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The Thalesians

Some of our talks

Images from Thalesians events from around the world over the past 6 years

The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order.

Blog / See our new Thalesians blog / Book / Buy our new book, Trading Thalesians - What the ancient world can teach us about trading today (Palgrave Macmillan) by the Thalesians co-founder, Saeed Amen & foreword by founder, Paul Bilokon

Founding / The group was founded in Sep 2008, by Paul Bilokon (then a quantitative analyst at Lehman Brothers specialising in foreign exchange, and a part-time researcher at Imperial College), and two of his friends and colleagues: Matthew Dixon (then a quantitative analyst at Deutsche Bank) and Saeed Amen (then a quantitative strategist at Lehman Brothers).

The opening of Level39

The opening of Level39 in 2013 by Mayor Boris Johnson

The Thalesians are also now a member of Level39 - Europe's largest technology accelerator for finance, retail, cyber-security and future cities technology companies​

Events / Research / Consulting

Events / The Thalesians were originally based in London, UK. In Jan 2011, the organisation became truly global when Matthew Dixon brought it to the United States where he runs the Thalesians NYC seminars with New York Leader Harvey Stein. Attila Agod is the Budapest Leader for our Thalesians Budapest seminars. We are currently in the process of expanding our seminars to Prague and running more workshops.

Research / In late 2013, we started published ground breaking quant strategy notes. Our effort is lead by Saeed Amen, using nearly a decade of his experience both creating and later trading systematic trading models in FX at major investment banks. Visit Research for more.

Consulting / In 2014, we started offering bespoke quant consulting services in markets, signing up our first client, a major US hedge fund and RavenPack, a major news data vendor. Our services includes the creation of bespoke systematic trading models and other quant analysis of financial markets, such as currency hedging and FX transaction cost analysis (TCA). Visit Consulting for more.

Timeline

Our Philosophy

We are named after Thales of Miletus (Θαλῆς ὁ Μιλήσιος), a pre-Socratic Greek philosopher who lived in ca. 624 BC-ca. 546 BC. Thales was a mathematician and is familiar to many secondary school students for one of his theorems in geometry.

But more relevantly to us, he was one of the first users of options:

"Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy; but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a low rent as nobody was running him up; and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out on what terms he liked he realised a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about."Aristotle, Politics, 1259a.

The morale of this anecdote is that it is easy for philosophers to be rich if they choose; the famous Milesian went ahead and proved it.

We, the Thalesians, admire him for that. But we also share many of his values, for example his core belief that a happy man is defined as one "ὁ τὸ μὲν σῶμα ὑγιής, τὴν δὲ ψυχὴν εὔπορος, τὴν δὲ φύσιν εὐπαίδευτος" (who is healthy in body, resourceful in soul and of a readily teachable nature).

This wiki was created to serve as a source of information on quantitative finance, to collate references to various related resources, and to serve as a convergence point for the Thalesians, our colleagues and collaborators. It grew out of Paul Bilokon's finance wiki, which he started in February, 2007.

We believe that secrecy and fidelity are important in the world of finance. But we also acknowledge the power of information sharing in open societies. Let your business logic remain a closely guarded secret. But release everything else into the public domain. What goes around, comes around; this will ultimately spare you reinventing the wheel.

Some of our talks

More of our speakers at Thalesians events over the past 6 years


NYC

London


Forthcoming Events


IAQF-Thalesians Seminar (New York) — Kasper Larsen — Smart TWAP Trading in Continuous-Time Equilibria

Kasper Larsen

Kasper Larsen


Agenda

Wednesday, June 20, 2018:


Venue

NYU Kimmel Center, Room 802, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

This paper presents a continuous-time equilibrium model of TWAP trading and liquidity provision in a market with multiple strategic investors with intraday trading targets. We demonstrate analytically that there are infinitely many Nash equilibria. We solve for the welfare-maximizing equilibrium and the competitive equilibrium and show that these equilibria are different. The model is computationally tractable, and we provide a number of numerical illustrations

(Joint with Jin Hyuk Choi and Duane J. Seppi)

Speaker

Kasper Larsen is an Associate Professor in Mathematics at Rutgers University with a Ph.D. in mathematics from the University of Southern Denmark. Most of his research is in Mathematical Finance with various applications to model stability, equilibrium price formation, and optimal liquidation in equilibrium models. His work has been published in journals such as the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, Annals of Applied Probability, and Journal of Economic Theory. Part of his research has been supported by the National Science Foundation (NSF).


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.



Recent Events


IAQF-Thalesians Seminar (New York) — Albert "Pete" Kyle — The Market Impact Puzzle

Albert Kyle

Albert Kyle


Agenda

Tuesday, May 15, 2018:


Venue

NYU Kimmel Center, Room 802, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Finding a universal market impact formula remains one of the most fascinating puzzles in finance. This paper reviews two possible approaches for imposing restrictions on this formula. First, restrictions can be obtained from a system of economic equations using trading volume and volatility, as suggested by Kyle and Obizhaeva (2017b). Second, restrictions can be derived using dimensional analysis and leverage neutrality, as suggested by Kyle and Obizhaeva (2017a). Except for the knife-edged case of the square root market impact function, additional assumptions related to market microstructure invariance are needed to apply the same market impact formula to all assets simultaneously. This results in a tightly parameterized universal market impact formula suitable for empirical testing.

(Joint work with Anna A. Obizhaeva)

Speaker

Albert S. (Pete) Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006. He earned is B.S. degree in mathematics from Davidson College (summa cum laude, 1974), studied philosophy and economics at Oxford University as a Rhodes Scholar from Texas (Merton College, 1974-1976, and Nuffiled College, 1976-1977), and completed his Ph.D. in economics at the University of Chicago in 1981. He has been a professor at Princeton University (1981-1987), the University of California Berkeley (1987-1992), and Duke University (1992-2006).

Kyle’s research focuses on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity, and contagion.

His teaching interests include market microstructure, institutional asset management, venture capital and private equity, corporate finance, option pricing, and asset pricing.

He is a Fellow of the American Finance Association in (2013) and a Fellow of the Econometric Society (2002) . He has been a board member of the American Finance Association (2004-2006). He holds an honorary doctoral degree from the Stockholm School of Economics (2013). He was a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC (Office of Inspector General), CFTC, and U.S. Department of Justice, a member of NASDAQ’s economic advisory board (2004-2007), a member of the FINRA economic advisory board (2010-2014), and a member of the CFTC’s Technology Advisory Committee (2010-2012).


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) — Paula Rowińska — What's behind my energy bill?

Paula Rowińska

Paula Rowińska

Date and Time

Wednesday 25th April 2018, at 7:30 p.m.

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/247149115/

Abstract

Because energy markets were liberalised only in the last decades, modelling electricity prices is a relatively new topic in mathematics and economics. Electricity is considered a commodity with unique futures that make the use of standard tools of financial mathematics difficult or even impossible. During my talk we will explore some of the methods used in energy finance, their applications and limitations. We will also study one model in more detail, namely a three-factor model of German electricity prices that takes into account the impact of wind energy production.

Speaker

Paula Rowińska is a PhD student of the Mathematics of Planet Earth Centre for Doctoral Training at Imperial College London. Her research interests include statistics and stochastic modelling applied to Earth sciences, ecology and finance. Currently she is studying how renewable energy sources influence electricity prices. She also actively engages in science communication, for example by blogging about science: www.paularowinska.wordpress.com. In 2017 she gave a TEDx talk about looking for exciting maths in everyday life.


IAQF-Thalesians Seminar (New York) — Leif Andersen — Funding and counterparty credit costs for CCP and OTC trading

Leif Andersen

Leif Andersen


Agenda

Monday, April 9, 2018:


Venue

Room 334, Fordham University, 140 West 62nd St, New York, NY 10023


Registration


Abstract

With regulatory pushes for CCP-based trading and for the application of initial margin in OTC trading, the funding and counterparty credit risk areas are undergoing a fundamental transition. In this talk, we discuss practical ways to measure credit and funding costs in the new market reality. We present new theory for certain classes of locally elliptical processes, and show how this theory can be used to generalize Ito processes and to conveniently calculate CVA and MVA in a fat-tailed setting. We cover both OTC bilateral trading, as well as the more complicated situation where a bank trades its house account as a clearing member of a CCP.


Speaker

Leif B. G. Andersen is the Global Co-Head of the Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc’s in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from University of Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Award, and has worked for a quarter century as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph “Interest Rate Modelling’’ (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance, and is an Adjunct Professor at Carnegie Mellon’s Tepper School of Business and at NYU’s Courant Institute.


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.


IAQF-Thalesians Seminar (New York) —Celso Brunetti — Common Holdings and Systemic Risk

Celso Brunetti

Celso Brunetti


Agenda

Thursday, March 15, 2018:


Venue

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


Registration


Abstract

The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks’ assets are reported to regulators and/or the public at relatively low frequencies (e.g. quarterly or monthly), our approach estimates bank asset holdings at higher frequencies which allows us to derive precise estimates of (i) portfolio concentration within each bank—a measure of diversification—and (ii) common holdings across banks—a measure of market susceptibility to propagating shocks. We find evidence that systemic risk measures derived from our approach lead, in a forecasting sense, several commonly used systemic risk indicators.


Speaker

Celso Brunetti is the chief of the Systemic Financial Institutions and Markets section, Division of Research and Statistics, at the Board of Governors of the Federal Reserve System. His current responsibilities include, among other things, conducting policy analysis and economic research on financial stability as it relates to systemically important financial institutions, with a particular focus on non-banks, and the markets in which they operate. His research agenda covers four main topics: (i) Network analysis of financial markets, (ii) linkages between financial markets and the macroeconomy, (iii) market microstructure, and (iv) commodity markets.

Before joining the FED, Celso spent his professional career in academia with appointments at Johns Hopkins University, University of Pennsylvania and University of Edinburgh where he taught Statistics, Corporate Finance, Derivatives and Financial Risk Management. From 2008 to 2011, he has been a consultant at the Commodity Futures Trading Commission.

He received A. B. degree in economics and banking from the Catholic University in Milan, Italy, and a Master of Science degree in economics from Bocconi University in Milan, Italy. In 1999 he completed his PhD in economics at the University of London, the UK.

Celso published several papers in academic journals such as the Review of Financial Studies, Journal of Financial and Quantitative Analysis, Econometrics Journal and Journal of Financial Markets.


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.


IAQF-Thalesians Seminar (New York) — Ronnie Sircar — Stochastic & Implied Sharpe Ratio

Ronnie Sircar

Ronnie Sircar


Agenda

Thursday, February 22, 2018:


Venue

NYU Kimmel Center, Room 905, Kimmel Center, 60 Washington Square South, NY 10012, NY


Registration


Abstract

Portfolio optimization in an uncertain market environment can be modeled via a stochastic Sharpe ratio process, where the uncertainty may arise from the drift or volatility, or both, of the risky asset. The impact of the uncertainty can be approximately characterized through the concept of implied Sharpe ratio, analogous to the much-studied implied volatility in option pricing. We show how this can be used to produce adjustments to the Merton optimal investment strategy that account for principal features of the stochastic market environment, and how the implied volatility skew can be used to infer parameters for this strategy.

Speaker

Ronnie Sircar is a Professor of Operations Research and Financial Engineering at Princeton University, and is affiliated with the Bendheim Center for Finance, the Program in Applied and Computational Mathematics and the Andlinger Center for Energy and the Environment. He received his doctorate from Stanford University, and taught for three years at the University of Michigan in the Department of Mathematics. He has received continuing National Science Foundation research grants since 1998. He was a recipient of the E-Council Excellence in Teaching Award for his teaching in 2002, 2005 and 2006, and the Howard B. Wentz Jr. Junior Faculty Award in 2003. His research interests center on Financial Mathematics, stochastic volatility models, energy markets and exhaustible resources, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, and stochastic differential games. He is a co-author of the book "Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives", published by Cambridge University Press in 2011, and was founding co-editor-in-chief of the SIAM Journal on Financial Mathematics, from 2009-2015.


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) — Giles Heywood — UK residential property modelling

Giles Heywood

Giles Heywood

Date and Time

Wednesday 24th January 2018, at 7:30 p.m.

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/246934371/

Abstract

Unlike securities markets, the residential property market is relatively inefficient and displays obvious return regularities which are of interest to that minority of participants who are primarily interested in capital gain rather than lifestyle factors, which includes many first time buyers. The analysis proceeds by first estimating over repeat sales indexes at the postcode district or sector level, applying a factor model familiar to equity quants, revaluing over 10M properties to the last month-end, and interactively mapping the risk-decomposed returns and valuation in £/m2. Along the way, estimates are Bayes-conditioned and key parameters are tuned by cross-validation to minimise out-of-sample error. The distribution of postcode factors is shown with 3D interactive graphics and - unlike securities markets - some surprisingly intuitive and practical conclusions for efficient portfolio construction do emerge. Three approaches to return forecasting are shown, including VAR and cyclical, together with applications in screening key metrics: location, momentum, value, risk, and liquidity - where possible down to the postcode unit level. An interactive online mapping/screening tool URL is provided to participants.

Speaker

Giles Heywood - Amber Alpha in association with Seven Dials Fund Management
Giles Heywood is founder and CEO of Amber Alpha Limited, delivering alpha and risk management products to quantitative equity hedge fund and private equity specialists. Previously he headed hedge fund origination at a ABN AMRO Asset Management, and lead the quantitative research team at Gartmore. As a sell-side quant on the prizewinning Commerzbank team he developed an early GPL-licenced R package on CRAN. Having started his career in high-frequency geophysical consulting after graduating from Cambridge, he now primarily focuses on development and testing of highly diversified mid-to-low frequency systematic products, including residential property.


IAQF-Thalesians Seminar (New York) — Alexander Veygman — A Jump on Default Approach to Modeling Multiple Default Contingent Payoffs

Alexander Veygman

Alexander Veygman


Agenda

Thursday, January 9, 2018:


Venue

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


Registration


Abstract

Copula models are usually used in order to capture multiple default contingent payoffs. As such, this standard approach fails to capture credit curve gamma and cross-gamma impacts arising from non-linear dependency on CDS spreads. Neglecting these impacts lead to unexplained P&L swings for the delta hedged portfolios, as it had been demonstrated during crisis. Our approach retains systemic default feature while taking into account a joint dynamics of credit spreads.

Speaker

Alexander Veygman had been a leading fixed income desk quantitative analyst at HSBC for the past 12 years working on valuation of various kinds of vanilla and exotic interest rates and credit hybrids derivatives. His scope of interest includes researching numerical methods to simultaneously incorporate multiple market observables to develop practical models ready to be used by fixed income desks. He holds and MS degree from NYU in Statistics & Operations Research/Math in 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 (London) — Douglas Machado Vieira — Optimal Market Making across Different Asset Classes

Douglas Machado Vieira

Douglas Machado Vieira

Date and Time

Wednesday 22nd December 2017, at 7:30 p.m.

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/245242893/

Abstract

In financial markets, a market maker is a market participant that continuously provide both buy and sell quotes for a single or multiple assets. This agent is crucial for maintaining the liquidity of the markets in which they participate. The profit of the market maker comes from the spread between these quotes. Tight spread implies more attractive prices and, hence, a flow of trades, at the cost of less profit per round-trip transaction. On the other hand, given that supply and demand change over time, the market maker has to dynamically control their quotes, otherwise they risk accumulating excessively high positive or negative positions in the traded asset, exposing them to market risk. In this talk, I will introduce the problem of optimal quotes for a market making strategy using optimal stochastic control theory. Then, I will expose the latest advancements in the literature and what challenges are involved when extending the models towards different asset classes.

Speaker

Douglas Vieira is a PhD student at Imperial College London sponsored by Nomura, where he also works as a PhD Intern. He holds a Master in Research in Stochastic Analysis and Mathematical Finance also at Imperial College London, obtained with Distinction. Douglas' main research interest is in market microstructure, especially in limit order book models and algorithmic trading, having studied this area for 4 years. Apart from his interest in Mathematical Finance, Douglas is an enthusiast of functional programming, in particular Haskell.


IAQF-Thalesians Seminar (New York) — Dr. Lasse Heje Pedersen — Generalized Recovery

Lasse Heje Pedersen

Lasse Heje Pedersen

Agenda

Tuesday, December 5, 2017:

Venue

Bank of China, 1045 6th Avenue, New York, NY 10018

Registration

Abstract

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics.

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 Seminar (London) — Jochen Papenbrock — Financial Networks and AI in Financial Services

Jochen Papenbrock

Jochen Papenbrock

Date and Time

Wednesday 15th November 2017, at 7:30 p.m.

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/244861740/

Abstract

Financial data sets are usually large, dynamic, high-dimensional and complex as they were generated in the context of complexity economics. There is a need for proper AI approaches to capture such complexity. Natural candidates are graph theory, network analysis and clustering. They reveal the dynamics, relationships, emerging properties and self-organising principles in complex data. These approaches can be combined with other AI methods like deep learning and they address supervised and unsupervised learning problems. Also, there is an interactive data science experience while capturing and understanding the main features, shapes and structures of complex financial data. In this talk we will give an overview of the methods and present some use cases in asset management and banking.

Speaker

Dr. Jochen Papenbrock is a FinTech entrepreneur with focus on quantitative modeling, Data Science and AI at financial service companies. He is CEO/co-founder of the FinTech company Firamis which has developed InvestTech, WealthTech, RiskTech and RegTech solutions based on a proprietary AI software platform. Customers include banks and asset managers. Jochen has a degree and doctorate from KIT, where the scientific foundation of the approaches was laid. Firamis conducts own scientific research and is committed to FinTech ecosystems.


IAQF-Thalesians Seminar (New York) — Dr. Andrey Itkin — Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Andrey Itkin

Andrey Itkin


Agenda

Wednesday, November 15, 2017:


Venue

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


Registration


Abstract

House price appreciation (HPA) volatility has a term structure across time and geographic space. The HPA exhibits high short term positive correlation as well as a significant negative correlation over 5-7 years. The HPA term structure volatility model proposed here has the following advantages: 1) analytically tractable 2) parsimonious with only 3 parameters 3) model is time continuous instead of discrete as many econometric models use quarterly time step. 4) model provides a vigorous framework for pricing of credit sensitive MBS securities.

Apply this model to Economical Risk Capital (ERC) for mortgages and real estate, we show it provides a countercyclical capital framework. Currently many financial institutions and regulatory agencies use a worst HPA history, hence an “unconditional distribution” framework for capital and stress tests purpose. The countercyclical framework we proposed is superior to the “unconditional distribution” framework in terms accurate risk modeling, adequate and responsive capital model, macroeconomic and policy consideration.


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.


London (City) Blanka Horvath: Rough Volatility Models: Pricing and Simulation

Blanka Horvath

Blanka Horvath

Date and Time

Thu 9th November 2017

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

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/244861702/

Abstract

Rough Volatily Models: Pricing and Simulation

The financial industry has changed dramatically over the past decade, and research topics (of practical interest), mainly due to increased regulatory constraints, have shifted from a pricing point of view to risk management considerations. Today, be it on the trader’s desk or on the risk management side, accurate models are needed (some might say now more than ever) in order to price financial derivatives. With this in mind, we consider a new generation of stochastic volatility models, dubbed by Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum as `rough volatility models’, where the instantaneous volatility is driven by a (rough) fractional Brownian motion. This (rough) fractional driver should be of short-memory nature, thereby contradicting decades of econometric analyses and practice, but the modelling advantages are tremendous: The movement has grown into a very active and flourishing branch of research.

As for every financial model, the ultimate success is largely determined not only by their accuracy but also by their ease of implementation for practical purposes. Therefore, in this talk we present a simple, powerful, and easy-to-implement Monte-Carlo method for rough volatility models, for which we provide detailed numerical recipes and discuss its prowess and performance. From a theoretical perspective our method relies on an extension of Donsker’s `random-walk-approximation' of standard Brownian motion, to the (rough) fractional Brownian case. Some of the most relevant consequences of the ‘rough Donsker (rDonsker) Theorem’ are convergence results for discrete approximations of a large class of rough models. With these simple numerical recipes, we advocate a “pedestraian approach” to Monte-Carlo pricing under rough volatility with the particular objective to appeal to anyone keen to test rough volatility against their existing models at a low entry cost in implementation complexity. We test the performance of our scheme in terms of accuracy against the current benchmark hybrid scheme of Bennedsen, Lunde, and Pakkanen and in terms of speed against the turbo-charged hybrid scheme of McCrickerd and Pakkanen. In both cases, the performance is remarkable for a large range of values of the Hurst (roughness) parameter H. Our results further open the door to path-dependent options under rough volatility, presenting the first available scheme (in the rough context) for early exercise options such as American or Bermudan.

The talk is based on joint work with A. Jacquier and A. Muguruza.

For more information on rough volatility, see https://sites.google.com/site/roughvol/home

Blanka's personal homepage is: https://sites.google.com/site/blankanorahorvath/home

Speaker

Dr. Blanka Horvath is a Postdoctoral Fellow in the Department of Mathematics at Imperial College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETH Zürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.


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

Mark Davis

Mark Davis

Date and Time

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

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

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

Abstract

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

Speaker

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


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

Date and Time

Wed 11th October 2017

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

Venue

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

Meetup.com

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

Abstract

Fractals, Finance and Fractured Fairy Tales

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


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

Speaker

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

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


IAQF-Thalesians Seminar (New York) — Dr. David Zhang — Model House Price Volatility , Application to a Countercyclical Economical Risk Capital Framework

David Zhang

David Zhang


Agenda

Tuesday, October 10, 2017:


Venue

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


Registration


Abstract

House price appreciation (HPA) volatility has a term structure across time and geographic space. The HPA exhibits high short term positive correlation as well as a significant negative correlation over 5-7 years. The HPA term structure volatility model proposed here has the following advantages: 1) analytically tractable 2) parsimonious with only 3 parameters 3) model is time continuous instead of discrete as many econometric models use quarterly time step. 4) model provides a vigorous framework for pricing of credit sensitive MBS securities.

Apply this model to Economical Risk Capital (ERC) for mortgages and real estate, we show it provides a countercyclical capital framework. Currently many financial institutions and regulatory agencies use a worst HPA history, hence an “unconditional distribution” framework for capital and stress tests purpose. The countercyclical framework we proposed is superior to the “unconditional distribution” framework in terms accurate risk modeling, adequate and responsive capital model, macroeconomic and policy consideration.


Speaker

Dr. David Zhang is a Managing Director and Head of Securitized Products Research at MSCI. His team is responsible for developing models and analytics to support investment analysis, risk management, and regulatory compliance.

Before joining MSCI, Dr. Zhang was Managing Director and head of Securitized Products modeling at Credit Suisse for more than a decade. At Credit Suisse he was responsible for supporting risk, regulatory and client analytics as well as sales/trading quantitative strategies. Dr. Zhang’s group developed one of the most widely used MBS models by fixed income institutional investors. Their work was consistently awarded top ranking by various industry and client surveys, including Institutional Investor All-America Research Team ranking in Agency prepayment. They also won the award for best paper by the American Real Estate Society for research on effectiveness of government mortgage programs

The regulatory projects Dr. Zhang lead at Credit Suisse included developing models for CCAR and PPNR (Pre-Provision Net revenue), Dodd-Frank IHC (Intermediate Holding Company) and related VaR, RWA and RBPL modeling, and FRTB (Fundamental Review of Trading Book).

Prior to Credit Suisse, Dr. Zhang worked at FreddieMac, CIBC Oppenheimer, and University of Chicago. He holds leadership positions at PRMIA (Professional Risk Management International Association) and GCREC (Global Chinese Real Estate Congress). He is a frequent speaker at industry and academic conferences, and his research on risk, financial modeling and real estate has been published in many academic journals. Dr. Zhang has a Ph.D. from Princeton 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.


IAQF-Thalesians Seminar (New York) — Dr. David Shimko — Total Risk and Project Valuation

David Shimko

David Shimko


Agenda

Tuesday, September 12, 2017:


Venue

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


Registration


Abstract

Capital budgeting professionals continue to look to the CAPM and APT to determine project discount rates, in spite of compelling evidence that firms ignore these models in practice. One explanation is that many types of idiosyncratic risk are either (a) held by risk-regulated financial institutions, (b) not diversifiable, (c) exist in an incomplete markets setting, or (d) are held by nondiversified controlling investors, any of which would imply that idiosyncratic risk would be priced. This paper develops a new risk-adjusted present value method (RPV) that explicitly considers the cost of idiosyncratic risk in a multiperiod setting. The results include a new pricing formula which nests the traditional NPV formula, and an allocation of risk charges across time for better risk-based decision-making, capital allocation and valuation projections.

Speaker

Dr. David Shimko has been involved with commodities, credit, risk management and derivatives for over 30 years. While head of Commodity Derivatives Research at JPMorgan in the 1990s, he published a monthly column in Risk Magazine and frequently appeared in Energy Risk. At Bankers Trust, he headed a client risk advisory unit, and later co-founded Risk Capital, an independent consulting firm. David has co-authored three issued patents in credit risk management, and has published widely in the academic and trade literature. Concurrent with his professional career, he has taught at USC, Kellogg, HBS and NYU Courant. He is currently Full Professor of Finance at the NYU Tandon.


IAQF-Thalesians Seminars

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


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

Jason Ricci

Jason Ricci

Date and Time

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

Venue

City University Club, City, London, UK.

Meetup.com

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

Abstract

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

Speaker

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


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

Harvey Stein

Harvey Stein

Date and Time

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

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

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

Abstract

"Let the data speak for themselves."

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

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

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

Speaker

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


San Francisco Dinner/Seminar — Dinner Event — Gaussian Processes for Portfolio Optimization

Keiran Thompson

Keiran Thompson


Date and Time

Saturday 14th June 2017 Time: 6:00-9pm Talk starts at 6:30pm

Venue

Financial District. Further details provided on registration.

Meetup.com

You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/240381178/

Cost

$15 (not including dinner).

Abstract

Traditional portfolio theory started with Markowitz mean-variance optimisation and evolved into factor models. To a committed Bayesian both approaches make overly restrictive assumptions. In this talk we will explore non-parametric bayesian approaches to portfolio optimisation. Gaussian Processes are the tool of choice, with analytic libraries like GPy available in Python, and highly optimised numerical schemes available in STAN. The idea is to model the relationship between equity weights and portfolio returns with a Gaussian Process, then use optimisation techniques to predict the best portfolio for the future periods. There are some subtleties in implementing this scheme which will be explicated with code and backtest results.

Speaker

Keiran Thompson is a research scientist at Stanford University. His interest in finance was piqued after joining the counterparty risk team at BNP Paribas in London in early 2008. Following the crisis he worked on the CVA trading desk, coming to machine learning via portfolio optimisation. Keiran founded a machine learning startup in Western Australia, and eventually settled in the Bay Area. A former professional athlete, Keiran holds a PhD in Theoretical Chemistry from the Australian National University.


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

Harrison G. Hong

Harrison G. Hong


Agenda

Wednesday, June 14, 2017:


Venue

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


Registration


Abstract

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

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

Speaker

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


IAQF-Thalesians Seminars

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


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

Frank Berkshire

Frank Berkshire


Date and Time

Wed 7th June 2017

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

Venue

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

Meetup.com

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

Abstract

Chaotic Cards and Dynamic Dice: Profitable, but risky pursuits


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

Speaker

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

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


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

Lynda White

Lynda White

Date and Time

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

Venue

Marriot Hotel, Canary Wharf London, UK.

Meetup.com

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

Abstract

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

Speaker

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


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

Sebastian Jaimungal

Sebastian Jaimungal


Agenda

Monday, May 15, 2017:


Venue

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


Registration


Abstract

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

(Joint work with Philippe Casgrain, U. Toronto)


Speaker

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


IAQF-Thalesians Seminars

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


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

Paul Bilokon

Paul Bilokon

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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


Speaker

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

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

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

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


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

Saeed Amen

Saeed Amen

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

Speaker

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


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

Andrew Papanicolaou

Andrew Papanicolaou


Agenda

Tuesday, April 25, 2017:


Venue

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


Registration


Abstract

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


Speaker

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

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

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


IAQF-Thalesians Seminars

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


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

Marc Henrard

Marc Henrard

Date and Time

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

Venue

City University Club, City, London, UK.

Meetup.com

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

Abstract

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

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

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

Agenda

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

Speaker

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

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

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

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


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

Chris Godfrey

Chris Godfrey

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

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

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

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

Speaker

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


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

Lingjiong Zhu

Lingjiong Zhu


Agenda

Thursday, March 16, 2017:


Venue

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


Registration


Abstract

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

(Joint work with Tzu-Wei Yang)


Speaker

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


IAQF-Thalesians Seminars

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


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

Date and Time

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

Venue

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

Meetup.com

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

Abstract

FREE event, kindly hosted by PPI

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

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

Speaker

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


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

Saeed Amen

Saeed Amen

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

Speaker

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


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

Alan Moreira

Alan Moreira


Agenda

Wednesday, February 15, 2017:


Venue

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


Registration


Abstract

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


Speaker

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


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


IAQF-Thalesians Seminars

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


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

Oskar Mencer

Oskar Mencer

Date and Time

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

Venue

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

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/236357723/

Abstract

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

Speaker

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


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

Tai-Ho Wang

Tai-Ho Wang


Agenda

Tuesday, January 24, 2017:


Venue

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


Registration


Abstract

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


Speaker

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


IAQF-Thalesians Seminars

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


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

Frankfurt

Frankfurt

Date and Time

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

Venue

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

Meetup.com

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

Abstract

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

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

  • Thalesian's 1st Open Stage Seminar

We open up the stage - for you!

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

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

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

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

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

As always, participation is free.

Logistics:

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

Thursday, January 5, at 6.30pm CET

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


For older events, please see The Thalesians Quantitative Finance Seminars.

Puzzles

Masses and Buckets

You have M masses,  m_1, m_2, \ldots, m_M which you want to distribute across N buckets "as uniformly as possible". By this I mean that you are trying to minimise  \sum_{i=1}^N \sum_{j=i}^N (b_i - b_j)^2 , where bk is the sum of the masses in the k-th bucket. How would you achieve this?

To make this a little bit more concrete, suppose that I give you 20 masses, e.g. 23, 43, 12, 54, 7, 3, 5, 10, 54, 55, 26, 9, 9, 43, 54, 1, 8, 6, 38, 33. There are 4 buckets. How would you distribute the masses?

Please send your answers to paul, who happens to be at thalesians.com.

[ Solution ]

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