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I Thalesians Immagini da eventi Thalesians da tutto il mondo nel corso degli ultimi 6 anni I Thalesians sono un think tank di professionisti dedicati, con un interesse per la finanza quantitativa, economia, matematica, fisica e informatica, non necessariamente in questo ordine. Blog vedere la nostra nuova Thalesians blog di lettura comprare il nostro nuovo libro. Trading Thalesians - Quello che il mondo antico può insegnarci circa il commercio di oggi (Palgrave Macmillan) da parte del co-fondatore Thalesians, Saeed Amen amp prefazione di fondatore, Paul Bilokon fondatore Il gruppo nasce nel settembre 2008, da Paul Bilokon (quindi un analista quantitativo a Lehman Brothers specializzata in cambi, e un ricercatore a tempo parziale presso l'Imperial college), e due suoi amici e colleghi: Matthew Dixon (quindi un analista quantitativo presso Deutsche Bank) e Saeed Amen (quindi uno stratega quantitativa a Lehman Brothers) . L'apertura di Level39 nel 2013 dal sindaco Boris Johnson I Thalesians sono anche ora membro di Level39 - più grande d'Europa acceleratore di tecnologia per le società finanziarie, di vendita al dettaglio, sicurezza informatica e future città tecnologia Eventi Research Consulting Eventi I Thalesians sono stati originariamente basato a Londra, Regno Unito . Nel gennaio 2011, l'organizzazione è diventata davvero globale quando Matthew Dixon ha portato negli Stati Uniti dove gestisce seminari Thalesians New York con New York leader Harvey Stein. Attila Agod è il leader di Budapest per i nostri seminari Thalesians Budapest. Siamo attualmente in fase di espansione nostri seminari a Praga e l'esecuzione di più laboratori. Research In fine del 2013, abbiamo iniziato pubblicato motivo di rottura note sulla strategia Quant. Il nostro sforzo è guidata da Saeed Amen, con quasi un decennio della sua esperienza, sia la creazione e la successiva negoziazione modelli di trading sistematico in FX maggiori banche di investimento. Visita ricerca di più. Consulenza Nel 2014, abbiamo iniziato a offrire servizi di consulenza su misura quant nei mercati, la firma del nostro primo cliente, un importante hedge fund statunitensi e RavenPack, un importante fornitore di notizie dei dati. I nostri servizi comprendono la creazione di modelli su misura sistematici di trading e altre analisi quant dei mercati finanziari, come ad esempio la copertura valutaria e l'analisi dei costi di transazione FX (TCA). Visita Consulting di più. La nostra filosofia Siamo il nome di Talete di Mileto (), un filosofo greco presocratico che ha vissuto in ca. 624 aC-ca. 546 aC. Talete era un matematico ed è familiare a molti studenti delle scuole secondarie di uno dei suoi teoremi di geometria. Ma più pertinenza per noi, è stato uno dei primi utenti di opzioni: Talete, così va la storia, a causa della sua povertà è stato insultato con l'inutilità della filosofia ma dalla sua conoscenza di astronomia che aveva osservato mentre era ancora inverno che ci sarebbe stato un grande raccolto di olive, così ha sollevato una piccola somma di denaro e pagato depositi circolari per l'insieme dei frantoi a Mileto e di Chio, che ha assunto ad un canone a partire da nessuno lo stava correndo su e quando la stagione è arrivata, ci fu un improvviso aumento della domanda per una serie di presse, allo stesso tempo, e da loro lasciando fuori su quali termini gli piacevano ha realizzato una grossa somma di denaro, in modo da dimostrare che è facile per i filosofi di essere ricchi se scegliere, ma non è questo che si preoccupano. Aristotele, Politica, 1259a. La morale di questo aneddoto è che è facile per i filosofi di essere ricchi se scelgono il famoso Mileto è andato avanti e ha dimostrato di essere. Noi, i Thalesians. Lo ammiro per questo. Ma abbiamo anche condividere molti dei suoi valori, per esempio la sua convinzione di base che un uomo felice è definito come uno,, (che è sano nel corpo, nell'anima e di risorse di natura facilmente insegnabile). Questo wiki è stato creato per servire come fonte di informazioni sulla finanza quantitativa, di sintetizzare i riferimenti a varie risorse correlate, e di fungere da punto di convergenza per i Thalesians. i nostri colleghi e collaboratori. E 'nato da Paolo Bilokons finanza wiki, che ha iniziato nel febbraio 2007. Noi crediamo che il segreto e la fedeltà sono importanti nel mondo della finanza. Ma abbiamo anche riconosciamo il potere della condivisione delle informazioni nelle società aperte. Lasciate che la vostra logica di business rimangono un segreto gelosamente custodito. Ma rilasciare tutto il resto nel pubblico dominio. Quello che va in giro, arriva intorno a questo in ultima analisi, risparmierò reinventare la ruota. Più dei nostri diffusori in occasione di eventi Thalesians nel corso degli ultimi 6 anni Prossime manifestazioni Mer, Feb 22: Saeed Amen Mer 29 Mar: TBD Mer 26 Apr: TBD mer 24 maggio: TBD Thalesians Seminario (Londra) 8212 Saeed Amen 8212 Utilizzo di Python per analizzare i mercati finanziari registrazione Un approccio popolare per modellare la dinamica ordine limite libro della migliore offerta e chiedere a livello-1 è quello di utilizzare in forma ridotta approssimazioni di diffusione. E 'ben noto che il più grande fattore che contribuisce al movimento dei prezzi è lo squilibrio delle migliori bid e ask. Indaghiamo i dati del livello-1 di ordine limite libri di un paniere di titoli e studiare l'evidenza numerica della deriva, la correlazione, la volatilità e la loro dipendenza dal squilibrio. Sulla base delle scoperte numeriche, sviluppiamo un modello discreto non parametrico per la dinamica della migliore offerta e chiedere. Questo modello può essere approssimato da un modello in forma ridotta con trattabilità analitica che può andare bene i dati empirici di correlazione, volatilità e la probabilità di movimento dei prezzi contemporaneamente. (Lavoro congiunto con Tzu-Wei Yang) Lingjiong Zhu cresciuto a Shanghai ed è andato a studiare in Inghilterra, dove ha ottenuto BA presso l'Università di Cambridge nel 2008. Si è poi trasferito negli Stati Uniti e ha ricevuto dottorato alla New York University nel 2013. dopo un periodo di Morgan Stanley, andò a lavorare presso l'Università del Minnesota come il Dunham Jackson Assistant professor prima di entrare alla facoltà alla Florida State University come assistente nel 2015. nel suo tempo libero, ama leggere, viaggiare e andare a mostre d'arte, musei e concerti di musica classica. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. IAQF-Thalesians Seminario (New York) 8212 Dr. Sebastiano Jaimungal algoritmi 8212 Trading con l'apprendimento in modelli alfa latenti Lunedi, 15 maggio, il 2017: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, segnali NY registrazione Alpha per le strategie di arbitraggio statistico sono spesso spinti da fattori latenti. Questo saggio analizza come il commercio in modo ottimale con i fattori latenti che causano i prezzi per saltare e diffusa. Inoltre, ci conto per l'effetto delle azioni commercianti sui prezzi indicati e sui prezzi che ricevono dalle negoziazioni. Sotto ipotesi abbastanza generali, si dimostra come l'operatore può conoscere la distribuzione a posteriori nel corso degli stati latenti, e in modo esplicito risolvere il problema latente di trading ottimale in modo on-line. Inoltre, abbiamo sviluppato un algoritmo di avanti-indietro sulla base di aspettative massimizzazione per calibrare un modello di puro salto ai dati storici, illustrare l'efficacia della strategia ottimale attraverso simulazioni e confrontare le strategie che ignorano l'apprendimento nei fattori latenti. (Lavoro congiunto con Philippe Casgrain, U. Toronto) Dr. Sebastiano Jaimungal è professore ordinario presso il Dipartimento di Scienze Statistiche presso l'Università di Toronto, dove è direttore del Master di programma di assicurazione finanziaria, insegna al Master di Matematica Finanza programma, e il corso di dottorato. Sebastian è l'attuale presidente (ed ex vice presidente direttore del programma) per SIAM Matematica finanziaria e Ingegneria (SIAGFMampE), è un co-autore del libro intitolato ad alta frequenza e Algorithmic Trading pubblicato dalla Cambridge University Press (2015), e atti il comitato di redazione per un certo numero di riviste accademiche e di settore tra cui: SIAM Journal on matematica finanziaria (SIFIN), l'International Journal of teorica e applicata Finanza (IJTAF), ad alta frequenza. Journal of Rischi e Argo. Sebastian è anche un membro del consiglio di fondazione della materie prime e mercati Energy Association. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Eventi recenti IAQF-Thalesians Seminario (New York) 8212 Dr. Alan Moreira 8212 Volatilità Managed Portfolio mercoledì 15 febbraio, 2017: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY registrazione gestito portafogli che prendono meno rischi quando la volatilità è alta di produrre grandi alfa, aumentano i rapporti Sharpe, e produrre grandi guadagni di utilità per gli investitori media-varianza. Documentiamo questo per il mercato, valore, quantità di moto, la redditività, rendimento del capitale e fattori di investimento, così come il commercio di valuta carry. tempistica volatilità aumenta indice di Sharpe perché i cambiamenti della volatilità non sono compensati dai cambiamenti proporzionali rendimenti attesi. La nostra strategia è contrario alla saggezza convenzionale, perché ci vuole relativamente meno rischi in recessione ma guadagna ancora rendimenti medi elevati. Questo esclude le spiegazioni tipiche risk-based ed è una sfida per i modelli strutturali di rendimenti attesi che variano nel tempo. Alan Moreira è Assistant Professor di Finanza presso la Yale University School of Management. Originario di Rio de Janeiro, in Brasile, ha ricevuto la sua laurea da Rio de Janeiro Università Federale (UFRJ) e il suo dottorato di ricerca in Economia Finanziaria presso l'Università di Chicago. Ricerca Dr. Moreiras indaga su come le forme di intermediazione finanziaria l'economia reale e le cause e le conseguenze delle fluttuazioni di incertezza. La sua ricerca è stata pubblicata nelle riviste top tra cui il Journal of Financial Economics e Journal of Finance. Oltre a insegnare Risk Management nel programma MBA presso la Yale School of Management, il Dr. Moreira insegna Asset Pricing a livello di dottorato. Nel suo tempo libero, si diverte in bicicletta, viaggiando, e appendere fuori la famiglia. Alan Moreira, assistente professore di Finanza, Yale School of Management 1 IAQF-Thalesians Seminari Il Seminario Serie IAQF-Thalesians è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Oskar Mencer 8212 multiscala Dataflow misurazioni del rischio su cloud ibrido di data e ora 19:30 il Mercoledì 25 Gennaio, 2017 Registrazione volatilità istantanea di rendimento logaritmica in lognormale modello SABR frazionale è guidato dalla elevamento a potenza di un moto browniano frazionario correlato . A causa della natura mista di guidare browniano e moti browniani frazionari, densità di probabilità per tali modelli sono meno noto in letteratura. Presentiamo in questo discorso una rappresentazione ponte per la densità congiunta del modello SABR frazionale lognormale in uno spazio di Fourier. Valutare la rappresentazione ponte lungo un percorso deterministico adeguatamente scelto produce uno stile Edgeworth dell'espansione della densità di probabilità per il modello SABR frazionata. Una generalizzazione diretta della rappresentazione di densità congiunta a più volte porta ad una derivazione euristica delle grandi deviazioni principali per la densità congiunta in poco tempo. Ravvicinamento delle volatilità implicita è facilmente ottenuto applicando la formula asintotica Laplace per la chiamata o prezzi messi a confronto e coefficienti. La presentazione si basa su un lavoro congiunto con Jiro Akahori e Xiaoming canzone. Tai-Ho Wang detiene una cattedra di matematica al Baruch College, City University di New York dal 2012. La sua ricerca nel campo della finanza quantitativa comprende asintotica volatilità implicita in poco tempo, i limiti liberi di arbitraggio statico sulle opzioni di basket, la liquidazione ottimale ed esecuzione in modelli impatto sul mercato , e recentemente la dinamica di informazione nel mercato finanziario. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. IAQF-Thalesians Seminario (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making, con spese di pernottamento inventario Giovedi, 14 dicembre, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione La quota di market making condotto da negoziazione ad alta frequenza (HFT) le imprese è stato in costante aumento. Una caratteristica distintiva di HFTs è che essi commercio intraday, terminando la giornata piatta. Per far luce su l'economia del HFTs, e in deroga esistenti teorie di market making, abbiamo modellare un HFT che ha accesso a illimitato intraday di leva, ma deve finanziare alcun inventario di fine giornata ad un costo esogenamente determinato. Anche se i costi di inventario si verificano solo alla fine della giornata, che influenzino prezzo e liquidità infragiornaliera dinamiche. Questo dà luogo a un meccanismo di impatto prezzo endogena intraday. Col passare del tempo si avvicina alla fine della giornata di negoziazione, la sensibilità dei prezzi a livelli di inventario si intensifica, rendendo l'impatto dei prezzi più forte e allargamento spread denaro-lettera. Inoltre, lo squilibrio di ordini di compravendita può catalizzare escursioni e gocce di prezzi, anche in funzione della domanda e dell'offerta fissi. Empiricamente, abbiamo dimostrato che queste previsioni sono confermate nel mercato statunitense del Tesoro, dove gli spread bid-ask e l'impatto dei prezzi tendono a salire verso la fine della giornata. Inoltre, i movimenti dei prezzi sono negativamente correlati con cambiamenti nei livelli di inventario, come misurato dal volume degli scambi netto cumulato. (Lavoro congiunto con Tobias Adrian, Agostino Capponi, ed Erik Vogt) Hongzhong Zhang è un assistente professore alla Columbia University. La sua ricerca si concentra sulla vasta area di probabilità applicato con applicazioni in ingegneria, finanza e assicurazioni. In particolare, alcuni dei suoi attuali interessi di ricerca includono asintotica, prelievi, fermandosi ottimale, e la rilevazione di cambiamenti di regime. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Xmas Party (Londra) 8212 Iain Clark 8212 distribuzioni implicite da FX risk-Ristorni e previsioni per l'effetto della Brexit voto e l'elezione Trump Vorremmo invitarvi al nostro seminario Thalesians Natale a Londra, dove Iain Clark presenterà questa sarà seguita da nostra festa di Natale presso il Bar in GampTea l'hotel, Canary Wharf, dove saremo serve bevande e tartine. Il prezzo del biglietto include sia il parlare e il partito (prime bevande tartine). La selezione canape includerà alcuni dei seguenti: melanzane e hallumi avvolgono Brie e prosciutto di Parma Crudits brioche dito e hummus vetri di colpo aperto volto affumicato Bagel salmone mini hamburger di agnello samosa involtini primavera di gamberi conchiglie di patate data e ora 19:30 il Lunedi 12 Dicembre 2016 camera Ginger, seguito da tartine bevande amp a GampTea Bar, Marriott hotel, Canary Wharf, Londra, UK, Meetup di maggio 2016 è stato notato, in mezzo al pubblico QampA dopo una presentazione da parte del diffusore, che risk reversal GBPUSD sono stati espone molto insolito comportamento - vale a dire, estrema inclinazione in tenori brevi 'datato, ma sorrisi relativamente piatte in seguito. Si tratta di una firma di volatilità più insolito e il collegamento con l'imminente voto Brexit referendum è stato immediatamente fatto. L'oratore, come una questione di urgenza, data la natura di attualità del mercato pre-Brexit, eseguita un'analisi con il suo co-autore distribuzioni implicite per le aspettative del mercato per GBPUSD intorno alla data del referendum (23 giugno 2016), con le previsioni per punto da allora in poi. Il documento è stato caricato a SSRN (ssrnabstract2794888) il 13 giugno, in cui abbiamo identificato l'evidenza empirica nel skew di volatilità per una caduta in GBPUSD da 1,4390 alla gamma 1,10-1,30 in caso di un voto Leave - un movimento verso il basso del 0,14 per 0.34. L'analisi, insolitamente per la ricerca Quant, ha ricevuto una copertura nel FT ed il Telegraph Domenica e in effetti le nostre previsioni sono state confermata quando il risultato del referendum è stato annunciato e la sterlina è sceso 1,50-1,33 - un movimento verso il basso del 0,17 - in una questione di ore. A seguito di questa analisi, abbiamo applicato i metodi simili a quelli del peso messicano citato rispetto al dollaro (USDMXN) immediatamente prima delle elezioni 2016 Stati Uniti e siamo stati in grado di prevedere svalutazione del peso in una gamma di 20-24 pesos al dollaro nel caso di vittoria Trump, che è stata confermata dagli eventi successivi. In questo discorso voglio passare attraverso la nostra analisi delle informazioni incorporate nel skew volatilità e la base per la nostra analisi predittiva. Iain J. Clark (MIMA cmath, MInstP CPhys, CStat, FRAS) ha oltre 14 anni di esperienza come Quant front office. Ha lavorato come capo della FX e materie prime analisi quantitativa a Standard Bank, come Capo della FX analisi quantitativa a Unicredit e alla Dresdner Kleinwort, ed a Lehman Brothers, BNP Paribas e JP Morgan. Iain ha un dottorato in matematica applicata da Queensland University e un Master in matematica finanziaria da Edimburgo e Heriot-Watt Università. I suoi principali interessi di ricerca sono opzioni esotiche, modelli stocastici per FX e materie prime, e metodi numerici per option pricing. Egli è un frequente contributore a conferenze di settore, corsi di formazione e relatore invitato in diverse università. Il suo primo libro Foreign Exchange di valutazione delle opzioni: Una guida praticanti è stato pubblicato nel novembre 2010 da Wiley Finanza e la sua seconda valutazione delle opzioni libro Commodity: Una guida praticanti è dovuto comparire nei primi mesi del 2014 (anche con Wiley Finance). Thalesians Seminario (Londra) 8212 Vlasios Voudouris 8212 machine learning flessibile per la finanza di data e ora 19:30 di Mercoledì 23 novembre 2016 in camera Ginger, il Marriott Hotel, Canary Wharf, Londra, UK. Meetup Con i cambiamenti rapidi progressi della tecnologia e la grande età dei dati di calcolo, il campo della scienza dei dati è costantemente in discussione. scienziati dati compito è quello di dare un senso alle grandi quantità di dati: per estrarre modelli e tendenze importanti, e capire quello che dice i dati. Le sfide nella possibilità di imparare i dati hanno portato a una rivoluzione nelle tecniche di apprendimento automatico. La suite di strumenti di GAMLSS nel nostro tentativo di imparare dai dati finanziari. GAMLSS è ora ampiamente utilizzato per l'analisi predittiva e la quantificazione del rischio (ad esempio, loss given default). A causa della flessibilità dei modelli GAMLSS, possiamo catturare le caratteristiche seguenti dati: Le caratteristiche pesanti dalla coda o chiari dalla coda della distribuzione dei dati. Ciò significa che la probabilità di eventi rari (per esempio un valore outlier) si verifica con probabilità maggiore o minore rispetto alla distribuzione normale. Inoltre, la probabilità di occorrenza di un valore anomalo potrebbe cambiare in funzione dei valori esplicativi. L'asimmetria della variabile di risposta, che potrebbe variare in funzione delle variabili esplicative. La relazione non lineare o liscia tra la variabile di destinazione e le variabili explanatorypredictor. Basato sul nostro libro regressione flessibile e Smoothing: Utilizzando GAMLSS in R, il discorso comprende un gran numero di esempi pratici (ad esempio le previsioni e la quantificazione del rischio) che riflettono la gamma di problemi affrontati da modelli GAMLSS. Questo significa anche che gli esempi forniscono una illustrazione pratica del processo di utilizzo di modelli GAMLSS per apprendimento automatico. Vlasios Voudouris è uno scienziato di dati con esperienza in analisi predittiva data-driven e quantificazione del rischio dei mercati finanziari. Il suo obiettivo primario è la ricerca su i) modelli di apprendimento automatico semi-parametriche ii) processi di selezione modello innovativo e iii) la diagnostica robuste per il trading sistematico e quantificazione del rischio. Egli è il co-autore del libro di regressione flessibile e Smoothing: Utilizzando GAMLSS in R e il software associato in R e Java. (Modelli additivi generalizzati per Location scala e forma) GAMLSS tratta di imparare dai dati che utilizzano semi-parametrico supervisionato algoritmi di apprendimento automatico. Inoltre, Vlasios sviluppato data-driven modelli basati su agenti per scenari di test di stress (con l'accento sulla mercati delle materie prime). I suoi modelli e strumenti sono utilizzati da una serie di organizzazioni. A titolo di due esempi specifici: 1) il FMI utilizzato GAMLSS per lo stress test del sistema finanziario degli Stati Uniti 2) Vlasios ei suoi colleghi hanno dimostrato una serie di modelli GAMLSS per la Banca d'Inghilterra (BoE). Utilizzando GAMLSS, Vlasios ha sviluppato un modello di trading sistematico per WTI Crude Oil (NYMEX). Vlasios ha conseguito un Ph. D. dalla Città, Università di Londra. IAQF-Thalesians Seminario (New York) 8212 Dr. Michael Imerman 8212 Approfondimenti da un'analisi Data-Driven del Volatility Risk Premium Giovedi, 17 novembre, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione Gran parte di questo discorso verrà dal lavoro congiunto che ho fatto con Jianqing Ventilatore a Princeton e Wei Dai ora a Dimensional Fund Advisors. Abbiamo deciso di fornire un'analisi puramente basata sui dati del premio per il rischio di volatilità, utilizzando strumenti di finanza ad alta frequenza e l'analisi dei Big Data. Noi sosteniamo che il premio per il rischio di volatilità, genericamente definito come la differenza tra la volatilità realizzata e implicita, può essere meglio compresa se visto come un bias valutato sistematicamente. Per prima cosa usiamo ultra-alta frequenza dei dati di transazione su SPDRs e un nuovo approccio per la stima della volatilità integrata sul dominio della frequenza per calcolare volatilità realizzata. Da che sottraiamo il VIX quotidiano, la nostra misura della volatilità implicita, per la costruzione di una serie storica del premio per il rischio di volatilità. Per identificare i fattori dietro il premio per il rischio di volatilità come un bias prezzo scomponiamo in grandezza e la direzione. Troviamo prove convincenti che l'entità della deviazione della volatilità realizzata dalla volatilità implicita rappresenta l'offerta e gli squilibri della domanda nel mercato per la copertura del rischio di coda. E 'difficile accettare definitivamente l'ipotesi che la direzione o il segno del premio per il rischio di volatilità riflette le aspettative circa i futuri livelli di volatilità. Tuttavia, l'evidenza supporta l'ipotesi che il segno del premio per il rischio di volatilità è indicativo di utili o perdite su un portafoglio di delta-copertura coerente con Bakshi e Kapadia (2003). Come qualcuno che è venuto da un background di modellazione finanziaria, ma ha sviluppato una predilezione per la scienza e l'analisi dei dati, io passare un po 'di tempo alla fine del mio discorso sui miei pensieri su come la scienza dei dati viene abbracciato (in un certo senso, e evitato in altri) da parte della comunità di finanza quantitativa. Michael B. Imerman è il Distinguished Professor Theodore A. Lauer degli investimenti e Assistant Professor presso il Dipartimento delle Finanze Perella alla Lehigh University. Dr. Imermans appuntamenti precedenti erano a Princeton nel Dipartimento Orfe e Rutgers Business School, da dove ha conseguito il dottorato di ricerca Prima di venire al mondo accademico, Imerman ha lavorato come analista presso Lehman Brothers sostenere le alte grado di credito e di credito trading desk derivato. A Lehigh, il professor Imerman insegna Derivati ​​e Risk Management, sia a livello universitari e laureati. La sua area di ricerca primario è in rischio di modellazione di credito con le applicazioni al settore bancario, la gestione del rischio, e la regolamentazione finanziaria. Più di recente è stato attivamente coinvolto nella integrazione di tecniche di scienze dati nella valutazione del rischio nel mercato dei mutui cartolarizzati. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Prof David Hand 8212 l'improbabilità Principio: Perché coincidenze, Miracoli, ed eventi rari capita tutti i giorni di data e ora Venditori registrazione di variance swap guadagnano variabili nel tempo premi per il rischio per la loro esposizione alla varianza realizzata, il livello della varianza tassi swap, e la pendenza della curva di varianza di swap. Per misurare il premio a termine varianza, si stima un modello termine-struttura dinamica che i prezzi variance swap attraverso gli Stati Uniti, Regno Unito, Europa e Giappone. Il modello si decompone alla curva swap di varianza in termine-strutture di premi al rischio e le quantità attese di rischio. Empiricamente, documentiamo una forte struttura fattore di tassi swap di varianza globali e scoprire che termine varianza premi sono negativamente correlati con la ricchezza del settore intermediario finanziario. I nostri risultati supportano l'ipotesi che gli intermediari finanziari sono l'investitore marginale nel mercato della varianza swap. Erik Vogt è un economista finanziario nella funzione Capital Markets della Federal Reserve Bank di New York. I suoi principali interessi di ricerca sono in asset pricing, econometria finanziaria, la volatilità e il rischio di liquidità, e dei dati ad alta frequenza attraverso una varietà di classi di attività, tra cui azioni, titoli del Tesoro, derivati ​​e obbligazioni societarie. Le sue ricerche sulla liquidità del mercato e broker-dealer ha ricevuto copertura mediatica a Bloomberg, Reuters e Yahoo Finance, tra gli altri, ed è stato anche citato in Senato degli Stati Uniti testimonianza davanti alla sottocommissione per titoli, assicurazioni e investimenti, e la sottocommissione per la politica economica , commissione bancaria, Housing, e dell'Urbanistica. Erik serve attivamente come arbitro per diverse riviste, tra cui la Review of Financial Studies, Journal of Econometrics, Journal of Empirical Finance, il Journal of Econometrics finanziaria e finanza quantitativa. Erik si è unito Fed di New York nel luglio 2014 e ha conseguito un Ph. D. e M. A. in Economia presso la Duke University e una Laurea in Matematica ed Economia presso la London School of Economics. Prima della scuola di specializzazione, ha lavorato come economista Associato presso la Federal Reserve Bank di Chicago. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Nick Baltas 8212 Multi-Asset Carry strategie di data e ora 19:30 di Mercoledì 28 Settembre 2016 in camera Ginger, il Marriott Hotel, Canary Wharf, Londra, UK. strategie di carry Meetup sono state principalmente studiate ed esplorato all'interno dei mercati valutari, dove, contrariamente a parità di tasso di interesse scoperto, prendendo in prestito da un paese a basso tasso di interesse e investire in un paese ad alto tasso di interesse storicamente ha consegnato rendimenti positivi e statisticamente significativi. Questa presentazione estende la nozione di portare a diverse classi di attività, cercando in mercati a termine delle materie prime, indici azionari e titoli di stato. Esploriamo la redditività delle varianti trasversali e serie temporali della strategia di carry all'interno di ogni classe di attivi, ma soprattutto indaghiamo i vantaggi di costruzione di una strategia di carry multi-asset dopo correttamente la contabilità per la struttura di covarianza di tutto l'universo. Nick Baltas è un direttore esecutivo del gruppo globale Quantitative Research presso UBS. I suoi interessi di ricerca includono le strategie sistematica multi-asset, costruzione del portafoglio, analisi dei rischi e la valutazione delle prestazioni. Nick si è unito UBS nel febbraio 2013 e da allora ha inoltre mantiene la visita delle cariche accademiche a Imperial College Business School e Queen Mary University di Londra. La sua ricerca è stata premiata con numerose borse di studio e premi e citato dalla stampa finanziaria. Prima del suo ruolo attuale, Nick trascorso due anni come docente di Finanza presso l'Imperial College Business School, quando ha ricevuto la Stella Maestro del premio di anno per entrambi gli anni in riconoscimento del suo insegnamento, e quasi un anno come risk manager in una Londra hedge fund azionari based. Ha conseguito un Deng in ingegneria elettrica e informatica presso l'Università Tecnica Nazionale di Atene, un Master in elaborazione dei segnali amp comunicazioni da Imperial College di Londra e un dottorato in finanza presso l'Imperial College Business School. IAQF-Thalesians Seminario (New York) 8212 Dr. Arun Verma 8212 arbitraggio statistico utilizzando notizie e sentimento sociale basato strategie di trading quant Giovedi, settembre 15, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione Per scoprire il valore incorporato in News amp dati Sentiment sociale, costruiamo tre tipi di strategie di trading azionario sulla base dei dati sentimento e mostrano che le strategie basate sul sentimento sovraperformare il corrispondente indici di riferimento in modo significativo. Arun Verma è entrato nel gruppo Bloomberg Quantitative Research nel 2003. Prima di questo, ha conseguito il dottorato di ricerca presso la Cornell University nel amplificatore informatica matematica applicata. A Bloomberg, il lavoro Dr. Vermas inizialmente focalizzata su modelli a volatilità stocastica per derivati ​​EquityFX e prezzi Esotici, per esempio 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 Thalesians 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 fx 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 fx 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: Networking2015-08-10 1. 2. AQR AQR 2015-08-10 1. 2. AQR AQRimplementability 3. 1. your alpha is some sort of beta2. vi è una certa alfa non evidenziati dal modello attuale fattore implementreturn anomalia alfa, Asset Pricing Models - Alpha - Ricerca numero speciale da AQR scimmia misure di prestazione 1. CAPM: 1.1 Markowitz, H. (1952). selezione del portafoglio. La rivista di finanza. 7 (1), 77-91. PORTFOLIO SELECTION 1.2 Lintner, J. (1965). La valutazione delle attività di rischio e la selezione degli investimenti rischiosi in portafogli azionari e dei bilanci di capitale. La revisione di Economia e Statistica. 13-37. La valutazione delle attività di rischio e la selezione di investimenti rischiosi in portafogli azionari e bilanci di capitale su JSTOR 1.3 Lintner, J. (1965). Prezzi di sicurezza, rischi e guadagni massime di diversificazione. Il Journal of Finance. 20 (4), 587-615. PREZZI sicurezza, Rischio e gli utili derivanti dalla diversificazione MAXIMAL 1.4 Sharpe, W. F. (1964). prezzi delle attività Capitale: Una teoria di equilibrio di mercato in condizioni di rischio. La rivista di finanza. 19 (3), 425-442. PREZZI Capital Asset: UNA TEORIA DI equilibrio di mercato in condizioni di rischio 1.5 Sharpe, W. F. (1963). Un modello semplificato per l'analisi del portafoglio. Management Science. 9 (2), 277-293. Management Science: INFORMA 2. Nero CAPM: 2.1 Jensen M C, Nero F, Scholes M S. Il modello di capital asset pricing: Alcuni testsJ empirica. 1972. pers. cfmabstractid908569 papers. ssrnsol3pa 3. Merton ICAPM: Merton, R. C. (1973). Un capital asset pricing model intertemporale. Econometrica: ufficiale della Econometric Society. 867-887. Un modello intertemporale Capital Asset Pricing su JSTOR 4. Fama francese 3 Factor Model: 4.1 Fama, E. F. amp francese, K. R. (1993). fattori di rischio comuni nei rendimenti di azioni e obbligazioni. Journal of financial economics . 33 (1), 3-56. fattori di rischio comuni nei rendimenti di azioni e obbligazioni 4.2 Fama, E. F. amp francesi, K. R. (1992). La sezione trasversale dei rendimenti azionari attesi. Journal of Finance. 47 (2), 427-465. La sezione di stock presso il Restituisce 5. Carhart 4 Factor Model: Carhart, M. M. (1997). Sulla persistenza della performance dei fondi comuni. Il giornale di finanza. 52 (1), 57-82. On Persistence in Mutual Fund Performance 6. Fama French 5 Factor Model: Fama, E. F. amp French, K. R. (2015). Un asset pricing model cinque fattori. Journal of Financial Economics. 116 (1), 1-22. Un asset pricing model cinque fattori AQRfactor QMJ 7. buona letteratura Recensioni: Harvey, C. R. Liu, Y. amp Zhu, H. (2014). . E la sezione di rendimenti attesi (n w20592). National Bureau of Economic Research. . e la sezione dei rendimenti attesi 300factormake senso 1. AQR 1.1 Qualità Minus Junk: Asness, C. Frazzini, A. amp Pedersen, L. H. (2013). meno qualità spazzatura. Disponibile a SSRN. 1.2 buffet Alpha: Frazzini, A. Kabiller, D. amp Pedersen, L. H. (2013). Buffetts Alpha (n w19681). National Bureau of Economic Research. 1.3 Time Series Momentum: Moskowitz, T. J. Ooi, Y. H. amp Pedersen, L. H. (2012). Serie storiche slancio. Journal of Financial Economics. 104 (2), 228-250. 1.4 Valore Momentum ovunque: Asness, C. S. Moskowitz, T. J. amp Pedersen, L. H. (2013). Valore e quantità di moto in tutto il mondo. Il Journal of Finance. 68 (3), 929-985. AVVISO IMPORTANTE 14dinner mia strategieseven scimmia può fare milioni Glasserman scimmia Istituzionali Investor riviste: Casa iijournalsJournal di Portfolio Management, Journal of Fixed Income, Journal of DerivativesJournal di Portfolio Management Whaley papers. ssrnsol3pa pers. cfmabstractid2261387 SSRNseeking investorVIXETFETF dettaglio alphashort VIXbuy e tenere inverso VIX ETFETNXIV XIVliquidETNBampH proprietà XIVXIVinstitutional Ma, essere cauti exposureattributefactor rischio modelfactorcarry traderetail investitore VIXETF 1. Whaley, RE (2013). La volatilità Trading: A quale costo. Journal of Portfolio Management. 40 (1), 95-108. 2. Giot, P. (2005). Le relazioni tra gli indici di volatilità implicita e ritorna su indici azionari. The Journal of Portfolio Management. 31 (3), 92-100. I rapporti fra indici volatilità implicita e indice della Returns: The Journal of Portfolio Management 3. Whaley, R. E. (2000). L'indicatore investitore paura. The Journal of Portfolio Management. 26 (3), 12-17. The Investor Fear Gauge: The Journal of Portfolio Management 3.2 monkeys strategy for deep-in-the-money-option Numerical Method IncMarco AvellanedaAndrew Lo General An Introduction to High-Frequency Finance. Ramazan Gen Numerical Method IncMarco AvellanedaAndrew Lo General An Introduction to High-Frequency Finance. Ramazan Genay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen. Academic Press. 2001. Advanced Trading Rules, Second Edition. Emmanual Acar (Editor), Stephen Satchell (Editor). Butterworth-Heinemann 2nd edition (June 19, 2002). Pairs Trading Statistical Arbitrage in the U. S. Equities Market. Marco Avellaneda and Jeong-Hyun Lee. July 11, 2008. A New Approach to Modeling and Estimation for Pairs Trading, Binh Do, Robert Faff, Kais Hamza, Working Paper, May 29, 2006. Pairs Trading A Cointegration Approach. Arlen David Schmidt, Finance Honors Thesis, University of Sydney, November 2008, Pages 1130. Does Simple Pairs Trading Still Work Binh Do. Robert Faff. Financial Analysts Journal. JulyAugust 2010, Vol. 66, No. 4, pp: 8395. Implementation of Pairs Trading Strategies. yvind Foshaug. Faculty of Science. Koortweg - de Vries Institute for Mathematics. Master of Science Thesis. 2010. Pairs trading. Elliott, van der Hoek, and Malcolm. Quantitative Finance, 2005. Optimal Pairs Trading: A Stochastic Control Approach. Mudchanatongsuk, S. Primbs, J. A. Wong, W. Dept. of Manage. Sci. amp Eng. Stanford Univ. Stanford, CA. Mean Reversion Identifying small mean-reverting portfolios. Alexandre DAspremont. Quantitative Finance, Volume 11 Issue 3 2011. Arbitrage Under Power. Michael Boguslavsky, Elena Boguslavskaya. 2004. Identifying Small Mean Reverting Portfolios. Alexandre dAspremont. 2008. Markov Models Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data. Patrik Idvall, Conny Jonsson. University essay from Linkpings universitetMatematiska institutionen Linkpings universitetMatematiska institutionen. 2008. Markov Switching Regimes in a Monetary Exchange Rate Model, Frmmel, Michael, MacDonald, Ronald, Menkhoff, Lukas, Economic Modelling, Vol. 22 (2005), 3, Pages 485502. Bayesian Bayesian Adaptive Trading with a Daily Cycle. Robert Almgren, Julian Lorenz. The Journal of Trading. Fall 2006, Vol. 1, No. 4: pp. 38-46. On the short-term predictability of exchange rates: A BVAR time-varying parameters approach. Nicholas Sarantis. Journal of Banking amp Finance, Volume 30, Issue 8, August 2006, Pages 2257-2279 . Time Series Analysis Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. Michel Fliess. Cdric Join. Published Presented, IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis), 2008, Coventry, United Kingdom. A Trading Strategy Based on the Lead-Lag Relationship between the FTSE 100 Spot Index and the LIFFE Traded FTSE Futures Contract. Brooks, C. A. G. Rew and S. Ritson. International Journal of Forecasting 17, 31-44. 2001. Basket trading under co-integration with the logistic mixture autoregressive model. Xixin Cheng, Philip L. H. Yu, W. K. Li. Quantitative Finance, 1469-7696. First published on 09 December 2010. Towards a non-linear trading strategy for financial time series. Fernanda Strozzia, and Jos-Manuel Zaldvar Comenges. Chaos, Solitons amp Fractals. Volume 28, Issue 3, May 2006, Pages 601-615. Trend FollowingMomentum A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7, Robert J. Bianchi, Michael E. Drew, and John Polichronis, Global Business and Economics Review, Vol. 7 (2005), 2-3, Pages 155179. A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate, Richard D. F. Harris and Fatih Yilmaz, Journal of Banking and Finance, 33 (2009), 9, Pages 15751585. Thou shalt buy and hold. Albert Shiryaeva, Zuoquan Xu, Xun Yu Zhoubc. Quantitative Finance. Volume 8, Issue 8 December 2008. pages 765 776. Optimal Trend Following Trading Rules. Min Dai, Qing Zhang, Qiji Jim Zhu. 2011. Technical Indicators A dynamic analysis of moving average rules. Carl Chiarella, Xue-Zhong He, and Cars Hommes. Journal of Economic Dynamics and Control, Volume 30, Issues 9-10, September-October 2006, Pages 1729-1753. Do the technical indicators reward chartists A study on the stock markets of China, Hong Kong and Taiwan. Wing-Keung Wong, Jun Du, Terence Tai-Leung Chong. 2005. A comparison of MA and RSI returns with exchange rate intervention. Thomas C. Shik, Terence Tai-Leung Chong. Applied Economics Letters, Volume 14, Issue 4 6 April 2007. pages 371 383. News amp Announcements Does beta react to market conditions Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter. George Woodward, Heather Anderson, 2009. Journal of Quantitative Finance. March, 2009. Short-term market reaction after extreme price changes of liquid stocks. Adm G. Zawadowski, Gyrgy Andor, Jnos Kertsz, 2007. Journal of Quantitative Finance. May, 2007. Misc Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model. Yang K. Lu, Pierre Perron. 2009. Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156. When are contrarian profits due to stock market overreaction Andrew W. Lo and A. Craig MacKinlay. Review of Financial Studies 3(1990), 175206. Predictability of nonlinear trading rules in the U. S. stock market. Terence Tai-Leung Chonga, Tau-Hing Lama. 2010. Journal of Quantitative Finance. Issue 9, Volume 10, 2010. A Reality Check for Data Snooping. Halbert White. 2000. Econometrica. 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Empirical properties of asset returns: stylized facts and statistical issues.2002 quant : : ft5w : : eajh -- 20150811 Anomalies - The Equity Premium Puzzle-SiegelampThaler, JEP1997(). quant : : ft5w : : eajh -- 20150811 Anomalies - The Equity Premium Puzzle-SiegelampThaler, JEP1997().pdf Capital Asset Prices - A Theory of Market Equilibrium under Conditions of Risk-Sharpe, JF1964(CAPM).pdf Common risk factors in the returns on stocks and bonds-FamaampFrench, JFE1993().pdf Efficient Capital Markets - A Review of Theory and Empirical Work-Fama, JF1970(EMH).pdf Equilibrium in a Capital Asset Market-Mossin, Econometrica1966(CAPM).pdf Existence of an Equilibrium for a Competitive Economy-ArrowampDebreu, Econometrica1954(Arrow-Debreu).pdf Market efficiency, long-term returns, and behavioral finance-Fama, JFE1998(EMH).pdf Multifactor Explanations of Asset Pricing Anomalies-FamaampFrench, JF1996().pdf Portfolio Selection-Markowitz, JF1952(-).pdf Proof that properly anticipated prices fluctuate randomly-Samuelson, Industrial Management Review1965(EMH).pdf Security Prices, Risk, and Maximal Gains From Diversification-Lintner, JF1965(CAPM).pdf The Arbitrage Theory of Capital Asset Pricing-Ross, JET1976(APT).pdf The Cost of Capital, Corporation Finance and the Theory of Investment-ModiglianiampMiller, AER1958(MM).pdf The Pricing of Options and Corporate Liabilities-BlackampScholes, JPE1973(B-S).pdf Theory of Rational Option Pricing-Merton, Bell JEMS1973(B-S).pdf -- ABN-AMRO A Breathrough in Synthetic Credit Investments. pdf Adelson amp Jacob Consulting The Need to See Past the Data. pdf Advances in Futures and Options Research, Barone-Adesi On the Valuation of American Put Options on Dividend-Paying Stocks. pdf Agder University College, Koekebakker Electricity Term Structure Modelling. pdf Aite Group Trends in OTC Equity Derivatives - 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New Techniques for Understanding the Implied Volatility of Multi-asset Options. pdf New York University, Avellaneda Weighted Monte-Carlo Methods for Multi-asset Equity Derivatives - Theory and Practice. pdf Nielsen Pricing Asian Options. pdf NIKHEF Theory Group, Weinzierl Introduction to Monte Carlo Methods. pdf Nomura A Journey to the Alt-A Zone - A Brief Primer on Alt-A Mortgage Loans. pdf Nomura ABS Credit Migrations 2004.pdf Nomura ABS Credit Migrations. pdf Nomura ABS Gold Coast Report - Coverage of Selected Sessions of ABS East 2003.pdf Nomura ABX Index - The Constituent Breakdown. pdf Nomura Basel II and Banks - Key aspects and likely market impact. pdf Nomura CDO-CDS Update 01-09-2007.pdf Nomura CDO-CDS Update 02-21-2006.pdf Nomura Constant Maturity CDS (CMCDS) - A Guide. pdf Nomura Correlation Primer. pdf Nomura Credit Default Swap (CDS) Primer. pdf Nomura Economics in Focus - December 2005.pdf Nomura Holiday Special - December 2008.pdf Nomura Home Equity ABS Basics. pdf Nomura How the Events of 9-11 Affect Thinking about Risk. pdf Nomura Jumbo MBS - 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The Salomon Brothers Prepayment Model. pdf Salomon Brothers Understanding the Yield Curve, Part 1 - Overview of Forward Rate Analysis. pdf Salomon Brothers Understanding the Yield Curve, Part 2 - Markets Rate Expectation and Forward Rates. pdf Salomon Brothers Understanding the Yield Curve, Part 3 - Does Duration Extension Enhance Long-Term Expected Returns. pdf Salomon Brothers Understanding the Yield Curve, Part 4 - Forecasting US Bond Returns. pdf Salomon Brothers Understanding the Yield Curve, Part 5 - Convexity Bias and the Yield Curve. pdf Salomon Brothers Understanding the Yield Curve, Part 6 - A Framework for Analysing Yield Curve Trades. pdf Salomon Brothers Understanding the Yield Curve, Part 7 - The Dynamic of the Shape of the Yield Curve. pdf Salomon Smith Barney An Introduction to CMO Cashflow Structures. pdf Salomon Smith Barney Exotic Equity Derivatives Manual. pdf Salomon Smith Barney Introductory Guide to Equity Options. pdf Salomon Smith Barney Principles of Principal Components - 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Version 13.pdf Sungard Guidelines for Pricing and Risk Managing Credit Derivatives. pdf Super Computer Consulting, Nelken Weather Derivatives - Pricing and Hedging. pdf SwiftStandards Category 1 - Customer Payments amp Cheques (MT100 - MT199).pdf SwiftStandards Category 2 - Financial Insitution Transfers (MT200 - MT299).pdf SwiftStandards Category 3 - Treasury Markets Foreign Exchange, Money Markets amp Derivatives (MT300 - MT341) Volume 1.pdf SwiftStandards Category 3 - Treasury Markets Foreign Exchange, Money Markets amp Derivatives (MT350 - MT399) Volume 2.pdf SwiftStandards Category 4 - Collections amp Cash Letters. pdf SwiftStandards Category 5 - Securities Markets (MT500 - MT518) Volume 1.pdf SwiftStandards Category 5 - Securities Markets (MT519 - MT543) Volume 2.pdf SwiftStandards Category 5 - Securities Markets (MT544 - MT567) Volume 3.pdf SwiftStandards Category 5 - Securities Markets (MT568 - MT599) Volume 4.pdf SwiftStandards Category 6 - Treasury Markets Precious Metals (MT600 - MT699).pdf SwiftStandards Category 6 - Treasury Markets Syndications (MT643 - MT699).pdf SwiftStandards Category 7 - Documetary Credits amp Guarantees (MT700 - MT799).pdf SwiftStandards Category 8 - Travellers Cheques (MT800 - MT899).pdf SwiftStandards Category 9 - Cash Management amp Customer Status (MT900 - MT999).pdf SwiftStandards Category n - Common Group Messages (MTn90 - MTn99).pdf SWX Swiss Exchange Accrued Interest amp Yield Calculations and Determination of Holiday Calendars. pdf Technische Universitat Chemnitz, Kluge Pricing Derivatives in Stochastic Volatility Models using the Finite Difference Method. pdf Technische Universiteit Eindhoven, Kreuk Trading the Difference Between Realised and Implied Volatility. pdf The Bell Journal of Economics and Management Science, Merton Theory of Rational Option Pricing. pdf The Bond Market Association An Investors Guide to Collateralized Mortgage Obligations. pdf The Bond Market Association An Investors Guide to Pass-Through and Collateralized Mortgage Securities. pdf The Bond Market Association The Asset-Backed Market in 1999 and the Outlook for 2000.pdf The Canadian Journal of Economics, Johnson Cointegration, Error, and Purchasing Power Parity between Canada and the United States. pdf The Journal of Derivatives, Hull Efficent Procedures for Valuing European and American Path-Dependent Options. pdf The Journal of Derivatives, Hull Numerical Procedures for Implementing Term Structure Models I - Single-Factor Models. pdf The Journal of Derivatives, Hull Numerical Procedures for Implementing Term Structure Models II - Two-Factor Models. pdf The Journal of Futures Markets, Gray Canonical Valuation of Options in the Presense of Stochastic Volatility. pdf The Journal of Political Economy, Black The Pricing of Options and Corporate Liabilities. pdf The Review of Economics and Statistics, Enders Arima and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes. pdf The Review of Financial Studies, Heston A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. pdf UBS Investment Bank UBS Bloomberg Constant Maturity Commodity Index (CMCI) Family. pdf UBS Investment Bank Understanding the Inflation Derivatives Market Dynamics - Practical Trading Insights. pdf UBS Investment CDPO an Asset Class on its Own or a Glorified Bearish Rated Equity. pdf UBS Warburg CDO Insight. pdf Universidad de Montevideo, Ruibal Forecasting the Mean and the Variance of Electricity Prices in Deregulated Markets. pdf Universidad de Valencia, Lucia Electricity Prices and Power Derivatives - Evidence from the Nordic Power Exchange. pdf Universidad Torcuato Di Tella, Merener Swap Rate Variance Swaps. pdf Universitat Berlin, Buhler Volatility Markets - Consistent Modeling, Hedging, and Practical Implementation. pdf University of Calgary, Ware The Valuation of Swing Options in Electricity Markets. pdf University of California, Evans An Introduction to Stochastic Differential Equations - Version 1.2.pdf University of California, Silverman Solution of the Black Scholes Equation using the Greens Function of the Diffusion Equation. pdf University of California, Stoft Primer on Electricity Futures and Other Derivatives. pdf University of Chicago, Lee Corridor Variance Swap. pdf University of Chicago, Lee Gamma Swap. pdf University of Chicago, Lee Weighted Variance Swap. pdf University of Cyprus, Charalambous Artificial Neural Networs for Valuation of Financial Derivatives and Customized Option Embedded Contracts. pdf University of Essex, Liu Realized Volatility Fixings - Why They are Different. pdf University of Frankfurt, Vilkov Variance Risk Premium Demystified. pdf University of Freiburg, Eberlein Sato Processes and the Valuation of Structured Products. pdf University of Ibadan, Ugbebor Testing the Purchasing Power Parity Hypothesis for the Nigerian Foreign Exchange Markets. pdf University of Illinois, Deng Volatility Dispersion Trading. pdf University of London, Jacquier Variance Dispersion and Correlation Swaps. pdf University of London, Jacquier Volatility Seminar - Some notes on Variance Swaps and Volatility Derivatives. pdf University of Manitoba, Barua Fast Fourier Transform for Option Pricing - Improved Mathematical Modeling and Design of an Efficient Parallel Algorithm. pdf University of Minho, Areal FTSE-100 Implied Volatility Index. pdf University of Otago, Tamagushiku Heath, Jarrow and Morton Interest Rate Modelling Using Principal Component Analysis. pdf University of Pittsburgh, Ruibal On the Variance of Electricity Prices in Deregulated Markets. pdf University of Pittsburgh, Ruibal On the Variance of Electricity Prices in Deregulated Markets. ppt University of Texas, Wiley A UNIX Device Driver for a TransLink II Transputer Board. pdf University of the Witwatersrand, Mahomed Pricing of Himalaya Options. pdf University of the Witwatersrand, Majmin Local and Stochastic Volatility Models - An Investigation into the Pricing of Exotic Equity Options. pdf University of the Witwatersrand, Sheppard Pricing Equity Derivatives under Stochastic Volatility - A Partial Differential Equation Approach. pdf University of Tokyo, Osajima The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model. pdf University of Toronto, Surkov Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units. pdf University of Twente, Vellekoop Cash Dividends and Futures Prices on Discontinuous Filtrations. pdf University of Waterloo, Forsyth Numerical Methods and Volatility Models for Valuing Cliquet Options. pdf University of Waterloo, Windcliff Pricing Methods and Hedging Strategies for Volatility Derivatives. pdf University of Wisconsin-Madison, Shalizi CSSS 2000-2001 Math Review Lectures - Probability, Statistics, and Stochastic Processes. pdf University of Wollongong, Zhu An Exact and Explicit Solution for the Value of American Put and its Optimal Exercise Boundary. pdf Universit del Piemonte Orientale, Marazzina Interest Rate Modelling - A MATLAB Implementation. pdf Unversity Paris IX Dauphine, Geman Towards a European Market of Electricity - Spot and Derivatives Trading. pdf US Navy Mathematics, Basic Math, and Algebra. pdf Vienna University, Redl Modeling Electricity Futures. pdf VMAC A Comprehensive Solution to Counterparty Credit and Cash Demands in Energy Markets. pdf Wachovia Bank, Kramin A Multi-Factor Markovian HJM Model for Pricing Exotic Interest Rate Derivatives. pdf Wall Street Journal, Slater When Hedge Funds Meet Islamic Finance. pdf Weierstrab-Institut, Wystup Efficient Computation of Option Price Sensitivities. pdf Worchester Polytechic Institute, Acheampong Pricing Mortgage-Back Securities using Prepayment. pdf Workshop on Computational Methods for Pricing and Hedging Exotic Options, Dixon Calibrating Spread Options using a Seasonal Forward Model. pdf Yale University, Welch A First Course in Corporate Finance. pdf YieldCurve CDO-Note - Synthetic CDO Note Pricing Model Fact Sheet. pdf York University, Swishchuk Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility. pdf York University, Swishchuk Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility. ppt 1300 2N 3alpha-beta 1 2 3 4Bollinger Bands 5 1 2 3 4Bollinger Bands 5Rate of ChangesROC 6Aroon 2 380-20 1AdaBoost 2hurst 3 4ONeil 1 2 35 490 1MFI 2MACD 3OBV 4CMO 5ROC 6DMI 7RSI 8KDJ 1KDJ 2KAMAEMA 3CMOEMA 4CMO 5CCICMO 6EMA 7ROC 8KDJEMA 9EMA 10DMIROC 11DMI 12DMIEMA 13DMIRSI 1DMI 2 3 4 5 raquant raquantqaindex. phpqa215ampqa -2016-05-13-by-piyejingjing raquantqaindex. phpqa216ampqa -20160513-by-martin 150 A 1 902 B 100 90200 C 10 9010 150 A 1 902 B 100 90200 C 10 9010 15 1.51.8 1.5 C Elton, Gruber, Brown and Goetzmann (2003) Ch. 10 Utility Analysis, Modern portfolio theory and investment analysis. 2 3 4 W opac. library. usyd. edu. au:80 recordb3632103 Kritzman, M. (2011) The graceful aging of mean-variance optimization, Journal of Portfolio Management, Vol. 37 Issue 2, pp. 3-5. opac. library. usyd. edu. au:80 recordb4152264 S4 Michaud, R. O. (1989) The Markowitz Optimization Enigma: Is Optimized Optimal, Financial Analysts Journal, Jan-Feb, pp. 31-42. opac. library. usyd. edu. au:80 recordb4152266The Thalesians Images from Thalesians events from around the world over the past 6 years The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order. Blog See our new Thalesians blog Book Buy our new book. Trading Thalesians - What the ancient world can teach us about trading today (Palgrave Macmillan) by the Thalesians co-founder, Saeed Amen amp foreword by founder, Paul Bilokon Founding The group was founded in Sep 2008, by Paul Bilokon (then a quantitative analyst at Lehman Brothers specialising in foreign exchange, and a part-time researcher at Imperial College ), and two of his friends and colleagues: Matthew Dixon (then a quantitative analyst at Deutsche Bank) and Saeed Amen (then a quantitative strategist at Lehman Brothers). The opening of Level39 in 2013 by Mayor Boris Johnson The Thalesians are also now a member of Level39 - Europes largest technology accelerator for finance, retail, cyber-security and future cities technology companies Events Research Consulting Events The Thalesians were originally based in London, UK. In Jan 2011, the organisation became truly global when Matthew Dixon brought it to the United States where he runs the Thalesians NYC seminars with New York Leader Harvey Stein. Attila Agod is the Budapest Leader for our Thalesians Budapest seminars. We are currently in the process of expanding our seminars to Prague and running more workshops. Research In late 2013, we started published ground breaking quant strategy notes. Our effort is lead by Saeed Amen, using nearly a decade of his experience both creating and later trading systematic trading models in FX at major investment banks. Visit Research for more. Consulting In 2014, we started offering bespoke quant consulting services in markets, signing up our first client, a major US hedge fund and RavenPack, a major news data vendor. Our services includes the creation of bespoke systematic trading models and other quant analysis of financial markets, such as currency hedging and FX transaction cost analysis (TCA). Visit Consulting for more. Our Philosophy We are named after Thales of Miletus ( ), a pre-Socratic Greek philosopher who lived in ca. 624 BC-ca. 546 BC. Thales was a mathematician and is familiar to many secondary school students for one of his theorems in geometry. But more relevantly to us, he was one of the first users of options: Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a low rent as nobody was running him up and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out on what terms he liked he realised a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about. Aristotle, Politics, 1259a. The morale of this anecdote is that it is easy for philosophers to be rich if they choose the famous Milesian went ahead and proved it. We, the Thalesians . admire him for that. But we also share many of his values, for example his core belief that a happy man is defined as one , , (who is healthy in body, resourceful in soul and of a readily teachable nature). This wiki was created to serve as a source of information on quantitative finance, to collate references to various related resources, and to serve as a convergence point for the Thalesians . our colleagues and collaborators. It grew out of Paul Bilokons finance wiki, which he started in February, 2007. We believe that secrecy and fidelity are important in the world of finance. But we also acknowledge the power of information sharing in open societies. Let your business logic remain a closely guarded secret. But release everything else into the public domain. What goes around, comes around this will ultimately spare you reinventing the wheel. More of our speakers at Thalesians events over the past 6 years Forthcoming Events Wed, Feb 22: Saeed Amen Wed, Mar 29: TBD Wed, Apr 26: TBD Wed, May 24: TBD Thalesians Seminar (London) 8212 Saeed Amen 8212 Using Python to analyse financial markets Registration One popular approach to model limit order book dynamics of the best bid and ask at level-1 is to use reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of the level-1 limit order books of a basket of stocks and study the numerical evidence of drift, correlation, volatility and their dependence on the imbalance. Based on the numerical discoveries, we develop a nonparametric discrete model for the dynamics of the best bid and ask. This model can be approximated by a reduced-form model with analytical tractability that can fit the empirical data of correlation, volatilities and probability of price movement simultaneously. (Joint work with Tzu-Wei Yang) Lingjiong Zhu grew up in Shanghai and went to study in England, where he got BA from University of Cambridge in 2008. He then moved to the United States and received PhD from New York University in 2013. After a stint at Morgan Stanley, he went to work at the University of Minnesota as the Dunham Jackson Assistant Professor before joining the faculty at Florida State University as an Assistant Professor in 2015. In his spare time, he enjoys reading, traveling, and going to art exhibitions, museums and classical music concerts. 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. IAQF-Thalesians Seminar (New York) 8212 Dr. Sebastian Jaimungal 8212 Trading algorithms with learning in latent alpha models Monday, May 15, 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the traders actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem in an online fashion. Furthermore, we develop a forward-backward algorithm based on expectation-maximization to calibrate a pure-jump model to historical data, illustrate the efficacy of the optimal strategy through simulations, and compare to strategies which ignore learning in the latent factors. (Joint work with Philippe Casgrain, U. Toronto) Dr. Sebastian Jaimungal is a Full Professor in the Department of Statistical Sciences at the University of Toronto, where he is the director of the Masters of Financial Insurance program, teaches in the Masters of Mathematical Finance program, and the PhD program. Sebastian is the current Chair (and former Vice Chair Program Director) for SIAM Financial Mathematics and Engineering (SIAGFMampE ), he is a co-author of the book titled High-Frequency and Algorithmic Trading published by Cambridge University Press (2015), and acts on the editorial board for a number of academic and industry journals including: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High Frequency. Journal of Risks and Argo. Sebastian is also a founding board member of the Commodities and Energy Markets Association. 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. Recent Events IAQF-Thalesians Seminar (New York) 8212 Dr. Alan Moreira 8212 Volatility Managed Portfolios Wednesday, February 15, 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns. Alan Moreira is an Assistant Professor of Finance at the Yale University School of Management. Originally from Rio de Janeiro, Brazil, he received his undergraduate degree from the Rio de Janeiro Federal University (UFRJ) and his PhD in Financial Economics from the University of Chicago. Dr. Moreiras research investigates how financial intermediation shapes the real economy and the causes and consequences of fluctuations in uncertainty. His research has been published in the top journals including the Journal of Financial Economics and Journal of Finance. In addition to teaching Risk Management in the MBA program at the Yale School of Management, Dr. Moreira teaches Asset Pricing at the PhD level. In his spare time, he enjoys biking, traveling, and hanging out the family. Alan Moreira, Assistant Professor of Finance, Yale School of Management 1 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 Oskar Mencer 8212 Multiscale Dataflow Risk Computations on Hybrid Cloud Date and Time 7:30 p. m. on Wednesday 25th January 2017 Registration Instantaneous volatility of logarithmic return in lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such models are less known in the literature. We present in this talk a bridge representation for the joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a properly chosen deterministic path yields an Edgeworth style of expansion of the probability density for the fractional SABR model. A direct generalization of the representation to joint density at multiple times leads to a heuristic derivation of the large deviations principle for the joint density in small time. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices and comparing coefficients. The presentation is based on a joint work with Jiro Akahori and Xiaoming Song. Tai-Ho Wang holds a professorship in mathematics at Baruch College, City University of New York since 2012. His research in quantitative finance includes implied volatility asymptotics in small time, static arbitrage free bounds on basket options, optimal liquidation and execution in market impact models, and recently information dynamics in financial 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. IAQF-Thalesians Seminar (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making with Overnight Inventory Costs Thursday, December 14, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market making theories, we model an HFT that has access to unlimited leverage intraday but must fund any end-of-day inventory at an exogenously determined cost. Even though the inventory costs only occur at the end of the day, they impact intraday price and liquidity dynamics. This gives rise to an intraday endogenous price impact mechanism. As time approaches the end of the trading day, the sensitivity of prices to inventory levels intensifies, making price impact stronger and widening bid-ask spreads. Moreover, imbalance of buy and sell orders may catalyze hikes and drops of prices, even under fixed supply and demand functions. Empirically, we show that these predictions are borne out in the U. S. Treasury market, where bid-ask spreads and price impact tend to rise towards the end of the day. Furthermore, price movements are negatively correlated with changes in inventory levels as measured by the cumulative net trading volume. (Joint work with Tobias Adrian, Agostino Capponi, and Erik Vogt) Hongzhong Zhang is an assistant professor at Columbia University. His research focuses on the broad area of applied probability with applications in engineering, finance and insurance. In particular, some of his current research interests include asymptotics, drawdowns, optimal stopping, and detection of regime changes. 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 Xmas Party (London) 8212 Iain Clark 8212 Implied Distributions from FX Risk-Reversals and Predictions for the Effect of the Brexit Vote and the Trump election We would like to invite you to our Thalesians Christmas seminar in London, where Iain Clark will be presenting This will be followed by our Christmas party at the GampTea Bar in the Marriott Hotel, Canary Wharf, where we will be serving drinks and canapes. The ticket price includes both the talk and the party (first drinks canapes). The canape selection will include some of the following: Aubergine and haloumi wrap Brie and parma ham finger brioche Crudits and hummus shot glasses Open face smoked salmon bagel Mini burgers Lamb samosa Spring rolls Prawn potato shells Date and Time 7:30 p. m. on Monday 12th December 2016 Ginger Room, followed by drinks amp canapes at GampTea Bar, Marriott Hotel, Canary Wharf, London, UK, Meetup In May 2016 it was noted, in the audience QampA after a presentation by the speaker, that GBPUSD risk reversals were exhibiting very unusual behaviour - namely, extreme skew in short dated tenors but relatively flat smiles thereafter. This is a most unusual volatility signature and the connection with the upcoming Brexit referendum vote was immediately made. The speaker, as a matter of urgency given the topical nature of the pre-Brexit market, performed an analysis with his co-author on implied distributions for the market expectations for GBPUSD around the referendum date (23 June 2016), with predictions for spot thereafter. The paper was uploaded to SSRN (ssrnabstract2794888 ) on 13 June, in which we identified empirical evidence in the volatility skew for a fall in GBPUSD from 1.4390 to the range 1.10 to 1.30 in the event of a Leave vote - a downward move of 0.14 to 0.34. The analysis, unusually for quant research, received coverage in the FT and the Sunday Telegraph and indeed our predictions were borne out when the referendum result was announced and sterling fell from 1.50 to 1.33 - a downward move of 0.17 - in a matter of hours. Subsequent to this analysis, we applied similar methods to the Mexican peso quoted versus the US dollar (USDMXN) immediately before the 2016 US election and we were able to predict peso devaluation into a range of 20-24 pesos per dollar in the event of a Trump victory, which was borne out by subsequent events. In this talk I will go through our analysis of the information embedded in the volatility skew and the basis for our predictive analysis. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) has over 14 years experience as a front office quant. He has worked as Head of FX and Commodities Quantitative Analysis at Standard Bank, as Head of FX Quantitative Analysis at Unicredit and at Dresdner Kleinwort, and at Lehman Brothers, BNP Paribas and JP Morgan. Iain has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. His main research interests are on exotic options, stochastic models for FX and commodities, and numerical methods for option pricing. He is a frequent contributor to industry conferences, training courses and invited speaker at various universities. His first book Foreign Exchange Option Pricing: A Practitioners Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioners Guide is due to appear in early 2014 (also with Wiley Finance). Thalesians Seminar (London) 8212 Vlasios Voudouris 8212 Flexible machine learning for finance Date and Time 7:30 p. m. on Wednesday 23rd November 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup With rapid changes in computing technology and the big data age, the field of data science is constantly challenged. Data scientists job is to make sense of the vast amounts of data: to extract important patterns and trends, and understand what the data says. The challenges in learning from data have led to a revolution in machine learning techniques. The GAMLSS suite of tools in our attempt to learn from financial data. GAMLSS is now widely used for predictive analytics and risk quantification (e. g. loss given default). Because of the flexibility of GAMLSS models, we can capture the following data characteristics: The heavy-tailed or light-tailed characteristics of the distribution of the data. This means that the probability of rare events (e. g. an outlier value) occurs with higher or lower probability compared with the normal distribution. Furthermore, the probability of occurrence of an outlier value might change as a function of the explanatory values. The skewness of the response variable, which might change as a function of the explanatory variables. The nonlinear or smooth relationship between the target variable and the explanatorypredictor variables. 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 Thalesians 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 fx 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 fx 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