Featuring Machine Learning experts from Cornell, Citi, and more…

You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Webinars. Through the online talks in Spring 2021, we are excited to collaborate with Citi in highlighting machine learning applications in finance.

All webinars are from 5:00 pm to 6:00 pm EST.

This webinar is free and open to all guests. Registration is required (RSVP). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from
no-reply@zoom.us)

Date: Tuesday, Feb. 16th, 2021
Time: 5:00 pm – 6:00 pm EST
Speaker: Charles-Albert Lehalle | Capital Fund Management
Title: “An Attempt to Understand Natural Language Processing And Illustration On A Financial Dataset”

Abstract

I will present a theoretical analysis of word2vec language models and explain how the resulting understanding can generalize to more nonlinear ones (like BERT).

This analysis relies on trying to exhibit a generative model allowing to explain the asymptotic meaning of the loss functions used by these kinds of models. In particular, it allows to produce synthetic languages having a controlled number of “synonyms” and try to learn them with standard algorithms. I will then show how learning the language of financial news reflects (or not) the celebrated Loughran-McDonald sentiment lexicon. This on-going work is conducted with Mengda Li (ENS Paris Saclay).

Program Agenda:

1) Charles-Albert Lehalle’s Presentation
2) Q&A
3) “Lightning Talk” about NLP featuring CFEM alumna Silvia Ruiz
4) Discussion

Speaker Bio

Currently Head of Data Analytics at Capital Fund Management (CFM, Paris) and visiting researcher at Imperial College (London), Charles-Albert Lehalle studied machine learning for stochastic control during his PhD 20 years ago. He started his career being in charge of AI projects at the Renault research center and moved to the financial industry with the emergence of automated trading in 2005. He became an expert in market microstructure and has been appointed Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank after the crisis. He provided research and expertise on these topics to investors and intermediaries, and is often heard by regulators and policy-makers like the European Commission, the French Senate, the UK Foresight Committee, etc. He chairs the Index Advisory Group of Euronext, is a member of the Scientific Committee of the French regulator (AMF), and has been part of the Consultative Workgroup on Financial Innovation of the European Authority (ESMA).

Moreover, Charles-Albert received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and published more than fifty academic papers and book chapters. He co-authored the book “Market Microstructure in Practice” (World Scientific Publisher, 2nd ed 2018), analyzing the main features of modern markets. He is chairing the “Finance and Insurance Reloaded” transverse research program of the Louis Bachelier Institute; this program explores the influence of new technologies (from blockchain to artificial intelligence) on our industries.

“Lightning Talk” Info: CFEM alumna Silvia Ruiz will discuss her capstone project, which was titled, “How to Predict Stock Movements Using NLP Techniques.” By utilizing NLP techniques, the Cornell CFEM team, sponsored by Rebellion Research, explored whether investing signals can be extracted financial data. The team analyzed 10K and 10Q reports from S&P500 companies using techniques such as FinBERT and word2vec.

Silvia Ruiz (MFE Cornell ’20, BS Mathematics Universidad Del Valle ’17) has experience working as a Data Scientist for Corporación Multi Inversiones and as a Risk Analytics Analyst for Morgan Stanley.

We hope to see you online!

The Cornell-Citi Team

**Please excuse any duplication of this announcement

Upcomng CFEM Events

March 9th, 2021

Speaker: Bruno Dupire (Bloomberg L.P.)

Title of Presentation: Some Applications of Machine Learning in Finance

April 13th, 2021

Speaker: Peter Carr (NYU)

Title of Presentation: Adding Optionality

May 11th, 2021

Speaker: Raja Velu (Syracuse University)

Title of Presentation: TBD