Alternativer Trading Meetup

wiki Hvordan finne de beste dagene i tradingvalg Les økonomiske nyheter hver dag. Hvis du holder deg på forretningsrapporteringen, får du informasjon om bestemte selskaper du kan bruke i løpet av handelssessene. Din handelsplattform vil sannsynligvis gi nyhetsrapporter, eller du kan sjekke nettsteder som CNBC, MotleyFool og TheStreet for mer informasjon. Spesielt holde øye med følgende: Inntektsrapporter - spesielt for selskaper som slår eller savner forventningene til Wall Street-analytikere. Nye utviklinger - en aksjeselskapsbeholdning kan bevege seg på forventet fremtidig inntekt fra en kommende produktutgivelse eller rykter om at konsernsjefen skal avfyres. Innkjøp kjøp og salg - hvis ledere kjøper eller selger selskapets aksje, som kan flytte prisen. Se på finansielle nyheter på TV. Hvis du handler hjemmefra, bør du ha en økonomisk nyhetskanal på så mye som mulig. Du får oppdatert informasjon om hva som beveger markedene og mottar også tips om aksjer som kan være klar for en betydelig prisendring. 1 Bla gjennom ikke-finansielle nyheter. Det er mulig at noen nyheter med mulige forringer på selskapets aksjekurs ikke har jobbet seg inn i de finansielle nyhetsrapporterne. Du kan få hoppet på andre investorer ved å være oppmerksom på alle nyhetskilder. Hvis et filmproduksjonsfirma faller hint om at det kan produsere en oppfølger til en veldig populær film, kan dette flytte selskapets aksjekurs. Hvis noen tragedier eller kriminalitet oppstår i en butikk eid av et selskap som er omsettet, vil det noen ganger føre til at aksjen faller midlertidig. En av de viktigste skrittene å ta for å finne toppdagens handel, er å holde følge med daglig handelsnyheter. Du kan lese daglige økonomiske rapporter som er oppført i de fleste nasjonale aviser, for eksempel Wall Street Journal, New York Times og USA. I dag. Du kan også lære om internasjonale aksjer når du søker utenlandske aviser. Ikke bare det, men alle disse store avisene er tilgjengelige online. Hvordan velge aksjer Hvordan kjøpe aksjer Hvordan investere i aksjer Hvordan bli rik Hvordan forstå binære alternativer Hvordan investere små mengder penger klokt Hvordan handle Forex Hvordan tjene masse penger i Online Stock Trading Slik beregner du utbytteExaminers8217 Tilbakemeldinger Vennligst kjøp gjennom våre boklinker nedenfor. Amazon gir oss en liten prosentandel som er meget stor, men bidrar til å holde kostnadene nede og holde Bradford VTS fri for deg. Amazon. no Widgets Hvis du har dårlig konsultasjon, er det lite sannsynlig at du skal passere CSA. Derfor er det viktig å ha en slags konsultasjonsramme (selv om hvilket rammeverk du velger å bruke fra variasjonen der ute, er mindre viktig). Prøv å jobbe med disse så snart du begynner å lage en GP-post (enten i ST1 eller ST2) og fortsett å revidere og bygge videre på i ST3. Se på boklinkene ovenfor for noen fabelaktige som vil hjelpe deg med å bygge på dine kommunikasjons - og konsultasjonsferdigheter. Først av alt, forstå hva CSA handler om 8211 hvordan det fungerer og hva det prøver å teste. Mye av denne informasjonen er tilgjengelig på denne nettsiden. Mer informasjon er tilgjengelig på RCGP CSA-sidene. Lag en CSA-studiegruppe tidlig med noen av dine kolleger. Omtrent 6-8 medlemmer per gruppe handler om riktig. Prøv å få et mangfoldig medlemskap slik at ulike medlemmer kan gi unike og forskjellige perspektiver på ting. Noen av dere vil kanskje gjøre mer øvelse i par. Hvis det ikke er tilfelle, holder du bare til å gi direkte tilbakemelding til hverandre etter å ha utført en sak. Du har alle videokameraer 8211 lengre ved å videoere ytelsen din og vurdere den sammen. Vi kan ofte se hvordan vi virkelig utfører når vi er i ferd med å utføre, og våre minner er ofte upålitelige også. Kandidater som har sin primære medisinske kvalifikasjon i utlandet (dvs. internasjonale medisinske kandidater) 8211 VENNLIGST danner ikke en CSA-gruppe som er full av andre internasjonale medisinske kandidater. Du må blande inn med de som har uteksaminert fra Storbritannia for å utvide sitt kulturelle perspektiv på bestemte saker. At du ikke kan si at du kan få andre internasjonale medisinske kandidater i gruppen din, alt vi sier er å sørge for at det er en balansert blanding av forskjellige personer i gruppen din. Noen internasjonale medisinske kandidater kan ofte få det fast i hodene deres, hva de tror vil få dem gjennom eksamen 8211, og ofte er disse begrepene helt feil. Men det som er verre er når de sender det samme rådet til sine kolleger. Men hvis du var en del av en mangfoldig gruppe, så kan du sjekke disse begrepene. Vårt treningsprogram (og de fleste andre ordninger) vil skape mocke CSAs to ganger i året for å hjelpe deg med å trene og hjelpe deg å bli kjent med det som forventes. Du må benytte deg av denne muligheten. There8217s en DVD ut av RCGP kalt: En veiledning til klinisk ferdighetsvurdering (CSA). For alle leger som underviser eller forbereder den nye kliniske ferdighetsvurderingen (CSA) av MRCGP. Det koster rundt 20. Gå til deres hjemmeside for å kjøpe det: rcgp. org. acatalog Practice CSA scenarier: det er mange bøker rundt (se på vår Amazon-link ovenfor) og mange fritt tilgjengelige på nettet. There8217s massevis av praksis CSA scenarier fra Pennine Scheme (klikk her). Dette er de tre områdene du vil bli testet på: I Data Gathering. de tester kommunikasjonsferdigheter, så vel som kliniske ferdigheter som klinisk undersøkelse rundt 3 stasjoner vil innebære klinisk undersøkelse. Klinisk ledelse omfatter syntese, diagnose, forståelse av sammorbiditet, fleksibilitet og delingsstyringsalternativer hos pasienten. Interpersonelle ferdigheter inkluderer, kommunikasjon, respekt for andre, profesjonalitet og andre atferdsindikatorer. Og til slutt, alltid sikkerhetsnett (spør treneren din hvis du ikke vet hva dette betyr). Noen tilfeller krever undersøkelse: Ta med deg normal medisinsk veskeforsterker med deg It8217s et velkjent faktum at medisinske kandidater som er kvalifisert utenfor Storbritannia, har høyere svikt i CSA enn de som er født her. Dette er overraskende fordi i tillegg til kliniske ferdigheter tester eksamenen også kommunikasjon og mellommenneskelige ferdigheter. Dette betyr at når du konsulterer med pasienter i Storbritannia, må du forstå hva de sier i sammenheng med britisk kultur. Det betyr også å ha en god forståelse for hvordan hverdagen snakkes engelsk språk fungerer. Hvis du er en internasjonal medisinsk kandidat (IMG), er det svært sannsynlig at du har en dyp forståelse av samfunnsvaner, kultur og nyanser i språket i landet du vokste opp i 8211 mer enn noen kandidat fra Storbritannia kunne forstå. På samme måte er en britisk kandidat mer sannsynlig å forstå britisk kultur og de subtile forskjellene på engelskspråk bedre enn de fleste IMGer. Dette betyr at en britisk kandidat er mer sannsynlig å hente viktige ting som pasienten gir under en konsultasjon enn en IMG. Derfor, hvis du vil øke sjansene for å passere, får CSA 8211 vite noen britiske fødte praktikanter og praktiserer saker med dem. Tips for å hjelpe deg med å bli kjent med britisk kultur og hver dag snakkes engelsk8230 Prøv å se britiskbasert TV 8211 spesielt såper. I britiske såper vil skuespillere bruke colloquialism, slang og annen terminologi og fraser som du ikke har blitt undervist på skolen. Dette er viktig fordi pasienter snakker i hverdags engelsk og ikke lærebok engelsk. Prøv å bli med en slags gruppe i Storbritannia. For eksempel, hvis du er en ny mamma, hvorfor ikke bli med din lokale nye mums8217 gruppe (gjør et søk på nettet). Bland med folk som er født i dette landet, snakk med dem og begynn å bli kjent med talt hverdags engelsk. Det finnes mange forskjellige typer grupper i Storbritannia. Hvis du prøver å miste vekt, bør du vurdere Slimming World eller Weight Watchers 8211, ikke bare for å hjelpe deg med å miste vekten, men for å få deg til å snakke med andre. En god app for å møte opp i grupper er MeetUp. møte hvilke h elps grupper av mennesker med felles interesser planlegger møter og danner offline klubber i lokalsamfunn over hele verden. Et annet flott nettsted er StreetBank: Streetbank legger deg i kontakt med samfunnet ditt, bringer nabobyggene nærmere og gjør verden litt bedre. streetbank. Begynn å gjøre denne typen ting rett fra ST1 8211 don8217t vente til ST3 fordi det blir for sent da kan du ikke gjøre et kurs i britisk kultur og engelske uttrykk i stedet, det er en lang, men jevn reise. Tips med å forberede seg til CSA Når du danner CSA studiegrupper 8211, bli med en studiegruppe med en blanding av praktikanter (dvs. noen av dem er født i Storbritannia og noen i utlandet). Vennligst ikke utgjør en studiegruppe rent med andre IMG 8211 fordi du må forstå de kulturelle normer i Storbritannia og meningen med bestemt uttrykk 8211 En annen IMG8217s tolkning av dette kan ikke nødvendigvis reflektere virkeligheten eller sannheten Hvis du har mislyktes CSA, IKKE danner en studiegruppe som bare består av andre8217-er som har mislyktes CSA. Hvordan vil du passere hvis ingen i gruppen din på en pålitelig måte kan gi deg råd til å gå forbi hvis de ikke har passert seg selv. Dette er farlig territorium 8211 holde seg borte. Den eneste måten dette vil fungere på, er hvis du får en ekspertleder for å hjelpe gruppen din (det vil si noen som virkelig forstår CSA 8211 som en CSA-eksaminator, en lektor eller en kollega som har bestått med flygende farger). Hvis en gruppe av deg kan få en god tilrettelegger 8211, sørg for at gruppen din har et mangfoldig utvalg av mennesker (det vil si at noen britiske fødte praktikanter skal veilede deg). Ikke sliter med å forberede CSA til deg selv. Det er så mange aspekter til hvert klinisk tilfelle 8211, og you8217ll blir naturlig oppmerksom på disse hvis du begynner å utforske CSA-tilfeller med en gruppe andre. Men hvis du gjør alt ved deg selv eller med bare en annen kollega, er det sannsynlig at du vil utvikle et spor med en spor som er mer sannsynlig å føre til feil. Bryte dårlige nyheter Motivasjonsintervjuer Proxy konsultasjoner Fortrolighet Aggressive pasienter Manipulerende pasienter Forhandling Pasienter som ber om en test Pasienter som vil ha antibiotika Ikke-kompatible pasienter Somatiserende pasienter Felles smerter Ikke-spesifikk abdo smerte Ryggsmerter Diaré Dyspareuni Trøtt hele tiden Cystitis Forholdsoppbrudd Anksyptypaniske anfall Recidiverende sår hals Ikke-spesifikk brystsmerteThe Thalesians Bilder fra Thalesians hendelser fra hele verden de siste 6 årene Thalesians er en tenktank av dedikerte fagfolk med interesse for kvantitativ økonomi, økonomi, matematikk, fysikk og datavitenskap, ikke nødvendigvis i den rekkefølge . Blogg Se vår nye Thalesians bloggbok Kjøp vår nye bok. Trading Thalesians - Hva den gamle verden kan lære oss om handel i dag (Palgrave Macmillan) av Thalesians medstifter, Saeed Amen amp foreword av grunnlegger, Paul Bilokon Founding Gruppen ble grunnlagt i september 2008 av Paul Bilokon (så en kvantitativ analytiker hos Lehman Brothers med spesialisering på utenlandsk valuta og en deltidforsker ved Imperial College) og to av hans venner og kolleger: Matthew Dixon (så en kvantitativ analytiker hos Deutsche Bank) og Saeed Amen (en kvantitativ strateg ved Lehman Brothers) . Åpningen av Level39 i 2013 av borgmester Boris Johnson Thalesians er nå også medlem av Level39 - Europas største teknologiske akselerator for finans, detaljhandel, cybersikkerhet og fremtidige byer teknologibedrifter Hendelser Forskningsrådgivningsarrangementer Thalesians ble opprinnelig basert i London, Storbritannia . I januar 2011 ble organisasjonen virkelig global da Matthew Dixon tok det til USA hvor han driver Thalesians NYC-seminarer med New York-leder Harvey Stein. Attila Agod er Budapest leder for våre Thalesians Budapest seminarer. Vi er for tiden i ferd med å utvide våre seminarer til Praha og kjøre flere workshops. Forskning I slutten av 2013 begynte vi å publisere banebrydende kvantstrategidokumenter. Vår innsats er ledet av Saeed Amen, med nesten et tiår med erfaring, både å skape og senere handle systematiske handelsmodeller i FX hos store investeringsbanker. Besøk Research for more. Rådgivning I 2014 begynte vi å tilby kundetilpassede kvantrådgivningstjenester på markeder, registrere vår første klient, et stort amerikansk hedgefond og RavenPack, en stor nyhetsdatabutiker. Våre tjenester inkluderer opprettelsen av skreddersydde systematiske handelsmodeller og annen kvantanalyse av finansmarkeder, som valutasikring og FX-transaksjonskostnadsanalyse (TCA). Besøk Consulting for mer. Vår filosofi Vi er oppkalt etter Thales of Miletus (), en pre-sosokratisk gresk filosof som bodde i ca. 624 f. Kr.-ca. 546 f. Kr. Thales var matematiker og er kjent for mange videregående studenter for en av sine teorier i geometri. Men mer relevant for oss var han en av de første brukerne av alternativer: Thales, slik historien går, på grunn av sin fattigdom ble trosset av ubrukelig filosofi, men fra hans kunnskap om astronomi hadde han observert mens det fortsatt var vinter at det skulle bli en stor olivenolje, så han hevet en liten sum penger og betalte rundt innskudd for hele olivenpressene i Miletus og Chios, som han hyret til en lav leie da ingen løp ham opp og da sesongen ankom, var det en plutselig etterspørsel etter flere presser samtidig, og ved å la dem ut på hvilke vilkår han likte, realiserte han en stor sum penger, noe som viste at det er lett for filosofer å være rike hvis de velg, men dette er ikke hva de bryr seg om. Aristoteles, Politikk, 1259a. Moralen til denne anekdoten er at det er lett for filosofer å være rike hvis de velger den berømte Milesian, gikk videre og bevist det. Vi, Thalesians. beundre ham for det. Men vi deler også mange av hans verdier, for eksempel hans kjerne tro på at en lykkelig mann er definert som en,, (som er sunn i kroppen, ressursfull i sjel og lett lærbar natur). Denne wikien ble opprettet for å tjene som en kilde til informasjon om kvantitativ finans, for å samle referanser til ulike relaterte ressurser, og å tjene som et konvergenspunkt for Thalesians. våre kolleger og samarbeidspartnere. Det vokste ut av Paul Bilokons finanswiki, som han startet i februar 2007. Vi tror at hemmelighold og troskap er viktig i finansverdenen. Men vi anerkjenner også kraften i informasjonsdeling i åpne samfunn. La bedriftenes logikk forbli en nøye bevoktet hemmelighet. Men slipp alt annet inn i det offentlige området. Det som går rundt, kommer rundt dette vil til slutt spare deg for å gjenoppfinne hjulet. Flere av våre høyttalere på Thalesians arrangementer de siste 6 årene Kommende arrangementer ons 22. februar: Saeed Amen ons 29. mars TBD ons 26. april TBD ons 24. mai TBD Thalesians seminar (London) 8212 Saeed Amen 8212 Bruke Python å analysere finansmarkeder Registrering En populær tilnærming til modellbegrensning ordrebokdynamikk av det beste budet og spør på nivå 1 er å bruke reduserte form diffusjonsimodeller. Det er velkjent at den største bidragende faktoren til prisbevegelsen er ubalansen til det beste budet og spørsmålet. Vi undersøker dataene i nivå-1 grenseordbøker av en kurv av aksjer og studerer tallverdier for drift, korrelasjon, volatilitet og deres avhengighet av ubalansen. Basert på de numeriske funnene utvikler vi en ikke-parametrisk diskret modell for dynamikken til det beste bud og spør. Denne modellen kan tilnærmet seg med en redusert formmodell med analytisk trekkbarhet som kan passe til de empiriske dataene om korrelasjon, volatilitet og sannsynlighet for prisbevegelse samtidig. (Samarbeid med Tzu-Wei Yang) Lingjiong Zhu vokste opp i Shanghai og gikk for å studere i England, hvor han fikk BA fra University of Cambridge i 2008. Han flyttet deretter til USA og fikk doktorgrad fra New York University i 2013. Etter en stint på Morgan Stanley, gikk han på jobb ved University of Minnesota som Dunham Jackson Assistent Professor før han begynte på fakultetet ved Florida State University som assisterende professor i 2015. På fritiden liker han å lese, reise og gå til kunstutstillinger, museer og klassisk musikk konserter. IAQF-Thalesians Seminarer IAQF-Thalesians Seminar Series er en felles innsats fra IAQF (tidligere IAFE) og Thalesians. Målet med serien er å gi et forum for utveksling av nye ideer og resultater relatert til feltet kvantitativ finans. Dette målet er oppnådd ved hosting seminarer hvor ledende utøvere og akademikere presenterer nytt arbeid, og følger seminarene med en mottak for å lette videre samhandling og diskusjon. Seminar serien er bare begrenset til IAQF og Thalesians medlemmer. IAQF-Thalesians Seminar (New York) 8212 Dr. Sebastian Jaimungal 8212 Handelsalgoritmer med læring i latente alfamodeller Mandag 15. mai 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Alpha signaler for statistiske arbitrage strategier blir ofte drevet av latente faktorer. Dette papiret analyserer hvordan man optimaliserer handel med latente faktorer som fører til at prisene hopper og diffunderer. Videre tar vi hensyn til effekten av handelshandlingene på noterte priser og prisene de mottar fra handel. Under ganske generelle forutsetninger demonstrerer vi hvordan handelsmannen kan lære den bakre fordelingen over latente stater, og eksplisitt løse det latente optimale handelsproblemet i en online-mote. Videre utvikler vi en forward-backward-algoritme basert på forventningsmaksimering for å kalibrere en renhoppmodell til historiske data, illustrere effekten av den optimale strategien gjennom simuleringer, og sammenligne med strategier som ignorerer læring i latente faktorer. (Samarbeid med Philippe Casgrain, U. Toronto) Dr. Sebastian Jaimungal er en full professor ved Institutt for statistiske fag ved Universitetet i Toronto, hvor han er direktør for Masters of Financial Insurance-programmet, underviser i Mastergradene i matematisk Finansprogram, og PhD-programmet. Sebastian er den nåværende lederen (og tidligere Vice Chair Program Director) for SIAM Financial Mathematics and Engineering (SIAGFMampE), han er medforfatter av boken med tittelen High Frequency and Algorithmic Trading publisert av Cambridge University Press (2015) og handler på redaksjonen for en rekke faglige og industrielle tidsskrifter, inkludert: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High Frequency. Journal of Risks and Argo. Sebastian er også et styremedlem i Commodities and Energy Markets Association. IAQF-Thalesians Seminarer IAQF-Thalesians Seminar Series er en felles innsats fra IAQF (tidligere IAFE) og Thalesians. Målet med serien er å gi et forum for utveksling av nye ideer og resultater relatert til feltet kvantitativ finans. Dette målet er oppnådd ved hosting seminarer hvor ledende utøvere og akademikere presenterer nytt arbeid, og følger seminarene med en mottak for å lette videre samhandling og diskusjon. Seminar serien er bare begrenset til IAQF og Thalesians medlemmer. Nylige hendelser IAQF-Thalesians Seminar (New York) 8212 Dr. Alan Moreira 8212 Volatilitet Administrerte porteføljer Onsdag 15. februar 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Administrerte porteføljer som tar mindre risiko når volatiliteten er høy produserer store alfaer, øker Sharpe-tallene, og produserer store verktøygevinster for gjennomsnittlige varians investorer. Vi dokumenterer dette for markedet, verdi, momentum, lønnsomhet, avkastning på egenkapital og investeringsfaktorer, samt valutabærhandel. Volatilitetstidspunktet øker Sharpe-forholdene fordi endringer i volatilitet ikke kompenseres av proporsjonale endringer i forventet avkastning. Vår strategi er i strid med konvensjonell visdom fordi den tar relativt mindre risiko i tilbakeslag, men fremdeles tjener høy gjennomsnittlig avkastning. Dette regulerer typiske risikobaserte forklaringer og er en utfordring for strukturelle modeller av tidsvarierende forventet avkastning. Alan Moreira er assisterende professor i økonomi ved Yale University School of Management. Opprinnelig fra Rio de Janeiro, Brasil, mottok han sin lavere grad fra Rio de Janeiro Federal University (UFRJ) og sin PhD i finansiell økonomi fra University of Chicago. Dr. Moreiras forskning undersøker hvordan finansiell formidling former realøkonomien og årsakene til og konsekvensene av svingninger i usikkerhet. Hans forskning har blitt publisert i de øverste tidsskriftene, inkludert Journal of Financial Economics og Journal of Finance. I tillegg til å undervise Risikostyring i MBA-programmet på Yale School of Management, driller Dr. Moreira Asset Pricing på PhD-nivå. På fritiden nyter han sykling, reiser og henger ut familien. Alan Moreira, assisterende professor i økonomi, Yale School of Management 1 IAQF-Thalesians Seminarer IAQF-Thalesians Seminar Series er en felles innsats fra IAQF (tidligere IAFE) og Thalesians. Målet med serien er å gi et forum for utveksling av nye ideer og resultater relatert til feltet kvantitativ finans. Dette målet er oppnådd ved hosting seminarer hvor ledende utøvere og akademikere presenterer nytt arbeid, og følger seminarene med en mottak for å lette videre samhandling og diskusjon. Seminar serien er bare begrenset til IAQF og Thalesians medlemmer. Thalesians Seminar (London) 8212 Oskar Mencer 8212 Multiscale Dataflow Risk Computations på Hybrid Cloud Dato og Klokkeslett 7:30 p. m. onsdag 25. januar 2017 Registrering Øyeblikkelig volatilitet av logaritmisk retur i lognormal fraksjonal SABR-modell er drevet av eksponering av en korrelert brøkisk brune bevegelse. På grunn av den blandede naturen til å drive brune og brøkiske brune motioner, er sannsynlighetstettheten for slike modeller mindre kjent i litteraturen. Vi presenterer i denne snakk en brorepresentasjon for den felles tettheten av den lognormale fraksjonelle SABR-modellen i et Fourier-rom. Evaluering av brorepresentasjonen langs en riktig valgt deterministisk vei gir en Edgeworth-form for utvidelse av sannsynlighetstettheten for den fraksjonelle SABR-modellen. En direkte generalisering av representasjonen til felles tetthet ved flere ganger fører til en heuristisk avledning av det store avviksprinsippet for felles tetthet på kort tid. Tilnærming av underforstått volatilitet er lett oppnådd ved å anvende Laplace asymptotisk formel til anrops - eller putepriser og sammenligne koeffisienter. Presentasjonen er basert på et fellesarbeid med Jiro Akahori og Xiaoming Song. Tai-Ho Wang har professor i matematikk ved Baruch College, City University i New York siden 2012. Hans forskning i kvantitativ finans inkluderer implisitt volatilitet asymptotikk i liten tid, statiske arbitragefrie grenser på kurvopsjoner, optimal likvidasjon og utførelse i markedsvirkningsmodeller , og nylig informasjonsdynamikk i finansmarkedet. IAQF-Thalesians Seminarer IAQF-Thalesians Seminar Series er en felles innsats fra IAQF (tidligere IAFE) og Thalesians. Målet med serien er å gi et forum for utveksling av nye ideer og resultater relatert til feltet kvantitativ finans. Dette målet er oppnådd ved hosting seminarer hvor ledende utøvere og akademikere presenterer nytt arbeid, og følger seminarene med en mottak for å lette videre samhandling og diskusjon. Seminar serien er bare begrenset til IAQF og Thalesians medlemmer. IAQF-Thalesians Seminar (New York) 8212 Dr. Hongzhong Zhang 8212 Intradag Market Making med Overnattingskostnader Torsdag 14. desember 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Andelen markedsføringer gjennomført av høyfrekvent trading (HFT) bedrifter har steget jevnt. Et kjennetegn ved HFT er at de handler intradag, slutter dagen flat. For å kaste lys over HFTs økonomi, og i avvik fra eksisterende markedsprosesser, modellerer vi en HFT som har tilgang til ubegrenset løftestang intradag, men må finansiere en hvilken som helst utgående varebeholdning til en eksogent bestemt kostnad. Selv om varekostnadene bare oppstår på slutten av dagen, påvirker de intradagens pris - og likviditetsdynamikk. Dette gir opphav til en intradag-endogen prispåvirkningsmekanisme. Etter hvert som tiden nærmer seg slutten av handelsdagen, øker følsomheten til prisene til lagernivåene, noe som gjør prispåvirkningen sterkere og utvider budspørsmålene. Videre kan ubalanse av kjøp og salg ordre katalysere turer og prisfall, selv under faste tilbud og etterspørselsfunksjoner. Empirisk viser vi at disse spådommene er uttalt i det amerikanske finansmarkedet, hvor budspørsmål og prispåvirkning har en tendens til å stige mot slutten av dagen. Videre er prisbevegelsene negativt korrelert med endringer i lagernivå målt som kumulert netto handelsvolum. (Samarbeid med Tobias Adrian, Agostino Capponi og Erik Vogt) Hongzhong Zhang er assisterende professor ved Columbia University. Hans forskning fokuserer på det brede området med anvendt sannsynlighet med søknader innen engineering, finans og forsikring. Spesielt inkluderer noen av hans nåværende forskningsinteresser asymptotikk, drawdowns, optimal stopp, og deteksjon av regimeendringer. IAQF-Thalesians Seminarer IAQF-Thalesians Seminar Series er en felles innsats fra IAQF (tidligere IAFE) og Thalesians. Målet med serien er å gi et forum for utveksling av nye ideer og resultater relatert til feltet kvantitativ finans. Dette målet er oppnådd ved hosting seminarer hvor ledende utøvere og akademikere presenterer nytt arbeid, og følger seminarene med en mottak for å lette videre samhandling og diskusjon. Seminar serien er bare begrenset til IAQF og Thalesians medlemmer. Thalesians Xmas Party (London) 8212 Iain Clark 8212 Implicerte Fordeler fra FX Risiko-tilbakekallelser og Forutsigelser for effekten av Brexit Stemmen og Trumpvalget Vi ønsker å invitere deg til vårt Thalesians Christmas-seminar i London, hvor Iain Clark skal presentere Dette vil bli fulgt av vår julefest på GampTea Bar på Marriott Hotel, Canary Wharf, hvor vi serverer drinker og canapes. Billettprisen inkluderer både snakk og fester (første drinker). Canape-valget vil inneholde noen av følgende: Aubergine og Haloumi Wrap Brie og Parma Ham Finger Brioche Crudits og Hummus Shot Briller Åpen ansikt Røkt Laks bagel Mini Burger Lamb Samosa Vårruller Gresskar potetskjell Dato og klokkeslett 7:30 p. m. på mandag 12. desember 2016 Ginger Room, etterfulgt av drinker amp canapes på GampTea Bar, Marriott Hotel, Canary Wharf, London, Storbritannia, Meetup I mai 2016 ble det notert, i publikum QampA etter en presentasjon fra høyttaleren, at GBPUSD risiko reverseringer viste svært uvanlig oppførsel - nemlig ekstrem skrå i kort daterte tenors, men relativt flate smiler etterpå. Dette er en mest uvanlig volatilitets signatur, og forbindelsen med den kommende Brexit-folkeavstemningen ble umiddelbart gjort. Høyttaleren, som med tanke på den aktuelle karakteren av pre-Brexit-markedet, utførte en analyse med sin medforfatter på implisitte distribusjoner for markedets forventninger til GBPUSD rundt folkeavstemningsdagen (23. juni 2016), med spådommer for spot deretter. Papiret ble lastet opp til SSRN (ssrnabstract2794888) 13. juni, hvor vi identifiserte empiriske bevis i volatiliteten, skje for et fall i GBPUSD fra 1,4390 til området 1,10 til 1,30 i tilfelle av permisjon - et nedadgående flyt på 0,14 til 0,34. Analysen, uvanlig for kvantforskning, mottok dekning i FT og Sunday Telegraph, og faktisk var våre spådommer utbrent da folkeavstemningen ble annonsert og sterling falt fra 1,50 til 1,33 - en nedadgående flyt på 0,17 - om noen timer. Etter denne analysen brukte vi lignende metoder til den meksikanske pesoen sitert mot amerikanske dollar (USDMXN) umiddelbart før valget i 2016, og vi var i stand til å forutsi peso devaluering til et utvalg på 20-24 pesos per dollar i tilfelle en Trump-seier, som ble båret ut av etterfølgende hendelser. I denne diskusjonen vil jeg gå gjennom vår analyse av informasjonen som er innebygd i volatilitetsskrået og grunnlaget for vår prediktive analyse. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) har over 14 års erfaring som frontkontor kvant. Han har jobbet som leder av FX og Commodities Quantitative Analysis ved Standard Bank, som leder av FX Quantitative Analysis at Unicredit og hos Dresdner Kleinwort, og hos Lehman Brothers, BNP Paribas og JP Morgan. Iain har en PhD i anvendt matematikk fra Queensland University og en MSc i finansiell matematikk fra Edinburgh og Heriot-Watt Universities. Hans hovedforskningsinteresser er på eksotiske alternativer, stokastiske modeller for FX og råvarer, og numeriske metoder for opsjonsprising. Han er en hyppig bidragsyter til industrikonferanser, opplæringskurs og inviterte høyttaler på ulike universiteter. Hans første bok Valutakursopsjon: En utøverehåndbok ble utgitt i november 2010 av Wiley Finance og hans andre bok Vareprismodus: En utøverehåndbok skal vises tidlig i 2014 (også med Wiley Finance). Thalesians Seminar (London) 8212 Vlasios Voudouris 8212 Fleksibel maskinlæring for økonomi Dato og klokkeslett 7:30 p. m. på onsdag 23. november 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, Storbritannia. Meetup Med raske endringer i datateknologi og den store datalderen blir datavitenskapens felt utfordret hele tiden. Datavitenskapers jobb er å gi mening om de store mengdene data: å trekke ut viktige mønstre og trender, og forstå hva dataene sier. Utfordringene i å lære av data har ført til en revolusjon i maskinlæringsteknikker. GAMLSS-pakken med verktøy i vårt forsøk på å lære av økonomiske data. GAMLSS er nå mye brukt for prediktiv analyse og risikokvantifisering (for eksempel tab gitt standard). På grunn av fleksibiliteten til GAMLSS-modellene, kan vi fange opp følgende datakarakteristikker: De tungt-tailed eller light-tailed egenskapene ved fordelingen av dataene. Dette betyr at sannsynligheten for sjeldne hendelser (for eksempel en utjevningsverdi) oppstår med høyere eller lavere sannsynlighet sammenlignet med normalfordelingen. Videre kan sannsynligheten for forekomst av en outlier-verdi endres som en funksjon av forklaringsverdiene. Svarsomheten til responsvariabelen, som kan endre seg som en funksjon av de forklarende variablene. Det ikke-lineære eller glatte forholdet mellom målvariabelen og forklaringsprediktorvariablene. Based on our book Flexible Regression and Smoothing: Using GAMLSS in R, the talk includes a large number of practical examples (e. g. predictions and risk quantification) which reflect the range of problems addressed by GAMLSS models. This also means that the examples provide a practical illustration of the process of using GAMLSS models for machine learning. Vlasios Voudouris is a Data Scientist with expertise in data-driven predictive analytics and risk quantification of financial markets. His primary research focus is on i) semi-parametric machine learning models ii) innovative model selection processes and iii) robust diagnostics for systematic trading and risk quantification. He is the co-author of the book Flexible Regression and Smoothing: Using GAMLSS in R and the associated software in R and Java. GAMLSS (Generalized Additive Models for Location Scale and Shape) is about learning from data using semi-parametric supervised machine learning algorithms. Furthermore, Vlasios developed data-driven agent-based models for stress testing scenarios (with an emphasis on commodity markets). His models and tools are used by a range of organisations. By way of two specific examples: 1) the IMF used GAMLSS for stress testing the U. S. financial System 2) Vlasios and his colleagues demonstrated a suite of GAMLSS models for the Bank of England (BoE). Using GAMLSS, Vlasios developed a systematic trading model for WTI Crude Oil (NYMEX). Vlasios holds a Ph. D. from City, University of London. IAQF-Thalesians Seminar (New York) 8212 Dr. Michael Imerman 8212 Insights from a Data-Driven Analysis of the Volatility Risk Premium Thursday, November 17, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Much of this talk will come from joint work I did with Jianqing Fan at Princeton and Wei Dai now at Dimensional Fund Advisors. We set out to provide a purely data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute realized volatility. From that we subtract the daily VIX, our measure of implied volatility, to construct a time series of the volatility risk premium. To identify the factors behind the volatility risk premium as a priced bias we decompose it into magnitude and direction. We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk premium reflects expectations about future levels of volatility. However, evidence supports the hypothesis that the sign of the volatility risk premium is indicative of gains or losses on a delta-hedged portfolio consistent with Bakshi and Kapadia (2003). As someone who has come from a background in financial modeling but has developed a penchant for data science and analytics, I will spend some time at the end of my talk on my thoughts about how data science is being embraced (in some ways, and eschewed in others) by the quantitative finance community. Michael B. Imerman is the Theodore A. Lauer Distinguished Professor of Investments and Assistant Professor in the Perella Department of Finance at Lehigh University. Dr. Imermans previous appointments were at Princeton in the ORFE Department and Rutgers Business School from where he received his Ph. D. Before coming to academia, Imerman worked as an analyst at Lehman Brothers supporting the high grade credit and credit derivative trading desks. At Lehigh, Professor Imerman teaches Derivatives and Risk Management both at the undergraduate and graduate levels. His primary research area is in credit risk modeling with applications to banking, risk management, and financial regulation. Most recently he has been actively involved in integrating data science techniques into the evaluation of risk in the securitized mortgage market. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof David Hand 8212 The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day Date and Time Registration Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure the variance term premium, we estimate a dynamic term-structure model that prices variance swaps across the US, UK, Europe, and Japan. The model decomposes the variance swap curve into term-structures of risk premia and expected quantities of risk. Empirically, we document a strong factor structure in global variance swap rates and find that variance term premia are negatively correlated with the wealth of the financial intermediary sector. Our results support the hypothesis that financial intermediaries are the marginal investor in the variance swap market. Erik Vogt is a financial economist in the Capital Markets Function of the Federal Reserve Bank of New York. His main research interests are in asset pricing, financial econometrics, volatility and liquidity risk, and high-frequency data across a variety of asset classes, including equities, Treasuries, derivatives, and corporate bonds. His research on market liquidity and broker-dealers has received media coverage in Bloomberg, Reuters, and Yahoo Finance, among others, and was also cited in U. S. Senate testimony before the Subcommittee on Securities, Insurance, and Investment, and the Subcommittee on Economic Policy, Committee on Banking, Housing, and Urban Affairs. Erik actively serves as a referee for several peer-reviewed journals, including the Review of Financial Studies, the Journal of Econometrics, the Journal of Empirical Finance, the Journal of Financial Econometrics, and Quantitative Finance. Erik joined the New York Fed in July 2014 and holds a Ph. D. and M. A. in Economics from Duke University and a B. Sc. in Mathematics and Economics from the London School of Economics. Prior to graduate school, he worked as an Associate Economist at the Federal Reserve Bank of Chicago. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Nick Baltas 8212 Multi-Asset Carry Strategies Date and Time 7:30 p. m. on Wednesday 28th September 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Carry strategies have been primarily studied and explored within currency markets, where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant returns. This presentation extends the notion of carry to different asset classes by looking at the futures markets of commodities, equity indices and government bonds. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe. Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph. D from Cornell University in the computer science amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), and Currency Management (Risk books). Her new book FX Option Performance was published in May 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board. IAQF-Thalesians Seminar (New York) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - githubthalesianspythalesians Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk. What is cointegration How to test for cointegration What is pairs trading How to find cointegrated pairs How to generate a tradeable signal This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: quantopianlectures. Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking