Tag Archives: Finance

Seminar

Brooklyn Quant Experience Lecture Series: Ioana Boier

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Brooklyn Quant Experience Lecture Series, NYU Tandon

Ioana Boier, Head of Quantitative Portfolio Solutions at Alphadyne Asset Management will give the following talk on Thursday, May 6th at 9:30 AM EDT. 

Attend Virtually >>

Meeting ID: 963 6903 9340
Password: FREBQEIB

Title

Computer Science for Finance (Beyond Programming)

Bio

Ioana Boier is the Head of Quantitative Portfolio Solutions at Alphadyne Asset Management. Prior to joining Alphadyne in 2019, she held senior quantitative research and management roles at Citadel LLC, BNP Paribas, and the IBM T. J. Watson Research Center. Ioana is the author of multiple peer-reviewed publications, patents, and the recipient of several awards for applied research delivered into products. She has a Ph.D. in Computer Science and M.Sc. degrees in Computer Science and Mathematics.

Seminar

Cornell – Citi Financial Data Science Webinars

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Cornell Engineering. Operations Research and Information Engineering. Financial Engineering Manhattan

You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Webinars. Through the online talks this semester, 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, Nov. 17th, 2020
Time: 5:00 pm – 6:00 pm EST
Speaker: Paul Besson | Euronext
Title: “European Liquidity and Trading Flows During the COVID-19 Crisis: Insights from Euronext Data”

Abstract
Part 1: Liquidity Overview

Part 2: How Orderbooks Reacted to COVID-19

Part 3: How Brokers, Liquidity Providers, and Retail Reacted to COVID-19

Speaker Bio
Paul heads Euronext’s Quantitative Research department. His main area of research is Market Microstructure and Behavioural Finance on Flows Analysis. Prior to this, he held the same position for seven years at Kepler Cheuvreux, the largest independent European broker. Paul has twelve years’ previous experience as a fund manager in quantitative arbitrage, both for hedge funds and long-only funds. Paul regularly presents papers at academic conferences and has authored various publications on Market Microstructure in applied journals.

He has been a lecturer for a number of institutions, and still gives lectures for Paris Dauphine University. Paul graduated from ENSAE Paris.

We hope to see you online!

The Cornell-Citi Team

**Please excuse any duplication of this announcement

Previous CFEM Events

Sep. 1st, 2020
Speaker: Michael Rabadi (Balyasny Asset Management)

Oct. 6th, 2020
Speaker: Rama Cont (Oxford University) and Francesco Capponi (BlackRock)

Seminar

Brooklyn Quant Experience Lecture Series: Marina Di Ciacinto

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Brooklyn Quant Experience Lecture Series, NYU TandonDear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, February 27th at 5 p.m.* in the NYU Tandon MakerSpace at 6 MetroTech Center, 1st Floor in Downtown Brooklyn.

*Please note the time change for this week’s event. The BQE Lecture Series is normally held at 6 p.m. 

Dr. Marina Di Ciacinto will present a talk on the following topic:

Title:

Dynamic Optimal Execution with Inventory Cost

Abstract

We consider the problem of optimal liquidation of a position in a risky security quoted in a financial market, where price evolution is risky and trades have an impact on price as well as uncertainty in filling orders. We generalize the Almgren and Chriss model by adding extra features that model the market maker’s impact on the price by an Ornstein-Uhlenbeck process. During execution, market makers are assumed to mean revert their inventories to a preassigned capacity. The market is populated by a multiplicity of market makers with heterogeneous mean reversion time-scales. The stochastic control problem can be solved by dynamic programming approach. We first solve analytically the related HJB equation finding the value function. Then we apply verification techniques to obtain the optimal allocation strategy in the feedback form and to study its properties. In the limit as the spectrum of market makers’ mean reversion rates approaches a gamma distribution, a volume-weighted average price execution under the resulting model generates a power-law expected execution price path. If time permits, we also discuss the extension of the problem to a trader maximizing a risk-adjusted profit and loss function.

Bio:

Marina Di Giacinto received the Ph.D. degree in Applied Mathematics from Sapienza University of Rome. She is currently a tenured faculty member of the Department of Economics and Law at the University of Cassino. She holds the National Qualification for Associate Professorship since 2018. She has been visiting the Laboratoire CEREMADE at the Université Paris IX Dauphine and the Mathematics Department at Baruch College of The City University of New York. Her research interests include the deterministic and stochastic optimal control theory applied to Economics, Finance and Insurance. Her papers are published in leading peer-reviewed journals like Finance and Stochastics, European Journal of Operational Research, Journal of the Operational Research Society, and Quantitative Finance.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events

Seminar

NYU FRE Lecture Series: David Shimko

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, November 14th in the Event MakerSpace (6 MetroTech Center, Brooklyn, NY) at 6:00 p.m.

Dr. David Shimko will present a talk on the following topic:

Title:

A Structural Model for Capital Market Equilibrium

Bio:

Dr. David Shimko is an Industry full professor in the FRE Department at NYU Tandon. His academic history include posts at HBS, Kellogg (Northwestern), and NYU Courant. He has published extensively in both the academic and trade literature on valuation, derivatives, risk management, commodities and credit. He has worked at JPMorgan in commodity derivatives and credit research, and built Risk Capital, an award-winning independent risk management consulting enterprise. He was Chairman of the Global Association of Risk Professionals and served on private, nonprofit and public boards of directors. Most recently, he founded CreditCircle, an internet startup company focusing on consumer credit.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.

Seminar

NYU FRE Lecture Series: Aparna Gupta

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, November 7th in LC 400, Bern Dibner Library, 4th Floor (5 MetroTech Center), at 6:00PM.

Dr. Aparna Gupta will present a talk on the following topic:

Title:

Identifying the Risk Culture of Banks Using Machine Learning

Abstract:

We introduce text mining and unsupervised machine-learning algorithms to define the risk culture for U.S. bank holding companies and examine the relation between risk culture and performance. Applying principal component analysis on textually extracted features from 10-K filings identifies uncertainty, litigious and constraining sentiments among risk culture features to be significant in defining risk culture of banks. Cluster analysis of these features proposes three distinct risk culture clusters which we label as good, fair and poor. Consistent with regulatory expectations, sound risk culture in banks is characterized by high profitability ratios, bank stability, lower default risk and good governance.

Bio:

Aparna Gupta is an associate professor of quantitative finance and director of the Center for Financial Studies in the Lally School of Management at Rensselaer Polytechnic Institute. She has been the founding director of the MS program in Quantitative Finance and Risk Analytics at RPI, and holds a joint appointment in industrial and systems engineering in the School of Engineering at RPI. Dr. Gupta has been a visiting researcher at US SEC in Washington DC for two years. Her research interest is in financial decision support, risk management, and financial engineering. She applies mathematical modeling, machine learning and financial engineering techniques for risk management both in technology-enabled network services, such as, energy and renewable energy systems, communication systems, and technology-enabled service contracts, as well as risk management in the inter-connected financial institutions and financial markets. She has worked on several US National Science Foundation funded research projects in financial innovations for risk management. Dr. Gupta’s research has been published in top quantitative finance and operations research journals, and has been awarded various recognitions, including 2018 best paper award of the Financial Management Association and 2019 best paper award at the 17th FRAP Conference. She is the author of the book, Risk Management and Simulation. Dr. Gupta is a member of WFA, FMA, INFORMS, GARP and IAQF, and serves on the editorial board of several quantitative finance and analytics journals. She earned her doctorate from Stanford University and her B.Sc. and M.Sc. degrees in Mathematics from the Indian Institute of Technology, Kanpur.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.

Seminar

Cornell – Citi Financial Data Science Seminar

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You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Seminars at the Bloomberg Center at Cornell Tech, Room 061/071. Through the talks this semester, we are excited to collaborate with Citi in highlighting machine learning applications in finance.

2 West Loop Road
New York, NY 10044

All seminars are from 6:10pm to 7:25pm. This seminar will be recorded, and you can watch the livestream.

Seminars are free. However, registration is required for NYC attendees as seating is limited.

 

Date: Tuesday, November 5, 2019
Time: 6:10 pm – 7:25 pm
Speaker: Adam Grealish | Betterment
Title: “An Algorithmic Approach to Personal Investing”

Abstract: In this talk we will explore how technology can be used to improve investor outcomes. Technology and automation can play a significant role in solving traditional asset management problems, such as risk management and rebalancing. Additionally, taxable investing offers a number of opportunities to generate outperformance after tax, not considered in the management of pre-tax portfolios. We will explore various strategies for tax efficient portfolio management, how they can be formulated as mathematical problems and how they can be efficiently implemented in algorithmic frameworks. We will also explore how technology and design can improve investor behavior.  

Speaker Bio

Adam Grealish is the Director of Investing at Betterment, the largest independent online financial advisor with over $15 billion in AUM. Adam and his team are responsible for Betterment’s strategic asset allocation, fund selection, automated portfolio management and tax strategies. Before joining Betterment, Adam founded a natural language processing startup that matched individuals with employment opportunities. Prior to that, he was a vice president at Goldman Sachs’ FICC division, responsible for structured corporate credit and macro credit trading. Earlier in his career, Adam was part of the global quantitative equity portfolio management team at New York Life Investments.

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 modern, bronze building, which is the Bloomberg Center. Check in at the front desk and go downstairs to the basement, where Room 061/071 will be straight ahead on your left.

**Please excuse any duplication of this announcement

Past CFEM Events

September 24, 2019
Speaker: Dr. Miquel Noguer I Alonso I Artificial Intelligence Finance Institute
Title: “Latest Developments in Deep Learning in Finance”

October 8, 2019
Speaker: Puneet Singhvi I Citi
Title: “What’s Happening in Blockchain in Financial Markets?”

Upcoming CFEM Events

November 12, 2019
Quant Finance Forum
Title: “Big Data and Big Responsibility: The New Frontier of ESG”

Seminar

NYU FRE Lecture Series: Pasquale Cirillo

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, October 31st, 6 MetroTech Center),at 6:00PM.

Dr. Pasquale Cirillo will present a talk on the following topic:

Title:

The Distortions of Finance

Abstract:

Finance is a world of distortions. Many tools we use, many findings we know are actually the result of a distortion. Take the well-known Black-Scholes model: the probability to be in the money at maturity under P and Q is a distortion. And the price of a European call? Another distortion. Consider risk management, think about the expected shortfall, and—guess what—a distortion. And if you think that copulas are immune, you are wrong, plenty of distortions there. Model risk is often represented in terms of distortions. So, let’s talk about distortions, and in particular about the special class of Lorenz transforms.

Bio:

Pasquale Cirillo is associate professor of applied probability at Delft University of Technology, The Netherlands, where he also coordinates the Financial Engineering Specialization of the Master in Applied Mathematics. His research interests include quantitative risk management (in particular credit and operational risk), extreme value theory and combinatorial stochastic processes. Besides the academic career, as a statistical consultant, he has collaborated with international institutions, like the World Bank and the European Food Safety Authority, and many private companies and banks.
His MOOCs in risk management have been attended by more than 110’000 students from all over the world. He is a proud amateur cook.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.

Seminar

NYU Courant: Mathematical Finance Seminar

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The mathematical finance seminar covers a broad range of topics in mathematical and quantitative finance, including:

  • Data science and machine learning in finance
  • Big data and econometric techniques
  • Quantitative finance
  • Portfolio and risk management
  • Pricing and risk models
  • Regulation and regulatory models
  • Trading strategies and back testing

Presenters include invited visitors and NYU Courant faculty. A seminar presentation often covers original research. The seminar meets monthly on Tuesdays at 5:30 pm to 7 pm in room 1302 of Warren Weaver Hall at 251 Mercer Street, unless specified otherwise. Please make sure to check the exact schedule and room assignment. Talks generally last an hour, followed by networking.

Seminars are open to the public.

The seminar coordinator is Petter Kolm (email: petter DOT kolm AT nyu DOT edu).

Seminar Organizer(s): Petter Kolm

Tuesday, October 22, 2019
5:30PM, Warren Weaver Hall 1302
Increasing After-tax Returns in Wealth Management – Tax Optimization
Eric Bronnenkant, Head of Tax, Betterment

Seminar

NYU FRE Lecture Series: Nassim Nicholas Taleb

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NYU Tandon School of Engineering

Dear All,

You are cordially invited to attend the FRE Lecture Series on Thursday, October 24th in the Pfizer Auditorium  on the 1st Floor of the Dibner Library (5 MetroTech Center) at 6:30PM.

Dr. Nassim N. Taleb will present a talk on the following topic:

Title:

The Statistical Consequences of Fat Tails

Abstract:

While everyone seems to be aware of Fat Tailedness, little has been done to take them into account in statistical inference, particularly where it cancels current methods in use. Modern Portfolio Theory, for instance, becomes merely a rent seeking academic exercise. We present the contradictions with conventional tools used in statistics and risk management and propose solutions. The discussion is presented in a book found at: https://www.academia.edu/37221402/STATISTICAL_CONSEQUENCES_OF_FAT_TAILS_TECHNICAL_INCERTO_COLLECTION_

Bio:

Nassim Nicholas Taleb was an options trader for 23 years before starting a career as a researcher dealing with mathematical, philosophical, and, mostly, practical problems with probability. He is currently the Distinguished Professor of Risk Engineering at NYU’s Tandon School of Engineering.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.

Seminar

October 8, 2019: Cornell-Citi Financial Data Science Seminars

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

***For those of you who missed Tuesday night’s seminar and wish to see Dr. Miquel Noguer i Alonso’s presentation, the recording is now available.

You and your colleagues are invited to attend the Cornell – Citi Financial Data Science Seminars at the Bloomberg Center at Cornell Tech, Room 061/071. Through the talks this semester, we are excited to collaborate with Citi in highlighting machine learning applications in finance.

2 West Loop Road
New York, NY 10044

All seminars are from 6:10 pm to 7:25 pm. This seminar will NOT be recorded.

Seminars are free. However, registration is required for NYC attendees as seating is limited.

 

Date: Tuesday, October 8, 2019
Time: 6:10pm – 7:25pm
Speaker: Puneet Singhvi | Citi
Title: “What’s Happening with Blockchain in Financial Markets?”

Abstract

Over the past few years, the financial industry has been actively exploring blockchain and distributed ledger technology (DLT) to assess their impact in various use-cases, identify benefits, and separate the hype from reality. Citi has been an active participant and strategic investor in blockchain initiatives across the ecosystem for nearly 5 years now.

In this presentation, we will discuss real use-cases in active implementation across the financial ecosystem and review key drivers for adoption. These emerging use-cases span product lines and geographies – from the digitization of post-trade activities to transformed market exchanges, and from digitized securities to cash-on-chain models, from collateral mobility to trade finance – across North America, Europe, and Asia. We will discuss areas with tangible benefits, and what have been learnings from failed initiatives. We will also review key emerging issues with the technology and potential areas of opportunity going forward.

Speaker Bio

Puneet is Managing Director and Financial Markets Infrastructure (FMI) head for Citi Institutional Client Group. He is responsible for relationship and key initiatives with FMIs such as Exchanges, Payment Systems, Clearing Houses, and Settlement venues. He also leads Blockchain/DLT and Digital Assets initiatives for the Markets and Securities Services business working actively with FMIs, FinTechs and institutional clients on identifying and delivering solutions.

Puneet has worked at Citi across the developed and emerging markets in various management roles within Citi Markets & Securities Services and Citi Trade & Transaction Services businesses. His roles included leading Citi Global Clearing Payments Product, Citi Foreign Exchange & Derivative Clearing Product Management, Trade Finance and Asset Backed Finance.

He has a Bachelor’s degree in Electronics and Communications Engineering and has completed his post-graduation in management from the Indian Institute of Management.

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 modern, bronze building, which is the Bloomberg Center. Check in at the front desk and go downstairs to the basement, where Room 061/071 will be straight ahead on your left.

**Please excuse any duplication of this announcement

Past CFEM Events

September 24, 2019
Speaker: Dr. Miquel Noguer I Alonso I Artificial Intelligence Finance Institute

Title: “Latest Developments in Deep Learning in Finance”

November 5, 2019
Speaker: Adam Grealish (Betterment)
Title: TBD

November 12, 2019
Quant Finance Forum