Featuring Machine Learning experts from Cornell, Citi, and more…
You and your colleagues are invited to attend the Cornell Financial Data Science Webinars. Through online talks in Spring 2022, we are excited to collaborate with various guest speakers in highlighting machine learning applications in finance.
All webinars are from 5:00 pm to 6:00 pm ET.
This webinar is free and open to all guests. Registration is required (please RSVP here). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from no-reply@zoom.us).
| Date | Tuesday, April 26th, 2022 |
| Time | 5:00pm – 6:00pm ET |
| Speaker | Andreea Minca (Cornell ORIE) |
| Title | Clustering Heterogeneous Financial Networks |
Abstract:
For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm. We test the performance of the algorithm on semi-synthetic heterogenous networks reconstructed to match aggregate data on the Korean financial sector. Our method allows for recovery of sub-sectors with significantly lower error rates compared to existing algorithms. Our second application is to overlapping portfolio networks, for which we uncover a clustering structure.
Speaker Bio:
Andreea Minca is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University. She holds degrees from Sorbonne University (PhD in Applied Mathematics) and Ecole Polytechnique (Diplome de l’Ecole Polytechnique).
In recognition of “her fundamental research contributions to the understanding of financial instability, quantifying and managing systemic risk, and the control of interbank contagion,” Andreea received the 2016 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. This award distinguishes contributions to the mathematical modeling of financial markets and is the highest early-career distinction in the field of financial engineering and mathematics. Andreea is also a recipient of the NSF CAREER Award (2017), a Research Fellow of the Global Association of Risk Professionals (GARP) (2014), and an AXA Research Fund Awardee (2020). She serves on the editorial board of the SIAM Journal on Financial Mathematics.
We hope to see you online!
**Please excuse any duplication of this announcement
If you are interested in our past seminars, you are welcome to subscribe to our YouTube Channel and watch our videos!
Past Events
February 15, 2022
Speaker: Kevin Webster
Title of Presentation: “How Price Impact Distorts Accounting P&L – Revisiting Caccioli, Bouchaud and Farmer’s Impact-Adjusted Valuation”
March 22, 2022
Speaker: Maarten Scholl (Oxford)
Title of Presentation: “Studying Market Ecology Using Agent-Based Models”
Upcoming Events
April 2022
Speaker: Felix Prenzel (Oxford)
Title of Presentation: TBD