Join us for the Brooklyn Quant Experience (BQE) Lecture Series today, Thursday, May 5th at 6 pm ET on Zoom.
“Simulacrum or Shenanigan: Deep Generative Models and Simulators for Financial Markets”
Derek Snow
Visiting Industry Assistant Professor
Department of Finance and Risk Engineering
NYU Tandon
*Please note a meeting password is required for this event.
Meeting ID: 995 3136 9451
Password: BQEDS55
Abstract
Deep generative models are synthetic data generators that use deep learning algorithms to generate data that preserves the original data’s statistical features while producing entirely new data points. Deep generative models are not dynamic or reactive, whereas other data-generating techniques like multi-agent market simulators are. This presentation will identify the differences between these methods and discuss a new third-way approach that combines deep learning and agent-based models.
Bio
Derek is an assistant professor at NYU and an associate member at Oxford University’s Man Institute of Quantitative Finance and The Alan Turing Institute, the UK’s national institute for Artificial Intelligence. He was previously a visiting Doctoral scholar at the University of Cambridge and NYU’s School of Engineering. He received his Ph.D. and Honours degree with distinction from the University of Auckland, studying topics in Machine Learning for Finance. Derek has worked with some of the world’s largest quantitative research firms, and his software receives thousands of monthly downloads.