Personal tools
User menu

Events/Seminars/2015

From Thalesians

Jump to: navigation, search

Contents

External (London) — International Conference on Computational Finance (ICCF2015)

University of Greenwich

University of Greenwich

Date and Time

December 14th - 18th, 2015

Venue

University of Greenwich London

Tickets

You can register for this event at http://cms1.gre.ac.uk/conferences/ICCF2015/

Abstract

The theme of the conference:

  • Linear and nonlinear models for various financial products.
  • Analysis of market models.
  • Modelling futures and commodity tradings.
  • Modelling the energy market.
  • Numerical methods for computational finance: SDEs and PDEs.
  • Optimal control in finance and financial products.
  • Model reduction and Lie group methods.
  • Monte-Carlo simulations.
  • Parallel algorithms, high performance computing, and GPU.
  • Computational tools and software development for computational finance.
  • Qualitative analysis of trading models.

A fuller programme is available at http://cms1.gre.ac.uk/conferences/ICCF2015/ICCF2015_tentative_programme.pdf

Speakers include Saeed Amen (co-founder of the Thalesians).


IAQF-Thalesians Seminar (New York) — Dr. Yakov Amihud — The Pricing of the Illiquidity Factor's Systematic Risk

Yakov Amihud

Yakov Amihud


Agenda

Monday, December 14, 2015:


Venue

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


Registration


Abstract

We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is priced in a multi-factor CAPM. The model allows for a conditional β of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML β is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks.


Speaker

Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University.  He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets' trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank M&As, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance.


IAQF-Thalesians Seminars

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


Thalesians Seminar/Xmas Dinner (London) — Matthew Dixon — Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Matthew Dixon

Matthew Dixon

Date and Time

6.30p.m. on Monday, 14 December, 2015

Venue

La Tasca, West India Quay, Canary Wharf, London E14 4AE

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/226280264/

Talk & Dinner

We invite you to our 2015 Thalesians LDN Xmas seminar & dinner by Matthew Dixon on "Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi" followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below).

On Arrival - A Glass of Sangría Tradicional

To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil.

Tapas Selection

  • Christmas Albóndigas (Madrid) - Turkey & pork meatballs, in a rich, sherry and cranberry sauce.
  • Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese.
  • Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine & cream sauce.
  • La Tasca House Green Salad GF V (Navarra)
  • Patatas Bravas con Alioli (España) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise.

Choose from:

  • Paella de Carne GF (Valencia) - With chicken breast and chorizo.
  • Paella Verduras GF V (Valencia) - With seasonal vegetables.

To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce

Abstract

Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs.

Bio

Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd.

He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthew's research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CS/Math at Stanford University and UC Davis.

Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014.

Video


Thalesians Panel (London) — Cudmore/Burroughs & more — Global macro panel

Eric Burroughs

Eric Burroughs

Date and Time

7:30 p.m. on Wednesday, 25 November, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/225880316/

Abstract

With markets in flux looking towards a Fed hike in the coming months, and the large sell off in emerging markets, our expert panel will discuss how markets are behaving and also will be giving their views for macro markets, in particular for FX and rates.

There will also be a Q&A to bring the audience into the discussion.

Our panellists will include:

  • Eric Burroughs (Reuters - Editor of FX Buzz @ericbeebo)
  • Mark Cudmore (Bloomberg News - First Word EM Strategist)
  • Mick Grady (Aviva - Senior Economist/Multi-asset strategist @fundamentalmac)
  • Jeremy Wilkinson-Smith (Independent FX trader @JeremyWS)

Saeed Amen (co-founder and managing director of the Thalesians @thalesians) will host the panel

Selected Bios

Eric Burroughs is editor and managing analyst of Reuters Buzz, the intraday market intelligence and commentary service. Has covered markets and economics around the world for 15 years with Reuters, including stints in New York, Tokyo and Hong Kong where he previously served as Asia Financial Markets Editor.

People/Biographies/MarkCudmore

Mick Grady (@fundamentalmac) recently joined Aviva Investors as Senior Economist and Multi-asset Strategist, responsible for global macro markets. Previously he was Senior Economist at COMAC Capital, a global macro hedge fund, following over a decade in a variety of roles at the Bank of England. He began his career in Australia as an economist at the Treasury department. He holds an Honours degree in Economics (Macquarie University Australia).

Jeremy Wilkinson-Smith (@JeremyWS) is an independent trader. He has spent the 5 years, trading FX and interest rates from a global macro perspective. He is currently reading finance at the University of Warwick.

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


Thalesians Seminar (Zurich) — Thomas Schmelzer - Portfolio Optimization, Regression and Conic Programming

Thomas Schmelzer

Thomas Schmelzer

Date and Time

6:15 p.m. on Thurday, 26 November, 2015

Venue

Room: PLM - 103/104, Plattenstrasse 14, University of Zurich, Zurich, 8092 Zurich

Meetup.com

You can register for this FREE event on Meetup.com: http://www.meetup.com/thalesians/events/225880103/

Abstract

This will be a free Zurich event - thanks to Prof. Dr. Markus Leippold, Direktor Master of Advanced Studies UZH in Finance for kindly hosting this event and for Swati Mital for organising. The talk will be at 6.15pm Zurich time. There will also be post-events drinks (location tba).

Using examples from portfolio management and quantitative trading we illustrate the power and flexibility of conic programming. We point to various common mistakes in setting up portfolio models and in solving them algorithmically. Several Python code fragments are given.

Selected Bios

Dr. Thomas Schmelzer is Head of Quantitative Research at a Geneva based wealth manager. He has a PhD. in Mathematics from University of Oxford where he was a Rhodes Scholar at Balliol College. In his previous roles he has held key positions in the UK, Liechtenstein and Switzerland including Senior Researcher at Winton Capital Management and a Quantitative Portfolio Manager at Oxford Asset Management.


IAQF-Thalesians Seminar (New York) — Dr. Andrey Itkin — Efficient solution of structural default models with correlated jumps and mutual obligations

Andrey Itkin

Andrey Itkin


Agenda

Thursday, November 12, 2015:


Venue

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


Registration


Abstract

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two- and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time; in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects.

Speaker

Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.


IAQF-Thalesians Seminars

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


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

Robert Carver

Robert Carver

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

Speaker

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

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


IAQF-Thalesians Seminar (New York) — Dr. Dan Pirjol — Can one price Eurodollar futures in the Black-Derman-Toy model?

Dan Pirjol

Dan Pirjol


Agenda

Wednesday, October 14, 2015:


Venue

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


Registration


Abstract

Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model.


Speaker

Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance.


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) — Taylor Spears & Panel — The Sociology of CVA

Taylor Spears

Taylor Spears

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 Fri 9th October, 2015

7:00 p.m. - Welcome drinks, 8:00 p.m. - Taylor Spears presentation 9:00 p.m. - Discussion panel 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/225264939/

Abstract

At the 7th Thalesians Séance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologist’s point of view. After Taylor's talk a panel of practitioners will challenge his ideas.

Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead)

Speaker

Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh.


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

Saeed Amen

Saeed Amen

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

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

Selected Bios

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

Stephen Pulman

Stephen Pulman

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

Speaker

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

Video


IAQF-Thalesians Seminar (New York) — Dr. Agostino Capponi — Arbitrage-Free Pricing of XVA

Agostino Capponi

Agostino Capponi


Agenda

Monday, September 21, 2015:


Venue

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


Registration


Abstract

The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks).

In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim.

This leads to defining buyer's and seller’s XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbarg's model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels.


Speaker

Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph.D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009.

His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks.


IAQF-Thalesians Seminars

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


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

StevenPav

Steven Pav

Date and Time & Schedule

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

Venue

Berkeley City Club, 2315 Durant Ave, Berkeley, CA

Meetup.com

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

Abstract

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

Bio

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

Acknowledgements

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

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

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

AHL

Saeed Amen

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

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

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

Selected Bios

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

Yves Hilpisch

Saeed Amen

Date and Time

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

Venue

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

Meetup.com

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

Abstract

FREE evening of talks, kindly hosted by PPI AG

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

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

Event finish and drinks!

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

Selected talk abstracts

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

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

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

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

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

Selected Bios

TBC


Thalesians Seminar (London) — Paul Bilokon — Stochastic filtering in electronic trading

Paul Bilokon

Paul Bilokon

Date and Time

7:30 p.m. on Wednesday, 22 July, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/223358974/

Abstract

In this talk we shall give an overview of the methods of stochastic filtering: from Kalman, to particle, to assumed density filtering. We shall focus, in particular, on volatility estimation, an application of particular interest in electronic trading.

Speaker

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

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

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

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


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

Thalesians Séance (Budapest) — Bruce Packard & Panel — Emerging Alternative Finance

Bruce Packard

Bruce Packard

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 Fri 26th June, 2015

7:00 p.m. - Welcome drinks, 8:00 p.m. - Bruce Packard on Alternative Finance 9:00 p.m. - Inna Kaushan (alternative finance investor), István Rab (fintech expert at McKinsey), Andras Bohák (MSCI, Credit Research) 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/223014236/

Abstract

In his talk Bruce will introduce the evolution of the alternative finance industry and shares his thoughts about a potential credit bubble that the new industry might generate. Later, a panel will discuss the subject, which comprises of Inna Kaushan (alternative finance investor), István Rab (fintech expert at McKinsey) and Andras Bohák (MSCI, Credit Research)

Speaker

Bruce Packard (brucepackard.com) is an independent consultant in alternative finance. Earlier he worked at Credit Suisse, ING, Société Générale, and Seymour Pierce.


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

Tim Leung

Tim Leung

Agenda

Thursday, 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.


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 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).


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 (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 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


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 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 Seminar (London) — Artur Sepp — Gaining the alpha advantage in vol trading

Artur Sepp

Artur Sepp

Date and Time

7:30 p.m. on Wednesday, 27 May, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/222379514/

Abstract

We start by presenting some empirical evidence for short volatility strategies and the cyclical pattern of their P&L resulting in alpha in good times but beta in bad times.

We relate the risk-premium observed in volatility strategies as a compensation to bear losses in bad market regimes. While in normal market regimes the positive risk-premium contributes to the positive expected P&L for volatility strategies, large negative spikes in the risk-premium lead to sharp losses for vol strategies during bad market regimes. The million-dollar question is how to manage vol strategies with respect to market cycles?

First, we introduce a factor model to explain the risk-premium using the risk-aversion of investors and heavy-tails of returns distributions under the statistical measure.

Second, we consider an econometric model for statistical inference of market regimes and for optimal position sizing with respect to forecast probabilities of regimes.

Finally, we illustrate model applications for generating alpha from volatility strategies.

Speaker

Artur Sepp works for Global Risk Analytics at Bank of America Merrill Lynch focusing on firm-wide risk-return optimization. Prior to that, he worked as equity and credit derivatives quant at Merrill Lynch and Bear Stearns with particular emphasis on credit and volatility modelling and trading. Artur has a PhD in Probability and Statistics from the University of Tartu in Estonia, an MSc in Industrial Engineering from Northwestern University in Chicago, and a BA in Mathematical Economics. His research area is on volatility models, computational methods, investment and trading strategies. Artur has published several research articles on quantitative finance in leading journals and he serves as an associate editor for the Journal of Computational Finance.

Video


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

Saeed Amen

Saeed Amen

Date and Time

18th - 22nd May, 2015

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/FKN2428THW

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

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

  • Hear technical details of the latest research being done by leading financial minds
  • Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
  • Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
  • Meet and learn from hundreds of senior derivatives professionals

What Topics Will Be Covered At Global Derivatives Trading & Risk Management 2015?

  • Now in its 22nd year, Global Derivatives brings together senior practitioners from banks, asset managers, hedge funds, pension funds, propr trading firms, private equity firms, exchanges as well as academics and regulators to discuss the key issues facing quants all over the world.

The event will address topics in 4 key areas:

  • Derivatives Pricing
  • Regulation, Risk Management & Capital Optimisation
  • Quantitative Investment Strategies & Portfolio Optimisation
  • Algorithmic Trading

Speaker

Speakers include many well known figures from the finance community, such as Riccardo Rebonato, John Hull, Darrell Duffie and Emanuel Derman. Saeed Amen, a co-founder of the Thalesians is also speaking on FX vol & Big Data trading strategies.


IAQF-Thalesians Seminar (New York) — Dr. Andrew Kalotay — Tax-Efficient Trading of Municipal Bonds

Andrew Kalotay

Andrew Kalotay

Agenda

Thursday, May 14, 2015:

Venue

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

Registration

Abstract

Although tax-loss selling is widely recognized as a potential enhancer of after-tax return, it is usually employed opportunistically, rather than as part of a comprehensive investment strategy. In particular, little attention is paid to determining the optimum time to execute, given transaction costs.

Municipal bonds provide an ideal asset class to appreciate the benefit of active tax management, because the tax-exemption of interest by itself does not guarantee tax-efficient performance. We will present a dynamic approach to maximize after-tax return, which includes structuring of the portfolio and optimizing the timing of trades. The key insight is that the right to make a tax-driven trade is a (tax) option, which is acquired automatically and at no cost with any purchase. The value of this option can be rigorously determined. Selling and reinvesting entails swapping the associated options. Thus the sale decision should factor in the net loss of option value. Our dynamic strategy is expected to improve after-tax return over buy-and-hold by 30-80 basis points annually, depending on the duration of the portfolio and on investor-specific considerations. The approach can be adapted to other asset classes, including common equity.

Speaker

Andrew Kalotay is a leading authority on the valuation of bonds and interest rate derivatives. He is a prolific contributor to the literature on topics ranging from advance refunding to tax-neutral valuation and tax management of municipal bond investments. His firm licenses fixed income valuation software and provides debt management advisory services.

Before establishing Andrew Kalotay Associates in 1990, Dr. Kalotay was with Salomon Brothers. Prior to Wall Street, he was at Bell Laboratories and AT&T. On the academic side, he was the founding director of the graduate Financial Engineering program at Polytechnic University (now part of NYU).

Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and a Ph.D. from the University of Toronto, all in mathematics. He was inducted into the Fixed Income Analyst Society’s "Hall of Fame" in 1997.

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 Panel (London) — Cudmore/Burroughs & more — Global macro & UK election panel

Saeed Amen

Saeed Amen

Date and Time

7:30 p.m. on Wednesday, 29 April, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/221147156/

Abstract

Global markets are in a flux. The dollar has rallied significantly over recent months against both developed and emerging markets, as the Fed approach potential "lift off", spurring the rise in market volatility. The ECB has started full blown quantitative easing. In the UK, the general election is approaching and could have profound impact on markets. An expert panel will be discussing these market developments and giving their views on the future. It promises to be a very exciting discussion, at a pivotal point in global markets!

There will also be a Q&A to bring the audience into the discussion.

Our panellists will include:

  • Eric Burroughs (Reuters - Editor of FX Buzz @ericbeebo)
  • Mark Cudmore (Bloomberg News - First Word EM Strategist)
  • Jordan Rochester (Nomura - FX strategist)
  • Jeremy Wilkinson-Smith (Independent FX trader @JeremyWS)

Saeed Amen (co-founder and managing director of the Thalesians @thalesians) will host the panel

Selected Bios

Eric Burroughs is editor and managing analyst of Reuters Buzz, the intraday market intelligence and commentary service. Has covered markets and economics around the world for 15 years with Reuters, including stints in New York, Tokyo and Hong Kong where he previously served as Asia Financial Markets Editor.

People/Biographies/MarkCudmore

Jeremy Wilkinson-Smith (@JeremyWS) is an independent trader. He has spent the 5 years, trading FX and interest rates from a global macro perspective. He is currently reading finance at the University of Warwick.

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

Slides

To be published here

Resources

To be published here


IAQF-Thalesians Seminar (New York) — Dr. Lasse Heje Pedersen — Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined

Lasse Heje Pedersen

Lasse Heje Pedersen

Agenda

Wednesday, April 22, 2015:

Venue

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

Registration

Abstract

In a new book and accompanying research, I demonstrate that markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new way to analyze investment strategies, including equity strategies, macro strategies, and arbitrage strategies. These ideas are illuminated further by interviews with leading hedge fund managers Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros. More information is available at http://www.lhpedersen.com/efficiently-inefficient

Speaker

A professor at Copenhagen Business School and NYU and a principal at AQR Capital Management, Lasse Heje Pedersen is a distinguished academic and an asset manager. He has published a number of influential research papers on asset pricing, liquidity risk, and trading strategies, which have been cited by Ben Bernanke and other central bank governors around the world and in thousands of academic and industry papers. He has won a number of awards, including the Bernácer Prize to the best E.U. economist under 40 years of age. Further, he has served in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues during the global financial crisis, the New York Fed's Monetary Policy Panel, the Economic Advisory Boards of NASDAQ and FTSE, as a Director of the American Finance Association, and on the editorial boards of several journals such as the Journal of Finance and Quarterly Journal of Economics. He received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University.

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) — Tamas Blummer & Panel — on Impact of Bitcoin and the blockchain technology on our future

Tamas Blummer

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, 17th April

7:00 p.m. - Welcome drinks, 8:00 p.m. - Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future 9:00 p.m. - Panel discussion with Izabella Kaminska (FT), Barnabas Debreczeni, Peter Isza and Geza Bohus 12.00 a.m. - Next pub

Venue

Palack Borbár, Szent Gellért sqr 3, Budapest

Meetup.com

You can register for this event on Meetup.com: http://www.meetup.com/thalesians/events/220503859/

Abstract

The evening will consist of a talk by Tamas Blummer on Impact of Bitcoin and the blockchain technology on our future. Later, a panel will discuss the subject, which comprises of Izabella Kaminska, Barnabas Debreczeni, Peter Isza and Geza Bohus.

Slides

Download the slides (to add)

Speaker

Tamas Blummer is the founder of Bits of Proof, a technology leader company in blockchain technology. He delivered a merchant solution for Bitcoin payments, a real-time auditable exchange of Bitcoin for institutional investors, the first hardware Bitcoin wallet backend used by tens of thousands worldwide, and operated one of the biggest Bitcoin mining facility of the world.


Thalesian Seminar (London) — Matthew Dixon — Financial Modelling on Parallel Computers using High-Level Programming Languages

Matthew Dixon

Date and Time

7:30 p.m. on Wednesday, 25 March, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/220689390/

Abstract

As quants, how do we write a single code that can be efficiently deployed on a variety of commodity hardware and accelerator platforms without the need to program in unfamiliar low level programming environments such as CUDA, OpenMP or OpenCL? Software design patterns are well understand but tell us nothing about how software can be efficiently mapped to parallel architectures such as a GPU, the Intel Xeon Phi, or clusters of multi-core computers. Parallel design patterns are an extension of software design patterns and guide the discipline of separating out the domains of concerns from the modeling and the efficient mapping of the computations to the hardware. This leads to portability, flexibility, modularity and scalability of the code. Focusing on derivatives modeling and risk, we present collaborative work with UC Berkeley, Old Dominion University and Xcelerit, demonstrating how parallel design patterns enable Python, R or C++ code to run efficiently on GPUs, multi-core CPUs and clusters of multi-core CPUs. Finally we discuss how parallel design patterns can be applied to Quantlib to enable the compute intensive routines to run on both a multi-core CPU or an Intel Xeon Phi co-processor.

Speaker

Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd.

He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthew's research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CS/Math at Stanford University and UC Davis.

Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014.

Video

Slides

To be published here

Resources

To be published here


MathFinance 2015 (Frankfurt - External Event) — Speakers including Wystup & Amen — Quant event

MathFinance

Date and Time

23-24th March 2015

Venue

Frankfurt School of Finance & Management

To sign up

You can register for this event and pay online at the MathFinance website: https://mathfinance2.com/Conferences/2015 (contact saeed at thalesians.com for a discount code, which is available for Thalesians members)

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 23-24th March 2015.

For over 13 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 Saeed Amen (co-founder of the Thalesians) and Uwe Wystup.


IAQF-Thalesians Seminar (New York) — Dr. Travis Fisher — A Numeraire-Independent Version of the Fundamental Theorem of Asset Pricing

Travis Fisher

Agenda

Monday, March 16, 2015:

  • 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

The Fundamental Theorems of Asset Pricing are aptly-named results that show the relationship between absence of arbitrage and the martingale property. These theorems are fundamental to mathematical finance in that they provide the bridge between the mathematics and the finance: on the one side, the mathematical objects of stochastic processes and martingale measures; on the other the financial ideas of trading strategies and arbitrage. We aim to widen the bridge to cover cleanly the case when there are multiple financial assets, any of which may potentially lose all value relative to the others. To do this we shift away from having a pre-determined numeraire to a more symmetrical point of view where all assets have equal priority.

Speaker

Dr. Travis Fisher is an Executive Director at Morgan Stanley, where he leads global modeling efforts for the foreign exchange (FX) options business. He joined Morgan Stanley in 2010. Prior to that he worked at Bloomberg LP, where he focused on FX, equity, and commodity options modeling. Dr. Fisher received his Ph.D. in Mathematics in 2006 from Pennsylvania State University with thesis work on Dynamical Systems. He holds Bachelor’s degrees in Mathematics and Computer Science from the University of Nebraska.

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) — Alexander Denev — (Probabilistic) Graphical Models for Risk Management and Asset Allocation"?

Alexander Denev

Date and Time

7:30 p.m. on Monday 23rd Februrary

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/219979417/

Abstract

(Probabilistic) Graphical Models have only recently found their way to Finance, mainly for creating stress scenarios and finding optimal portfolios. This talk will provide the audience with the most up-to-date research in the field and will show how this relatively neglected technique can be of invaluable help when decomposing complex problems, frequently encountered in practice, into coherent, smaller and solvable parts.

Speaker

Alexander has more than 10 years of experience in Finance in different countries across Europe and is currently Founder of GraphRisk, a company aimed at promoting the use of graphical models in Risk Management and Asset Allocation. He is currently involved in projects preparing major US and European banks for the CCAR/EBA stress testing exercises. Alexander led the wholesale modelling team responsible for Stress Testing of The Royal Bank of Scotland until January 2014.

Alexander holds degrees in Mathematical Finance (University of Oxford). He also holds a BSc & MSc in Engineering Physics (University of Rome).

He is co-author (with Riccardo Rebonato) of the book "Portfolio Management under Stress” published by Cambridge University Press and author of the forthcoming book “Probabilistic Graphical Models in Finance”. He is currently editing a book on Machine Learning Methods in Trading and Investment.

Video

To be published here

Slides

To be published here

Resources

To be published here


IAQF-Thalesians Seminar (New York) — Dr. Roger Lee — Transformations of volatility skews into leveraged volatility skews

Roger Lee

Agenda

Monday, February 23, 2015:

  • 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

We prove a set of simple relationships which directly link the volatility skew of a leveraged product with the volatility skew of the reference asset. Error estimates are included.

Speaker

Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He serves also as an Associate Editor of Mathematical Finance and an Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University and a BA summa cum laude from Harvard University.

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 Workshop & AlphaScope Conference — Speakers including Bilokon & Amen — Quant trading strategies & much more

Paul Bilokon

Date and Time

3rd - 5th Feb 2015.

Venue

InterContinental Hotel, Geneva

To sign up

You can register for this event and pay online at the AlphaScope website: http://www.alphascope-event.com/

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

Abstract

AlphaScope is the Event That Brings New Thinking In Quantitative Investment Management, Trading & Asset Allocation, from the team which brought you Global Derivatives!

Not To Be Missed At The Only Quantitative & Systematic Investment Event That Matters.

  • The Only Event Of Its Kind To Combine In-depth Scientific Research With Innovative Networking Opportunities And Catering For All Levels Of Technicality: Advanced Thinking & Engaged Conversations.
  • Keynote Interview, Hosted By Maneet Ahuja of CNBC and author of THE ALPHA MASTERS, and exclusive book signing.
  • Not afraid of controversy! Two hot debate topics, as well as Too Hot To Touch closed-door sessions to really pose the big questions.
  • Exclusive Insights And One-to-one Networking Time With Genuine End Investors & Allocators *20+ top investor and allocator names already confirmed to speak*
  • Focus On The Science Behind The Strategy *Hear From Strategists & Portfolio Managers Behind Leading Systematic & Quant Strategies, Including AHL, PANAGORA, FQS and more ...*
  • 'Big-Think' Thinking: Guest Insights From Academic Professor Didier Sornette, Guest Speaker Major-General Jonathan Shaw and Regulator Michael Hume of the BANK OF ENGLAND
  • Academic Insights To Inspire New Ideas & Shed Light On Old Headaches read more

Thalesians Workshop at AlphaScope

The Thalesians will be running a workshop at AlphaScope covering, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. It will cover areas including

  • Systematic trading strategies in both cash and spot
  • News based trading
  • Electronic trading

You can book the workshop at http://www.alphascope-event.com/page/workshops


Thalesian Seminar (London) — Saeed Amen — News based systematic trading of bonds & FX

Saeed Amen

Date and Time

7:30 p.m. on Tuesday 20th January, 2015

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/219594796/

Abstract

News is important for driving markets, but how can we use it in a systematic manner? In this talk, we shall discuss how we can interpret news data from RavenPack and how it can be used to create systematic trading rules for filtering FX carry. Later we shall also look at how we can use news data to gauge economic sentiment and use that to trade bonds and FX systematically.

This talk will form a short preview of the Thalesians systematic & electronic workshop, which will take place at alphascope in Geneva on February 3rd, led by Saeed Amen and Paul Bilokon (sign up today for our Thalesians workshop at http://www.alphascope-event.com/FKN2448LID and get a 10% discount!)

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

To be published here


IAQF-Thalesians Seminar (New York) — Dr. Andrew Weisman — Forced Liquidations, Fire Sales, and The Cost of Illiquidity

Andrew Weisman

Agenda

Monday, January 12, 2015:

  • 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

Institutional investors seeking diversification often build portfolios using collections of securities with widely varying characteristics. To facilitate diversification, investors rely on the “common currencies” of reported return, volatility, and correlation, and employ them as inputs to portfolio construction/ optimization models or processes. Investors using this approach are often drawn to investment opportunities that appear to exhibit diversifying properties because of their limited price discovery. Such opportunities tend to be relatively illiquid when compared to traditional investments—investors simply take for granted that they receive a “liquidity premium” that compensates them for the lack of liquidity. Illiquidity in such investments (like hedge funds, private equity or structured credit) is most often measured by serial correlation in the reported return series of the investment, because such autocorrelation is viewed as a sign of price smoothing caused by an inability to accurately price less liquid securities or investments. More sophisticated investors may adjust the return data by taking into consideration observed serial correlation in order to decode the true volatility of the portfolio; thereby correcting both the volatility and the risk adjusted performance of the investment. Such simple adjustments for serial correlation, however, fail to capture a major cost associated with illiquidity—that of forced liquidations and “fire sales”. This presentation examines an intuitive, rigorous method for pricing this cost.

Speaker

Andrew Weisman is Chief Investment Officer, Liquid Alternatives. In this role, Mr. Weisman serves as the firm’s subject-matter expert and thought leader on multi-asset strategies. Mr. Weisman also co-manages Janus’ liquid alternative strategies and is a member of the Janus Capital Group Global Allocation Committee. Mr. Weisman uses proprietary, allocation methodologies to assist clients in combining traditional and non-traditional asset risk premia. Prior to joining the firm in 2012, Mr. Weisman was CEO of WR Platform Advisors, Inc., a technology platform and service provider of managed accounts, risk analytics, and investor reporting for hedge funds. Before that, he was Managing Director and Chief Portfolio Manager for Merrill Lynch's Hedge Fund Development and Management Group. Prior to that he was Chief Investment Officer and Member of the Board of Directors for Nikko International. Mr. Weisman has published an extensive collection of articles on asset allocation and risk issues related to hedged portfolios. His research awards include the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in The Journal of Portfolio Management in 2002 and the 2003 GAIM Research Paper of the Year. He has a bachelor's degree from Columbia College, a master's in international affairs from Columbia and was awarded a doctoral fellowship to Columbia University's Graduate School of Business, where he completed all coursework and comprehensive exams toward a PhD. He has over 26 years of experience in portfolio construction and risk management, particularly in alternative asset strategies. He serves on the board of the International Association for Quantitative Finance, the Editorial Advisory Board of the Journal of Portfolio Management, and as Treasurer of the Society of Columbia Graduates.

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.


  • This page was last modified on 16 May 2017, at 16:53.
  • This page has been accessed 33,316 times.