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UBS & CFEM AI, Data & Analytics Speaker Series
November 8, 2022 @ 5:30 pm - 6:30 pm UTC+0
Featuring Machine Learning experts from Cornell, Citi, and more…
You and your colleagues are invited to attend the UBS & CFEM AI, Data & Analytics Speaker Series. UBS Investment Bank is proud to be partnering with Cornell Financial Engineering Manhattan to provide insights directly from practitioners and academics to the next generation of AI, Data & Analytics talent.
All webinars are from 5:30 pm to 6:30 pm ET.
This seminar is free and open to all, but please note that we are restricting the remaining talks to online attendance only. 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, November 8th, 2022 |
| Time | 5:30 pm to 6:30 pm ET |
| Speaker | Dr. Kevin Webster (Imperial College London) |
| Title | Getting more for less – Better A/B testing via Causal Regularization |
Abstract:
Causal regularization solves several practical problems in live trading applications: estimating price impact when alpha is unknown and estimating alpha when price impact is unknown. In addition, causal regularization increases the value of small A/B tests: one draws more robust conclusions from smaller live trading experiments than traditional econometric methods. Requiring less A/B test data, trading teams can run more live trading experiments and improve the performance of more trading algorithms. Using a realistic order simulator, we quantify these benefits for a canonical A/B trading experiment.
Speaker Bio:
Dr. Kevin Webster graduated with a Ph.D. from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, with a significant emphasis on price impact and market making. He previously worked at Deutsche Bank and Citadel and is currently a visiting assistant professor at Imperial College, London.
Dr. Kevin Webster created and taught a course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a visiting lecturer at Princeton in the 2015 school year. His publications include “The self-financing equation in high frequency markets,” “Information and inventories in high frequency trading,” “A portfolio manager’s guidebook to trade execution,” and “High frequency market making.”
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
September 13, 2022
Speaker: Ciamac Moallemi (Columbia)
Title of Presentation: Liquidity Provision and Automated Market Making
September 16, 2022
Future of Finance Conference
October 25, 2022
Speaker: Yuyu Fan (Alliance Bernstein)
Title of Presentation: Leveraging Text Mining to Extract Insights from Earnings Call Transcripts
Upcoming Events
November 29, 2022
Speaker: Chakri Cherukuri (Bloomberg)
Title of Presentation: TBD