Análise de ações em baixa Real-Time After Hours Pre-Market News Resumo de Citações de Flash Citação Gráficos Interativos Configuração Padrão Por favor, note que uma vez que você faça a sua seleção, ele se aplicará a todas as futuras visitas ao NASDAQ. Se, a qualquer momento, estiver interessado em voltar às nossas configurações padrão, selecione Configuração padrão acima. Se você tiver dúvidas ou tiver problemas ao alterar suas configurações padrão, envie um e-mail para isfeedbacknasdaq. Confirme sua seleção: Você selecionou para alterar sua configuração padrão para a Pesquisa de orçamento. Esta será agora sua página de destino padrão, a menos que você altere sua configuração novamente ou exclua seus cookies. Tem certeza de que deseja alterar suas configurações? Temos um favor a perguntar Desabilite seu bloqueador de anúncios (ou atualize suas configurações para garantir que o javascript e os cookies estejam ativados), para que possamos continuar fornecê-lo com as notícias do mercado de primeira linha (Conforme arquivado na SEC) A Sabre Corporation é uma corporação de Delaware formada em dezembro de 2006. Em 30 de março de 2007, a Sabre Corporation adquiriu a Sabre Holdings Corporation (Sabre Corporation) Holdings), que é a única subsidiária da Sabre Corporation. A Sabre GLBL Inc. (Sabre GLBL) é a principal subsidiária operacional e única subsidiária direta da Sabre Holdings. A Sabre GLBL ou suas subsidiárias diretas ou indiretas conduzem todos os nossos negócios. Nossos principais escritórios executivos estão localizados em 3150 Sabre Drive, Southlake, Texas 76092. Somos um fornecedor líder de soluções tecnológicas para a indústria global de viagens e turismo. Abrangem a amplitude do ecossistema global de viagens, oferecendo software e serviços essenciais a uma ampla gama de fornecedores de viagens e compradores de viagens. Conectamos os principais fornecedores mundiais de viagens, incluindo companhias aéreas, hotéis, marcas de aluguel de veículos, empresas de transporte ferroviário, linhas de cruzeiros e operadores turísticos, com compradores de viagens em um mercado de viagens abrangente. Mais. Risk Grade Onde SABR se encaixa no gráfico de risco Consenso Recomendação Informações Adicionais Info. De Analistas Brokers de Pesquisa antes de negociar Deseja negociar FX Editar Favoritos Insira até 25 símbolos separados por vírgulas ou espaços na caixa de texto abaixo. Esses símbolos estarão disponíveis durante sua sessão para uso em páginas aplicáveis. Personalizar a sua experiência NASDAQ Selector de cores de fundo Seleccione a cor de fundo de sua escolha: Cotação Pesquisa Seleccione uma página de destino predefinida para a sua pesquisa de cotação: Tempo real após as horas Pre-Market News Resumo das cotações Resumo Citação Gráficos interactivos Predefinição Por favor, Sua seleção, ela se aplicará a todas as futuras visitas ao NASDAQ. Se, a qualquer momento, estiver interessado em voltar às nossas configurações padrão, selecione Configuração padrão acima. Se você tiver dúvidas ou tiver problemas ao alterar suas configurações padrão, envie um e-mail para isfeedbacknasdaq. Confirme sua seleção: Você selecionou para alterar sua configuração padrão para a Pesquisa de orçamento. Esta será agora sua página de destino padrão, a menos que você altere sua configuração novamente ou exclua seus cookies. Tem certeza de que deseja alterar suas configurações? Temos um favor a perguntar Desabilite seu bloqueador de anúncios (ou atualize suas configurações para garantir que o javascript e os cookies estejam ativados), para que possamos continuar fornecê-lo com as notícias do mercado de primeira linha E os dados que você vem esperar de nós. Os Thalesians Imagens dos Thalesians eventos de todo o mundo durante os últimos 6 anos Os Thalesians são um think tank de profissionais dedicados com interesse em finanças quantitativas, economia, matemática, física e informática, não Necessariamente nessa ordem. Blog Veja o nosso novo Thalesians blog Livro Compre o nosso novo livro. O grupo foi fundado em setembro de 2008, por Paul Bilokon (em seguida, um analista quantitativo), o fundador da Fundação Paul Bilokon E dois de seus amigos e colegas: Matthew Dixon (então analista quantitativo no Deutsche Bank) e Saeed Amen (então estrategista quantitativo da Lehman Brothers) . A abertura do Level39 em 2013 pelo prefeito Boris Johnson Os Thalesians também são agora um membro do Level39 - o maior acelerador tecnológico da Europa para finanças, varejo, cibersegurança e cidades futuras empresas de tecnologia Eventos Pesquisando Consultoria Eventos Os Thalesians foram originalmente baseados em Londres, Reino Unido . Em janeiro de 2011, a organização tornou-se verdadeiramente global quando Matthew Dixon trouxe para os Estados Unidos onde ele dirige os seminários Thalesians NYC com Harvey Stein, líder de Nova York. Attila Agod é o Líder de Budapeste para os seminários de Thalesians em Budapeste. Estamos atualmente no processo de expansão de nossos seminários para Praga e execução de mais oficinas. Pesquisa No final de 2013, começamos publicadas novidades inovadoras de estratégia quantitativa. Nosso esforço é conduzido por Saeed Amen, usando quase uma década de sua experiência tanto a criação e posterior comercialização sistemática modelos de negociação em FX em grandes bancos de investimento. Visite a Pesquisa para mais. Consultoria Em 2014, começamos a oferecer serviços de consultoria detalhados nos mercados, firmando nosso primeiro cliente, um dos principais fundos de hedge dos EUA e RavenPack, um importante fornecedor de dados de notícias. Nossos serviços incluem a criação de modelos de negociação sistemática sob medida e outras análises quantitativas dos mercados financeiros, tais como a cobertura cambial ea análise de custos de transação (TCA). Visite Consulting para mais. Nossa Filosofia Somos nomeados por Thales de Mileto (), um filósofo grego pré-socrático que viveu em ca. 624 BC-ca. 546 aC. Thales era um matemático e é familiar a muitos estudantes da escola secundária para um de seus teoremas na geometria. Mas mais relevante para nós, ele foi um dos primeiros usuários de opções: Thales, assim a história vai, por causa de sua pobreza foi insultado com a inutilidade da filosofia, mas a partir de seu conhecimento de astronomia, ele tinha observado enquanto ainda era inverno que lá Ia ser uma grande colheita de azeitonas, então ele levantou uma pequena soma de dinheiro e pagou depósitos redondos para a totalidade das prensas de azeitona em Mileto e Quíos, que ele contratou em um aluguel baixo como ninguém estava correndo-lo e quando A estação chegou, houve uma súbita demanda de várias prensas ao mesmo tempo e, deixando-os em que termos ele gostava, ele percebeu uma grande soma de dinheiro, provando assim que é fácil para os filósofos serem ricos se eles Escolher, mas isso não é o que eles se preocupam. Aristóteles, Política, 1259a. O moral desta anedota é que é fácil para os filósofos serem ricos se eles escolherem o famoso Milesian foi em frente e provou isso. Nós, os taleianos. Admire-o por isso. Mas também compartilhamos muitos de seus valores, por exemplo, sua crença básica de que um homem feliz é definido como um, (que é saudável no corpo, dotado de recursos na alma e de uma natureza prontamente ensinável). Este wiki foi criado para servir como uma fonte de informação sobre financiamento quantitativo, para reunir referências a vários recursos relacionados e para servir como um ponto de convergência para os taleianos. Nossos colegas e colaboradores. Ela cresceu a partir de Paul Bilokons wiki de finanças, que ele começou em fevereiro de 2007. Acreditamos que o sigilo ea fidelidade são importantes no mundo das finanças. Mas também reconhecemos o poder da partilha de informação em sociedades abertas. Deixe sua lógica de negócios permanecer um segredo bem guardado. Mas liberar tudo o resto para o domínio público. O que vai ao redor, vem ao redor isso vai acabar com você reinventando a roda. Mais de nossos palestrantes em eventos de Thalesians nos últimos 6 anos Próximos eventos Wed, Feb 22: Saeed Amen Qua, 29 de março: TBD Qua, May 26: TBD Seminário de Thalesians (Londres) 8212 Saeed Amen 8212 Usando Python Para analisar os mercados financeiros Registro Uma abordagem popular para o modelo de ordem de livro de ordem de limite da melhor oferta e pedir no nível-1 é usar aproximações de difusão de forma reduzida. É sabido que o maior fator que contribui para o movimento de preços é o desequilíbrio da melhor oferta e pedir. Nós investigamos os dados dos livros de ordem de limite de nível 1 de uma cesta de ações e estudamos a evidência numérica de deriva, correlação, volatilidade e sua dependência do desequilíbrio. Com base nas descobertas numéricas, desenvolvemos um modelo discreto não paramétrico para a dinâmica da melhor oferta e demanda. Este modelo pode ser aproximado por um modelo de forma reduzida com traçabilidade analítica que pode ajustar os dados empíricos de correlação, volatilidades e probabilidade de movimento de preços simultaneamente. (Trabalho conjunto com Tzu-Wei Yang) Lingjiong Zhu cresceu em Xangai e estudou na Inglaterra, onde obteve o BA da Universidade de Cambridge em 2008. Ele então se mudou para os Estados Unidos e recebeu PhD da Universidade de Nova York em 2013. Após um stint em Morgan Stanley, foi trabalhar na universidade de Minnesota como o professor assistente de Dunham Jackson antes de juntar-se à faculdade na universidade de estado de Florida como um professor assistente em 2015. Em seu tempo de reposição, aprecia ler, viajar, e ir A exposições de arte, museus e concertos de música clássica. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. Seminário de IAQF-Thalesians (Nova Iorque) 8212 Dr. Sebastian Jaimungal 8212 Algoritmos de negociação com aprendizagem em modelos de alfa latentes Segunda-feira, 15 de maio de 2017: NYU Kimmel Center. Os sinais alfa para estratégias de arbitragem estatística são muitas vezes conduzidos por fatores latentes. Este artigo analisa como negociar otimamente com fatores latentes que fazem com que os preços saltem e se difundam. Além disso, contabilizamos o efeito das ações dos operadores sobre os preços cotados e os preços que recebem da negociação. Sob hipóteses bastante gerais, demonstramos como o comerciante pode aprender a distribuição posterior sobre os estados latentes e resolver explicitamente o problema de comércio óptimo latente de uma forma online. Além disso, desenvolvemos um algoritmo de forward-backward baseado na expectativa-maximização para calibrar um modelo de salto puro para dados históricos, ilustrar a eficácia da estratégia ótima através de simulações e comparar com estratégias que ignoram a aprendizagem nos fatores latentes. (Trabalho conjunto com Philippe Casgrain, U. Toronto) Dr. Sebastian Jaimungal é Professor Titular do Departamento de Ciências Estatísticas da Universidade de Toronto, onde é diretor do programa de Mestrado em Seguros Financeiros, ensina nos Mestrados de Matemática Programa de Finanças, eo programa de doutoramento. Ele é co-autor do livro "High Frequency and Algorithmic Trading", publicado pela Cambridge University Press (2015), e atua No conselho editorial para uma série de revistas acadêmicas e da indústria, incluindo: SIAM Jornal de Matemática Financeira (SIFIN), The International Journal de Finanças Teóricas e Aplicadas (IJTAF), de alta freqüência. Jornal de Riscos e Argo. Sebastian é também membro do conselho fundador da Commodities and Energy Markets Association. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. Eventos recentes Seminário IAQF-Thalesians (Nova York) 8212 Dr. Alan Moreira 8212 Volatility Managed Portfolios Quarta-feira, 15 de fevereiro de 2017: NYU Kimmel Center. Os portfólios gerenciados que assumem menos riscos quando a volatilidade é alta produzem grandes alfas, aumentam os índices de Sharpe e produzem grandes ganhos de utilidade para investidores de média variância. Documentamos isso para o mercado, valor, dinâmica, rentabilidade, retorno sobre o patrimônio líquido e fatores de investimento, bem como o carry trade de moeda. O tempo de volatilidade aumenta os índices de Sharpe porque as mudanças na volatilidade não são compensadas por mudanças proporcionais nos retornos esperados. Nossa estratégia é contrária à sabedoria convencional, porque leva relativamente menos risco em recessões, mas ainda ganha retornos médios elevados. Isso exclui explicações típicas baseadas em risco e é um desafio para modelos estruturais de retornos esperados que variam no tempo. Alan Moreira é professor assistente de Finanças na Yale University School of Management. Originário do Rio de Janeiro, Brasil, recebeu seu diploma de graduação pela Universidade Federal do Rio de Janeiro (UFRJ) e seu PhD em Economia Financeira pela Universidade de Chicago. A pesquisa do Dr. Moreiras investiga como a intermediação financeira molda a economia real e as causas e conseqüências das flutuações na incerteza. Sua pesquisa foi publicada nas revistas superiores, incluindo o Journal of Financial Economics e Journal of Finance. Além de ensinar Gerenciamento de Riscos no programa de MBA da Yale School of Management, o Dr. Moreira ensina o Asset Pricing no nível de doutorado. Em seu tempo livre, ele gosta de andar de bicicleta, viajar e sair da família. Alan Moreira, Professor Assistente de Finanças da Yale School of Management 1 Seminários do IAQF-Thalesians A Série de Seminários do IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesianos. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. A volatilidade instantânea do retorno logarítmico no modelo logarítmico fracional de SABR é impulsionada pela exponenciação de um movimento browniano fracionário correlacionado . Devido à natureza mista dos movimentos brownianos e fracionários brownianos, a densidade de probabilidade para tais modelos é menos conhecida na literatura. Apresentamos nesta conversa uma representação de ponte para a densidade conjunta do modelo SABR fraccional lognormal num espaço de Fourier. A avaliação da representação da ponte ao longo de um caminho determinístico adequadamente escolhido produz um estilo Edgeworth de expansão da densidade de probabilidade para o modelo SABR fracionário. Uma generalização direta da representação para a densidade conjunta em múltiplos momentos leva a uma derivação heurística do princípio de grandes desvios para a densidade conjunta em tempo pequeno. A aproximação da volatilidade implícita é obtida facilmente aplicando a fórmula asséptica de Laplace aos preços de chamada ou de venda e comparando os coeficientes. A apresentação é baseada em um trabalho conjunto com Jiro Akahori e Xiaoming Song. Tai-Ho Wang é professor titular de matemática no Baruch College, na City University de Nova York desde 2012. Sua pesquisa em finanças quantitativas inclui volatilidade implícita assintótica em pouco tempo, arbitragem estática limites livres sobre opções de cesta, liquidação ótima e execução em modelos de impacto de mercado , E recentemente a dinâmica da informação no mercado financeiro. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. Seminário de IAQF-Thalesians (Nova Iorque) 8212 Dr. Hongzhong Zhang 8212 Mercado Intraday Fazendo com Custos de Inventário Overnight Quinta-feira, dezembro 14, 2016: NYU Centro de Kimmel. A parcela de mercado conduzida por empresas de alta freqüência de negociação (HFT) tem vindo a aumentar de forma constante. Uma característica distintiva de HFTs é que eles comércio intraday, terminando o dia plana. Para lançar luz sobre a economia de HFTs, e em uma partida de mercado existentes teorias de fabricação, nós modelamos um HFT que tem acesso a alavancagem ilimitada intraday, mas deve financiar qualquer inventário de fim de dia a um custo determinado exogenously. Mesmo que os custos de inventário só ocorrem no final do dia, eles impacto dinâmica de preços e liquidez intraday. Isto dá origem a um mecanismo intraday endógeno de impacto sobre os preços. À medida que o tempo se aproxima do final do dia de negociação, a sensibilidade dos preços aos níveis de estoque se intensifica, tornando o impacto do preço mais forte e ampliando os spreads bid-ask. Além disso, o desequilíbrio das ordens de compra e venda pode catalisar aumentos e quedas de preços, mesmo sob funções fixas de oferta e demanda. Empiricamente, mostramos que essas previsões são confirmadas no mercado de Tesouraria dos Estados Unidos, onde os spreads e os preços tendem a subir no final do dia. Além disso, os movimentos de preços estão negativamente correlacionados com as mudanças nos níveis de estoque, medido pelo volume de negociação líquido acumulado. (Trabalho conjunto com Tobias Adrian, Agostino Capponi e Erik Vogt) Hongzhong Zhang é professor assistente na Universidade de Columbia. Sua pesquisa se concentra na ampla área de probabilidade aplicada com aplicações em engenharia, finanças e seguros. Em particular, alguns de seus interesses atuais de pesquisa incluem asymptotics, abaixamentos, paragem ótima, e detecção de mudanças de regime. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. Thalesians Xmas Party (Londres) 8212 Iain Clark 8212 Distribuições Implícitas das Reversões de Risco de FX e Previsões para o Efeito do Voto de Brexit e da Eleição de Trunfo Gostaríamos de convidá-lo para nosso seminário de Natal de Thalesians em Londres, onde Iain Clark apresentará Isto será seguido por nossa festa de Natal no Bar GampTea no Hotel Marriott, Canary Wharf, onde estaremos servindo bebidas e canapés. O preço do bilhete inclui tanto a conversa ea festa (canapés primeiro bebidas). A seleção de canapés incluirá alguns dos seguintes: Beringela e envoltura de haloumi Brie e bolo de presunto de parma brioche Crudits e copos de tiro hummus Bagel de salmão defumado de face aberta Mini hambúrgueres Samosa de cordeiro Rolos de Primavera Conchas de batata de camarão Data e hora 19:30 na segunda-feira 12 de dezembro Em maio de 2016 foi observado, na audiência QampA após uma apresentação pelo orador, que as reversões de risco da GBPUSD estavam exibindo algo muito incomum Comportamento - a saber, inclinação extrema em tenors short dated, mas sorrisos relativamente planos depois disso. Esta é uma assinatura de volatilidade mais incomum ea conexão com o próximo referendo Brexit votação foi imediatamente feito. O orador, como questão de urgência dada a natureza actual do mercado pré-Brexit, efectuou uma análise com o seu co-autor sobre as distribuições implícitas para as expectativas do mercado para a GBPUSD em torno da data do referendo (23 de Junho de 2016), com previsões para spot Depois disso. O artigo foi enviado para SSRN em 13 de junho, no qual identificamos evidência empírica na inclinação da volatilidade para uma queda no GBPUSD de 1,4390 para o intervalo de 1,10 a 1,30 no caso de um voto de desistência - um movimento descendente de 0,14 para 0,34. A análise, excepcionalmente para a pesquisa de quant, recebeu cobertura no FT e no Sunday Telegraph e, de fato, nossas previsões foram confirmadas quando o resultado do referendo foi anunciado e a libra esterlina caiu de 1,50 para 1,33 - um movimento descendente de 0,17 - em questão de horas. Após essa análise, aplicamos métodos similares ao peso mexicano cotado em relação ao dólar americano (USDMXN) imediatamente antes da eleição dos EUA de 2016 e pudemos prever a desvalorização do peso em uma faixa de 20 a 24 pesos por dólar no caso de uma Trump vitória, que foi confirmada por eventos subseqüentes. Nesta conferência, passarei por nossa análise da informação incorporada na asa de volatilidade e a base para nossa análise preditiva. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) tem mais de 14 anos de experiência como um front office quant. Trabalhou como Chefe de Análise Quantitativa de FX e Commodities no Standard Bank, como Chefe de Análise Quantitativa de FX na Unicredit e na Dresdner Kleinwort, e na Lehman Brothers, BNP Paribas e JP Morgan. Iain tem um PhD em matemática aplicada da Universidade de Queensland e um mestrado em matemática financeira de Edimburgo e Heriot-Watt Universidades. Seus principais interesses de pesquisa são sobre opções exóticas, modelos estocásticos para FX e commodities, e métodos numéricos para a fixação de preços de opções. Ele é um colaborador freqüente de conferências da indústria, cursos de formação e orador convidado em várias universidades. Seu primeiro livro de Preços de Opção de Câmbio: Um Guia para Profissionais foi publicado em novembro de 2010 pela Wiley Finance e seu segundo livro Opção de Preços de Produtos: Um Guia de Profissionais deve aparecer no início de 2014 (também com a Wiley Finance). Thalesians Seminar (Londres) 8212 Vlasios Voudouris 8212 Aprendizagem flexível de máquinas para finanças Data e horário 7:30 p. m. na quarta-feira 23 de novembro de 2016 Quarto Ginger, Hotel Marriott, Canary Wharf, Londres, Reino Unido. Meetup Com rápidas mudanças na tecnologia de computação e na grande idade dos dados, o campo da ciência de dados é constantemente desafiado. O trabalho dos cientistas de dados é dar sentido às grandes quantidades de dados: extrair padrões e tendências importantes e entender o que os dados dizem. Os desafios em aprender com dados levaram a uma revolução em técnicas de aprendizagem de máquina. O conjunto de ferramentas GAMLSS em nossa tentativa de aprender com os dados financeiros. GAMLSS é agora amplamente utilizado para analítica preditiva e quantificação de risco (por exemplo perda dada padrão). Devido à flexibilidade dos modelos GAMLSS, podemos capturar as seguintes características de dados: As características de cauda pesada ou luz-cauda da distribuição dos dados. Isto significa que a probabilidade de acontecimentos raros (por exemplo, um valor atípico) ocorre com maior ou menor probabilidade em comparação com a distribuição normal. Além disso, a probabilidade de ocorrência de um valor atípico pode mudar em função dos valores explicativos. A asimetria da variável resposta, que pode mudar em função das variáveis explicativas. A relação não-linear ou lisa entre a variável alvo e as variáveis explicativas do predicador. Baseado em nosso livro Regressão Flexível e Suavização: Usando GAMLSS em R, o discurso inclui um grande número de exemplos práticos (por exemplo, previsões e quantificação de risco) que refletem a gama de problemas abordados por modelos GAMLSS. Isto também significa que os exemplos fornecem uma ilustração prática do processo de utilização de modelos GAMLSS para a aprendizagem mecânica. Vlasios Voudouris é um cientista de dados com experiência em análise preditiva baseada em dados e quantificação de risco dos mercados financeiros. Seu principal foco de pesquisa é i) modelos semi-paramétricos de aprendizado de máquinas ii) processos de seleção de modelos inovadores e iii) diagnósticos robustos para negociação sistemática e quantificação de risco. Ele é o co-autor do livro Flexible Regression and Smoothing: Usando GAMLSS em R eo software associado em R e Java. GAMLSS (Modelos Aditivos Generalizados para Escala e Forma de Local) é sobre a aprendizagem de dados usando algoritmos de aprendizagem de máquina supervisionados semi-paramétricos. Além disso, a Vlasios desenvolveu modelos baseados em agentes baseados em dados para cenários de testes de estresse (com ênfase nos mercados de commodities). Seus modelos e ferramentas são usados por uma série de organizações. 2) Vlasios e seus colegas demonstraram uma série de modelos GAMLSS para o Banco da Inglaterra (BoE). Usando o GAMLSS, a Vlasios desenvolveu um modelo de negociação sistemática para o WTI Crude Oil (NYMEX). Vlasios possui um Ph. D. Da cidade, universidade de Londres. Seminário de IAQF-Thalesians (Nova Iorque) 8212 Dr. Michael Imerman 8212 Insights de uma Análise de Dados do Prêmio de Risco de Volatilidade Quinta-feira, 17 de novembro de 2016: NYU Kimmel Center. Grande parte desta conversa virá do trabalho conjunto que fiz com Jianqing Fan em Princeton e Wei Dai agora no Dimensional Fund Advisors. Nós nos propusemos a fornecer uma análise puramente baseada em dados do prêmio de risco de volatilidade, usando ferramentas de alta freqüência de finanças e análise Big Data. Argumentamos que o prêmio de risco de volatilidade, vagamente definido como a diferença entre volatilidade real e implícita, pode ser melhor entendido quando visto como um viés sistemático. Primeiro usamos dados de transações de ultra-alta freqüência em SPDRs e uma nova abordagem para estimar a volatilidade integrada no domínio de freqüência para calcular a volatilidade realizada. A partir disso, subtraímos o VIX diário, nossa medida de volatilidade implícita, para construir uma série temporal do prêmio de risco de volatilidade. Para identificar os fatores por trás do prêmio de risco de volatilidade como um viés de preço, decompormos isso em magnitude e direção. Encontramos evidências convincentes de que a magnitude do desvio da volatilidade realizada da volatilidade implícita representa desequilíbrios na oferta e na demanda no mercado de hedge do risco de cauda. É difícil aceitar conclusivamente a hipótese de que a direção ou o sinal do prêmio de risco de volatilidade refletem expectativas sobre níveis futuros de volatilidade. No entanto, evidências suportam a hipótese de que o sinal do prêmio de risco de volatilidade é indicativo de ganhos ou perdas em uma carteira delta hedged consistente com Bakshi e Kapadia (2003). Como alguém que veio de um fundo em modelagem financeira, mas desenvolveu uma tendência para a ciência dos dados e análise, vou passar algum tempo no final da minha conversa sobre os meus pensamentos sobre como a ciência dos dados está sendo abraçado (de alguma forma, e evitado Em outros) pela comunidade financeira quantitativa. Michael B. Imerman é Theodore A. Lauer Professor Distinto de Investimentos e Professor Assistente do Departamento de Finanças da Universidade de Lehigh. As nomeações anteriores do Dr. Imermans estavam em Princeton, no Departamento ORFE, e na Rutgers Business School, onde recebeu o Ph. D. Antes de vir para a academia, Imerman trabalhou como analista da Lehman Brothers apoiando o crédito de alto grau e carteiras de negociação de derivativos de crédito. Em Lehigh, Professor Imerman ensina Derivativos e Gestão de Risco, tanto nos níveis de graduação e pós-graduação. Sua principal área de pesquisa é a modelagem de risco de crédito com aplicações bancárias, gerenciamento de risco e regulação financeira. Mais recentemente, ele tem se envolvido ativamente na integração de técnicas de ciência de dados na avaliação de risco no mercado de hipotecas securitizadas. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. O Princípio da Improbabilidade: Por que Ocorrem Coincidências, Milagres e Eventos Raros a Cada Dia Registro de Data e Hora Os swaps de variação ganham prémios de risco variando em função do tempo para sua exposição à variância realizada, ao nível de variação Taxas de swap ea inclinação da curva de swap de variância. Para medir o prêmio de prazo de variância, estimamos um modelo dinâmico de estrutura de termo que os swaps de variação de preços nos EUA, Reino Unido, Europa e Japão. O modelo decompõe a curva de swap de variância em termos de estruturas de prémios de risco e quantidades esperadas de risco. Empiricamente, documentamos uma forte estrutura de fatores nas taxas de swap de variância global e descobrimos que os prémios de longo prazo são negativamente correlacionados com a riqueza do setor intermediário financeiro. Nossos resultados apóiam a hipótese de que os intermediários financeiros são o investidor marginal no mercado de swaps de variância. Erik Vogt é economista financeiro na Função de Mercado de Capitais do Federal Reserve Bank de Nova York. Seus principais interesses de pesquisa estão em preço de ativos, econometria financeira, volatilidade e risco de liquidez e dados de alta freqüência em uma variedade de classes de ativos, incluindo ações, títulos do Tesouro, derivativos e títulos corporativos. Sua pesquisa sobre liquidez de mercado e corretores de bolsa tem recebido cobertura da mídia na Bloomberg, Reuters e Yahoo Finance, entre outros, e também foi citada no depoimento do Senado dos EUA perante o Subcomitê de Valores Mobiliários, Seguros e Investimento e o Subcomitê de Política Econômica , Comissão de Banca, Habitação e Assuntos Urbanos. Erik atua ativamente como um árbitro para vários revistas peer-reviewed, incluindo a Review of Financial Studies, o Journal of Econometrics, o Journal of Empirical Finance, o Journal of Financial Econometrics e Quantitative Finance. Erik juntou o fed de New York em julho 2014 e prende um Ph. D. E M. A. em Economia da Duke University e um B. Sc. Em Matemática e Economia pela London School of Economics. Antes da pós-graduação, trabalhou como economista associado no Federal Reserve Bank de Chicago. Seminários do IAQF-Thalesians A série do seminário de IAQF-Thalesians é um esforço comum por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados com o campo de finanças quantitativas. Este objectivo é conseguido através da realização de seminários onde os principais profissionais e acadêmicos apresentam um novo trabalho, e após os seminários com uma recepção para facilitar a interação e discussão. A série de seminários é limitada apenas aos membros da IAQF e Thalesians. Seminário de Thalesians (Londres) 8212 Nick Baltas 8212 Estratégias de Transporte Multi-Ativo Data e Hora 7:30 p. m. na quarta-feira 28 de setembro de 2016 Quarto Ginger, Hotel Marriott, Canary Wharf, Londres, Reino Unido. As estratégias Meetup Carry foram estudadas e exploradas principalmente nos mercados de câmbio, onde, contrariamente à paridade de taxas de juros descoberta, o endividamento de um país com baixa taxa de juros e o investimento em um país de alta taxa de juros historicamente apresentaram retornos positivos e estatisticamente significativos. Esta apresentação amplia a noção de carry para diferentes classes de ativos, observando os mercados futuros de commodities, índices de ações e títulos públicos. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe. Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph. D from Cornell University in the computer science amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. 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) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. 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 (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs 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 was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, 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 think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. 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 Forums 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. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. 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. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systemat ic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). 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) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), and Currency Management (Risk books). Her new book FX Option Performance was published in May 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board. IAQF-Thalesians Seminar (New York) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - githubthalesianspythalesians Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk. What is cointegration How to test for cointegration What is pairs trading How to find cointegrated pairs How to generate a tradeable signal This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: quantopianlectures. 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). Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth 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 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. 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. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration 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 () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. 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 MampAs, 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 SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp 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 Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp 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 amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. 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 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. 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. Matthews 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 CSMath 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. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration 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. 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) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its 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 Ive 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. 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 AHLs 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) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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. 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 Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA 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 Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors 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) 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) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup 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 well 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) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral 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. 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 fr 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 Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration 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 buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs 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. 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) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking
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