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Incorporation of Text News Analytics in Risk Assessment
February 27, 2019 @ 6:00 pm - 7:00 pm UTC+0
You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Seminars at the Tata Innovation Center at Cornell Tech, Room 131 (ground floor). Through the talks this semester, we are excited to collaborate with Citi in highlighting machine learning applications in finance.
All seminars are from 6:00pm to 7:00pm (link to the video recording will be provided).
Seminars are free. However, registration is required for NYC attendees as seating is limited.
Date: Wednesday, February 27, 2019
Time: 6:00pm – 7:00pm
Speaker: Dan diBartolomeo | Northfield Information Services
Title: “Incorporation of Text News Analytics in Risk Assessment”
Info: Analytical models in finance all share some basic concepts. Financial market participants observe some period of past events they deem relevant, build a statistical model of the observed data, and then make the heroic assumption that events in the future will be like those in the past. While almost every financial institution has extensive risk modeling systems in place (as often mandated by regulators) the Global Financial Crisis has shown that such systems are frequently grossly inadequate. What is missing from nearly all models is an explicit recognition of how the present is different from the past, and therefore how the short term future is also likely to be different from the past. By defining “news” explicitly as the information set that informs us of the differences between past and present, we can condition our estimates of the distribution of future outcomes more robustly. Building upon the methods in diBartolomeo, Mitra, and Mitra (2009), and Kyle, Obizhaeva, Sinha and Tuzun (2012), we have introduced a new approach to using quantified news flows and related sentiment scores in the prediction of asset portfolio risk. This process has been in commercial delivery to institutional investors since December 2017. The process can operate in real time, and addresses tens of thousands of global companies, sovereign issuers and financial institutions (for counterparty risk).
Bio: Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations include IAQF and CQA, and is past president of the Boston Economic Club. His publication record includes thirty books, book chapters and research journal articles. In January of 2018, he became co-editor of the Journal of Asset Management. Dan spent numerous years as a Visiting Professor at Brunel University. In 2010 he was given the “Tech 40” award by Institutional Investor magazine in recognition of his role in the discovery of the Madoff hedge fund fraud. He has also been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.
We hope to see you there!
The Cornell-Citi Team
Directions to CFEM&Citi @CornellTech on Roosevelt Island: Take the Tram or the F train to Roosevelt Island; walk to the left along the East River until you see a glass, modern-looking building, which is the Tata Innovation Center. Once you enter the lobby, Room 131 is located straight ahead.