Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.

 

The next session will be held on Thursday, April 26th, 2018 at

 

In this session, chaired by Bruno Dupire, Prof. Paul Glasserman will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.

 

Register and secure your spot for the next session of the BBQ Seminar, Thursday, April 26th via the following link:

 

 

 

5:00pm Check-in, Bloomberg, 731 Lexington Avenue, New York, NY 10022

 

Prof. Paul Glasserman

Columbia Business School, New York

 

Recent work has documented roughness in the time series of S&P 500 volatility and investigated its implications for option pricing. We study a strategy for trading stocks based on a measure of their implied roughness.  A strategy that goes long the roughest stocks and short the smoothest stocks earns statistically significant excess annual returns of 6-8%, depending on the time period.  The result is robust to controlling for a broad range of factors, including liquidity. We compare alternative measures of roughness and find that the profitability of the strategy relies on sorting stocks based on implied rather than realized roughness.  We discuss possible explanations. This is joint work with Pu He.

 

Bio:

Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School, and currently serves as chair of the Financial and Business Analytics Center within Columbia University’s Data Science Institute. He is a past recipient of Risk magazine’s Quant of the Year Award and of the INFORMS Lanchester Prize.

 

6:15pm Lightning talks.

A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.