their strategy selection process may have played a role.


  • Most firms and portfolio managers rely on backtests (or historical simulations of performance) to allocate capital to investment strategies.

  • After trying only 7 strategy configurations, a researcher is expected to identify at least one 2-year long backtest with an annualized Sharpe ratio of over 1, when the expected out of sample Sharpe ratio is 0.

  • If the researcher tries a large enough number of strategy configurations, a backtest can always be fit to any desired performance for a fixed sample length. Thus, there is a minimum backtest length (MinBTL) that should be required for a given number of trials.
  • Under memory effects, overfitting leads to systematic losses, not noise.

  • Standard statistical techniques designed to prevent regression overfitting, such as hold-out, are inaccurate in the context of backtest evaluation, because they do not control for the number of trials attempted.

  • The practical totality of published backtests do not report the number of trials involved, hence backtest results reported in academic and practitioners' publications are likely to be spurious.

Resources

Speaker

Marcos López de Prado is Head of Quantitative Trading & Research at Hess Energy Trading Company, the trading arm of Hess Corporation, a Fortune 100 company.

Before that, Marcos was Head of Global Quantitative Research at Tudor Investment Corporation, where he also led High Frequency Futures Trading and several strategic initiatives. Marcos joined Tudor from PEAK6 Investments, where he was a Partner and ran the Statistical Arbitrage group at the Futures division. Prior to that, he was Head of Quantitative Equity Research at UBS Wealth Management, and a Portfolio Manager at Citadel Investment Group. In addition to his 15+ years of investment management experience, Marcos has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University, Visiting Scholar at Cornell University, and Research Affiliate at Lawrence Berkeley National Laboratory (U.S. Department of Energy’s Office of Science). He holds a Ph.D. in Financial Economics (2003), a second Ph.D. in Mathematical Finance (2011) from Complutense University, is a recipient of the National Award for Excellence in Academic Performance by the Government of Spain (National Valedictorian, 1998) among other awards, and was admitted into American Mensa with a perfect test score.

Marcos is a scientific advisor to Enthought's Python projects (NumPy, SciPy), to quantum computing firm 1QBit, and a member of the editorial board of several academic publications. His research has resulted in three international patent applications, multiple papers listed among the most read in Finance (SSRN), three textbooks, publications in the leading Mathematical Finance journals, etc. Marcos has an Erdös #3 and an Einstein #4 according to the American Mathematical Society.

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.

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