Thalesians Seminar (New York) — Matthew Dixon, FRM — Blockchain Analytics for Intraday Financial Risk Modeling
Tuesday, June 11, 2019:
Fordham University, McNally Amphitheatre, 140 West 62nd Street New York, NY 10023
Blockchain provides access to the entire transaction graph yet its properties are poorly understood. One key question in this direction is the extent which the transaction graph can serve as an early-warning indicator for large financial losses. In this talk, we demonstrate the impact of extreme transaction graph activity on the intraday volatility of the Bitcoin prices series. Specifically, we introduce and characterize certain sub-graphs ('chainlets') that exhibit predictive influence on Bitcoin price and volatility and identify the types of chainlets that signify extreme losses. Using bars ranging from 15 minutes up to a day, we fit eGARCH models with and without the extreme chainlets and show that the former exhibit superior Value-at-Risk backtesting performance.
Matthew Dixon, FRM, is an Assistant Professor of Applied Math at the Illinois Institute of Technology. Matthew joined the Illinois Institute of Technology in 2015 and teaches in the Masters of Mathematical Finance and Finance programs. His research in machine learning and computational methods for fintech is funded by Intel and the NSF. Matthew began his career in structured credit trading at Lehman Brothers in London before pursuing academics and consulting for financial institutions in quantitative trading and risk modeling. He holds a Ph.D. in Applied Mathematics from Imperial College (2007) and has held postdoctoral and visiting professor appointments at Stanford University and UC Davis respectively. He serves on the editorial board of the AIMS Journal of Dynamics and Games.
The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF 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.
Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar.