wiki Så här hittar du de bästa dagshandelsvalen Läs finansiella nyheter varje dag. Om du stannar på affärsrapporteringen får du information om specifika företag som du kan använda under handelssessioner. Din handelsplattform kommer sannolikt att ge nyhetsrapporter, eller du kan kolla webbplatser som CNBC, MotleyFool och TheStreet för mer information. Speciellt hålla ett öga på följande: Resultatrapporter - särskilt för företag som slår eller saknar förväntningarna hos Wall Street-analytiker. Nya utvecklingar - en företagsaktie kan flytta på förväntade framtida intäkter från en kommande produktfrisättning eller rykten om att VD kommer att bli avfyrade. Insider köp och försäljning - om chefer köper eller säljer bolagets lager, som kan flytta priset. Titta på finansiella nyheter på TV. Om du dagar handlar hemifrån bör du ha en ekonomisk nyhetskanal så mycket som möjligt. Du får uppdaterad information om vad som rör marknaderna och får även tips om lager som kan vara redo för en betydande prisförändring. 1 Bläddra bland icke-finansiella nyheter. Det är möjligt att vissa nyheter med möjliga konsekvenser på bolagets aktiekurs inte har fungerat in i de finansiella nyheterna. Du kan hoppa på andra investerare genom att uppmärksamma alla nyhetskällor. Om ett filmproduktionsföretag slår tips om att det kan producera en uppföljare till en mycket populär film, som kan flytta bolagets aktiekurs. Om någon tragedi eller brottslighet uppstår i en butik som ägs av ett företag som är offentligt handlat, kommer det ibland att leda till att stocken släpps tillfälligt. Ett av de viktigaste stegen att ta för att hitta dagens toppval är att följa upp dagliga handelsnyheter. Du kan läsa dagliga finansiella rapporter listade i de flesta nationella affärstidningar, som Wall Street Journal, New York Times och USA idag. Du kan också lära dig om internationella aktier när du söker utländska tidningar. Inte bara det, men alla dessa stora tidningar är tillgängliga online. Hur man väljer aktier Hur man köper aktier Hur man investerar i aktier Hur man blir rik Hur man kan förstå binära alternativ Hur man investerar små pengar pengar Klokt Hur man handlar Forex Hur man gör mycket pengar i Online Stock Trading Hur man beräknar utdelningarExaminers8217 Feedback Vänligen köp via våra boklänkar nedan. Amazon ger oss en liten procentandel som är mycket stor, men hjälper till att hålla ner våra kostnader och hålla Bradford VTS fri för dig. Amazon. co. uk Widgets Om du har dåliga samtalskunskaper, är det osannolikt att du ska passera CSA. Därför är det viktigt att ha någon form av samråd ramverk (även om vilken ram du väljer att använda från sorten där ute är mindre viktigt). Prova och arbeta med dessa så snart du börjar göra en GP-post (antingen i ST1 eller ST2) och fortsätt att se över och bygga vidare i ST3. Titta på boklänkarna ovan för några fantastiska sådana som hjälper dig att bygga på dina kommunikations - och konsultkunskaper. F först och främst förstå vad CSA handlar om 8211 hur det fungerar och vad det försöker testa. Mycket av denna information finns tillgänglig på denna webbsida. Mer information finns på RCGP CSA-sidorna. Utarbeta en CSA-studiegrupp tidigt med några av dina kollegor. Cirka 6-8 medlemmar per grupp handlar om rätt. Försök och få ett varierat medlemskap så att olika medlemmar kan ge unika och olika perspektiv på saker. Vissa av er kanske vill göra ytterligare övning i par. Om det inte stämmer, håller du bara fast vid att ge direkt återkoppling till varandra efter att ha övat ett ärende. Du har alla videokameror 8211 gå vidare genom att videouppspelning av din prestanda och granskning av den tillsammans. Vi kan ofta se hur vi verkligen utför när vi håller på att utföra och våra minnen är ofta otillförlitliga också. Kandidater som har sin primära läkarutbildning utomlands (dvs. internationella medicinska utexaminerade) 8211 VÄLKOMMEN är inte en CSA-grupp som är full av andra internationella doktorander. Du måste blanda ihop med dem som utexaminerades från Storbritannien för att utöka ditt kulturella perspektiv på specifika fall. Att du inte kan säga att du kan få andra internationella doktorander i din grupp allt vi säger är att se till att det finns en balanserad blandning av olika personer i din grupp. Vissa internationella medicinska utexaminerade kan ofta få det fast i sina huvuden vad de tror kommer att få dem genom provet 8211 och ofta är dessa begrepp helt fel. Men vad som är värre är när de skickar samma råd till sina kollegor. Men om du var en del av en mångsidig grupp, så kan du kontrollera dessa begrepp. Vårt träningsprogram (och de flesta andra ordningar) kommer att sköta mocka CSA två gånger per år för att hjälpa dig att träna och hjälpa dig att bli bekant med vad som förväntas. Du måste utnyttja denna möjlighet. Där ringde en DVD ut av RCGP: En guide till klinisk kompetensbedömning (CSA). För alla läkare som undervisar eller förbereder sig för MRCGP: s nya kliniska kompetensbedömning (CSA). Det kostar omkring 20. Gå till deras hemsida för att köpa den: rcgp. org. acatalog Practice CSA-scenarier: det finns många böcker runt (se vår Amazon-länk ovan) och många gratis tillgängliga på webben. There8217s massor av praktiska CSA-scenarier från Pennine Scheme (klicka här). Dessa är de 3 områden du kommer att testas på: I Data Gathering. de prövar kommunikationsförmåga lika bra som kliniska färdigheter som klinisk undersökning kring 3 stationer kommer att innebära klinisk undersökning. Klinisk hantering innefattar syntes, diagnos, uppskattning av medmorbiditet, flexibilitet och delning av hanteringsalternativ med patienten. Interpersonella färdigheter inkluderar kommunikation, respekt för andra, professionalism och andra beteendeindikatorer. Och slutligen, alltid säkerhetsnät (fråga din tränare om du inte vet vad det betyder). Vissa fall kräver granskning: Ta med dig din normala läkarväska med dig. It8217 är ett välkänt faktum att läkarutbildare som är kvalificerade utanför Storbritannien har högre misslyckanden i CSA än de som är födda här. Detta är överraskande eftersom utöver kliniska färdigheter tester provet också kommunikation och interpersonella färdigheter. Det betyder att när du samråder med patienter i Storbritannien behöver du förstå vad de säger i samband med brittisk kultur. Det innebär också att ha en god förståelse för hur vardagligt talat engelsk språk fungerar. Om du är en internationell medicinsk kandidatexamen (IMG), är det väldigt troligt att du har en djup förståelse för samhällets vanor, kultur och nyanser i det land du växte upp i 8211 mer än vad en kandidat från Storbritannien kunde förstå. På samma sätt är en brittisk kandidat mer sannolikt att förstå den brittiska kulturen och de subtila skillnaderna på engelska språket bättre än de flesta IMG. Detta innebär att en brittisk examen är mer benägna att samla upp viktiga saker som patienten ger under samråd än en IMG. Därför, om du vill öka dina chanser att passera, får CSA 8211 lära känna några brittiska födda praktikanter och öva med dem. Tips för att hjälpa dig att bli bekant med brittisk kultur och vardagligt engelska8230 Prova och titta på brittisk TV 8211 speciellt tvål. I brittiska tvål kommer skådespelare att använda colloquialisms, slang och andra terminologier och fraser som du inte har lärt dig i skolan. Detta är viktigt eftersom patienter pratar i vardagligt engelska och inte lärobok engelska. Försök bli med någon grupp i Storbritannien. Till exempel, om du är en ny mamma, varför inte gå med i din lokala nya mums8217 grupp (gör en sökning på nätet). Blanda med människor som är födda i detta land, chatta med dem och börja bli bekanta med talade engelska varje dag. Det finns massor av olika typer av grupper i Storbritannien. Om du försöker förlora lite vikt, överväga Slimming World eller Weight Watchers 8211 inte bara för att hjälpa dig att förlora den vikten, men för att få dig att prata med andra. En bra app för att träffas i grupper är MeetUp. mötas som grupper av personer med gemensamma intressen planerar möten och bildar offline klubbar i lokala samhällen runt om i världen. En annan bra plats är StreetBank: Streetbank sätter dig i kontakt med ditt samhälle, vilket leder till närliggande bostäder och gör världen lite snällare. streetbank. Börja med att göra dessa sorters saker direkt från ST1 8211 don8217t vänta tills ST3 eftersom det kommer vara för sent då kan du inte göra en krasch kurs i brittisk kultur och engelska uttryck istället, it8217s en lång men stadig stadig resa. Tips för att förbereda CSA När din bildande CSA-studiegrupp 8211 går med i en studiegrupp med en blandning av praktikanter (det vill säga varav några är födda i Storbritannien och några utomlands). Vänligen bild INTE en studiegrupp rent med andra IMG 8211 eftersom du behöver förstå de kulturella normerna i Storbritannien och innebörden av visst uttryck 8211 En annan IMG8217s tolkning av detta kan inte nödvändigtvis återspegla verkligheten eller sanningen Om du har misslyckats CSA, bilda INTE en studiegrupp som rent består av andra8217s som har misslyckats med CSA. Hur kommer du att gå om ingen i din grupp på ett tillförlitligt sätt kan erbjuda dig några råd för att gå vidare om de inte har gått. Detta är farligt territorium 8211 stanna borta. Det enda sättet som detta kommer att fungera är om du får en expert facilitator för att hjälpa din grupp (det vill säga någon som verkligen förstår CSA 8211 som en CSA-examinator, en GP-lärare eller en kollega som har gått med flygfärger). Om en grupp av dig kan få en bra facilitator 8211, se till att din grupp har ett brett utbud av människor (det vill säga har några brittiska födda praktikanter att vägleda dig). Kämpa inte med att förbereda sig för CSA själv. Det finns så många aspekter för varje kliniskt fall 8211 och you8217ll blir naturligt medvetna om dessa om du börjar utforska CSA-fall med en grupp andra. Men om du gör allt själv eller med bara en annan kollega, kommer det sannolikt att you8217ll utvecklar ett enspårigt sinne som sannolikt kommer att leda till misslyckande. Bryta dåliga nyheter Motivational intervjuer Proxy konsultation Sekretess Aggressiva patienter Manipulerande patienter Förhandlingar Patienter som begär ett test Patienter som vill ha antibiotika Patienter som inte uppfyller kraven Somatiserande patienter Smärta i smärta Ej specifika abdo smärta Ryggvärk Diarré Dyspareuni Trött hela tiden Cystit Förhållande uppbrytning Anxietypaniska attacker Återkommande ömningar halsen Ej specifika bröstsmärtorThe Thalesians Bilder från Thalesians händelser från hela världen under de senaste 6 åren Thalesians är en tankesmedja av dedikerade yrkesverksamma med intresse för kvantitativ ekonomi, ekonomi, matematik, fysik och datavetenskap, inte nödvändigtvis i den ordningen . Blogg Se vår nya Thalesians blogg Boka Köp vår nya bok. Handel Thalesians - Vad den gamla världen kan lära oss om handel idag (Palgrave Macmillan) av Thalesians medgrundare Saeed Amen amp foreword av grundare Paul Bilokon Founding Gruppen grundades i september 2008 av Paul Bilokon (då en kvantitativ analytiker hos Lehman Brothers med specialisering i utländsk valuta och en deltidssökare vid Imperial College) och två av hans vänner och kollegor: Matthew Dixon (då en kvantitativ analytiker på Deutsche Bank) och Saeed Amen (då en kvantitativ strateg vid Lehman Brothers) . Öppnandet av Level39 2013 av borgmästare Boris Johnson Thalesians är nu också medlem i Level39 - Europas största teknikaccelerator för finans, detaljhandel, cybersäkerhet och framtida städer teknikföretag Evenemang Forskning Konsulttjänster Thalesians var ursprungligen baserat i London, Storbritannien . I januari 2011 blev organisationen verkligen global när Matthew Dixon tog det till USA där han driver Thalesians NYC-seminarier med New York-ledaren Harvey Stein. Attila Agod är Budapest ledare för våra Thalesians Budapest seminarier. Vi håller för närvarande på att utöka våra seminarier till Prag och köra fler workshops. Forskning I slutet av 2013 började vi publicera banbrytande kvantstrategidokument. Vår ansträngning är ledd av Saeed Amen, som använder nästan ett decennium av sin erfarenhet av att skapa och senare handla systematiska handelsmodeller i FX hos större investeringsbanker. Besök Research för mer. Rådgivning Under 2014 började vi erbjuda skräddarsydda kvantkonsulttjänster på marknader, anmälan till vår första kund, en stor amerikanska hedgefonden och RavenPack, en stor nyhetsdatasäljare. Våra tjänster omfattar skapandet av skräddarsydda systematiska handelsmodeller och annan kvantanalys av finansiella marknader, såsom valutasäkring och valutakursanalys (TCA). Besök Consulting för mer. Vår filosofi Vi är uppkallade efter Thales of Miletus (), en pre-socratic grekisk filosof som bodde i ca. 624 BC-ca. 546 f. Kr. Thales var matematiker och är bekant för många gymnasieelever för en av hans teorier i geometri. Men mer relevant för oss var han en av de första användarna av alternativ: Thales, så historien går, på grund av hans fattigdom var skakad med filosofins meningslösa men från hans kunskap om astronomi hade han observerat medan det fortfarande var vinter att det där skulle bli en stor olivolja, så han höjde en liten summa pengar och betalade runda insättningar för hela olivpressarna i Miletus och Chios, som han hyrde på en låg hyra, eftersom ingen hamnade upp och när säsongen anlände det en plötslig efterfrågan på ett antal pressar samtidigt, och genom att låta dem ut på vilka villkor han tyckte han insåg en stor summa pengar, vilket visar att det är lätt för filosofer att vara rika om de välj, men det här är inte vad de bryr sig om. Aristoteles, Politik, 1259a. Denna anekdotes moral är att det är lätt för filosoferna att vara rika om de väljer den berömda Milesianen som gick framåt och bevisat det. Vi, Thalesiansna. beundra honom för det. Men vi delar också många av hans värderingar, till exempel hans grundläggande tro på att en lycklig man definieras som en,, (som är frisk i kroppen, resursfull i själen och lätt läsbar natur). Denna wiki skapades för att fungera som en källa till information om kvantitativ finansiering, för att samla referenser till olika relaterade resurser och att fungera som en konvergenspunkt för Thalesians. våra kollegor och medarbetare. Det växte ut ur Paul Bilokons finanswiki, som han började i februari 2007. Vi tror att sekretess och trohet är viktigt i finansvärlden. Men vi erkänner också kraften i informationsutbyte i öppna samhällen. Låt din affärslogik förbli en noggrann bevakad hemlighet. Men släpp allt annat i det offentliga området. Vad som går runt, kommer runt detta kommer slutligen att spara dig att återuppfinna hjulet. Fler av våra talare vid Thalesians händelser under de senaste 6 åren Kommande evenemang ons 22 februari: Saeed Amen ons 29 mars: TBD ons 26 april TBD ons 24 maj TBD Thalesians seminarium London 8212 Saeed Amen 8212 Använda Python att analysera finansmarknaderna Registrering Ett populärt tillvägagångssätt för modellbegränsning orderbokdynamik av det bästa budet och fråga på nivå-1 är att använda approximerade approximationer med reducerad form. Det är välkänt att den största bidragande faktorn till prisrörelsen är obalansen i det bästa budet och frågan. Vi undersöker data för nivå 1-orderböckerna för en korg av bestånd och studerar de numeriska bevisen på drift, korrelation, volatilitet och deras beroende av obalansen. Baserat på de numeriska upptäckterna utvecklar vi en icke-parametrisk diskret modell för dynamiken i det bästa budet och frågan. Denna modell kan approximeras med en reducerad formmodell med analytisk dragbarhet som kan passa de empiriska uppgifterna om korrelation, volatiliteter och sannolikheten för prisrörelse samtidigt. (Samarbete med Tzu-Wei Yang) Lingjiong Zhu växte upp i Shanghai och gick för att studera i England där han fick BA från University of Cambridge 2008. Han flyttade sedan till USA och tog doktorsexamen från New York University 2013. Efter en stans på Morgan Stanley gick han till University of Minnesota som Dunham Jackson Assistent Professor innan han gick till fakulteten vid Florida State University som biträdande professor år 2015. På fritiden njuter han av att läsa, resa och gå till konstutställningar, museer och klassiska konserter. IAQF-Thalesians Seminarier IAQF-Thalesians Seminarieserie är en gemensam ansträngning från IAQF (tidigare IAFE) och Thalesians. Seriens mål är att skapa ett forum för utbyte av nya idéer och resultat relaterat till kvantitativ finans. Detta mål uppnås genom att hålla seminarier där ledande utövare och akademiker presenterar nytt arbete och följer seminarierna med en mottagning för att underlätta vidare interaktion och diskussion. Seminarieserien är endast begränsad till IAQF och Thalesians medlemmar. IAQF-Thalesians Seminarium (New York) 8212 Dr. Sebastian Jaimungal 8212 Handelsalgoritmer med inlärning i latenta alfamodeller Måndag den 15 maj 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Alpha-signaler för statistiska arbitrage-strategier drivs ofta av latenta faktorer. I det här dokumentet analyseras hur man optimalt handlar med latenta faktorer som gör att priserna hoppa och diffusa. Dessutom redogör vi för effekten av de handlade aktörerna på citerade priser och de priser de erhåller från handel. Under ganska allmänna antaganden visar vi hur näringsidkaren kan lära sig den bakre fördelningen över de latenta staterna och uttryckligen lösa det latenta optimala handelsproblemet i ett onlinemode. Vidare utvecklar vi en framåtriktad algoritm baserad på förväntningsmaksimering för att kalibrera en renhoppsmodell till historiska data, illustrera effekten av den optimala strategin genom simuleringar och jämföra med strategier som ignorerar inlärning i latenta faktorer. (Gemensamt arbete med Philippe Casgrain, U. Toronto) Dr. Sebastian Jaimungal är en full professor vid Institutionen för statistiska vetenskaper vid University of Toronto, där han är regissör för programmet Masters of Financial Insurance, undervisar i Masters of Mathematical Finansprogrammet och doktorandprogrammet. Sebastian är den nuvarande ordföranden för SIAM Financial Mathematics and Engineering (SIAGFMampE), han är medförfattare till boken med titeln High-Frequency and Algorithmic Trading, publicerad av Cambridge University Press (2015) och agerar på redaktionen för ett antal akademiska och industriella tidskrifter inklusive: SIAM Journal on Financial Mathematics (SIFIN), International Journal of Theoretical and Applied Finance (IJTAF), High Frequency. Journal of Risks and Argo. Sebastian är också en grundläggande styrelseledamot i Commodities and Energy Markets Association. IAQF-Thalesians Seminarier IAQF-Thalesians Seminarieserie är en gemensam ansträngning från IAQF (tidigare IAFE) och Thalesians. Seriens mål är att skapa ett forum för utbyte av nya idéer och resultat relaterat till kvantitativ finans. Detta mål uppnås genom att hålla seminarier där ledande utövare och akademiker presenterar nytt arbete och följer seminarierna med en mottagning för att underlätta vidare interaktion och diskussion. Seminarieserien är endast begränsad till IAQF och Thalesians medlemmar. Senaste evenemang IAQF-Thalesians Seminarium (New York) 8212 Dr. Alan Moreira 8212 Volatilitet Managed Portfolios Onsdag 15 februari 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Administrerade portföljer som tar mindre risk vid volatilitet är högproducerande stora alfaser, ökar Sharpe-förhållandena och producerar stora nyttjandevinster för medelvariabilitetsinvesterare. Vi dokumenterar detta för marknaden, värde, momentum, lönsamhet, avkastning på eget kapital och investeringsfaktorer samt valutahandel. Volatilitetstidpunkten ökar Sharpe-kvoten eftersom förändringar i volatiliteten inte kompenseras av proportionella förändringar i förväntad avkastning. Vår strategi strider mot konventionell visdom eftersom det tar relativt mindre risk i recessions men ändå tjänar hög genomsnittlig avkastning. Detta reglerar typiska riskbaserade förklaringar och är en utmaning för strukturella modeller av tidsvarierande förväntade avkastningar. Alan Moreira är en biträdande professor i finans vid Yale University School of Management. Ursprungligen från Rio de Janeiro, Brasilien, fick han sin högskoleexamen från Rio de Janeiro Federal University (UFRJ) och sin doktorsexamen i finansiell ekonomi från University of Chicago. Dr Moreiras forskning undersöker hur finansiell förmedling bildar realekonomin och orsakerna och följderna av fluktuationer i osäkerhet. Hans forskning har publicerats i topptidningarna, inklusive Journal of Financial Economics and Journal of Finance. Förutom att undervisa Risk Management i MBA-programmet vid Yale School of Management, lär Dr. Moreira Asset Pricing på doktorandnivå. På fritiden njuter han av att cykla, resa och hänga ut familjen. Alan Moreira, biträdande professor i ekonomi, Yale School of Management 1 IAQF-Thalesians Seminarier IAQF-Thalesians Seminarieserie är en gemensam insats från IAQF (tidigare IAFE) och Thalesians sida. Seriens mål är att skapa ett forum för utbyte av nya idéer och resultat relaterat till kvantitativ finans. Detta mål uppnås genom att hålla seminarier där ledande utövare och akademiker presenterar nytt arbete och följer seminarierna med en mottagning för att underlätta vidare interaktion och diskussion. Seminarieserien är endast begränsad till IAQF och Thalesians medlemmar. Thalesians Seminarium (London) 8212 Oskar Mencer 8212 Multiscale Dataflow Risk Beräkningar på Hybrid Cloud Datum och Tid 7:30 p. m. onsdag 25 januari 2017 Registrering Instantan volatilitet av logaritmisk avkastning i lognormal fraktionell SABR-modell drivs av exponering av en korrelerad bråkdel av bråk. På grund av den blandade karaktären att driva bruna och fraktionella bruniska rörelser är sannolikhetstätheten för sådana modeller mindre kända i litteraturen. Vi presenterar i detta samtal en brorepresentation för den gemensamma densiteten hos den lognormala fraktionerna SABR-modellen i ett Fourier-utrymme. Utvärdering av brorepresentationen längs en väl valda deterministiska väg ger en Edgeworth-utvidgningsform av sannolikhetsdensiteten för den fraktionerade SABR-modellen. En direkt generalisering av representationen till fogdensitet vid flera gånger leder till en heuristisk avledning av den stora avvikelsesprincipen för fogdensiteten på kort tid. Tillnärmning av underförstådd volatilitet erhålls enkelt genom att använda den Laplace-asymptotiska formeln till samtalet eller sätta priserna och jämföra koefficienterna. Presentationen bygger på ett gemensamt arbete med Jiro Akahori och Xiaoming Song. Tai-Ho Wang har professor i matematik vid Baruch College, City University i New York sedan 2012. Hans forskning inom kvantitativ finansiering inkluderar implicit volatilitetsasymptotik på kort tid, statiska arbitragefria gränser på korgalternativ, optimal likvidation och genomförande i marknadsimpactmodeller , och nyligen informationsdynamik på finansmarknaden. IAQF-Thalesians Seminarier IAQF-Thalesians Seminarieserie är en gemensam ansträngning från IAQF (tidigare IAFE) och Thalesians. Seriens mål är att skapa ett forum för utbyte av nya idéer och resultat relaterat till kvantitativ finans. Detta mål uppnås genom att hålla seminarier där ledande utövare och akademiker presenterar nytt arbete och följer seminarierna med en mottagning för att underlätta vidare interaktion och diskussion. Seminarieserien är endast begränsad till IAQF och Thalesians medlemmar. IAQF-Thalesians Seminarium (New York) 8212 Dr. Hongzhong Zhang 8212 Intradag Marknadsföring med övertagande kostnader Torsdag 14 december 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrering Andelen marknadsmässigt genomförda företag med högfrekvent handel (HFT) har stigit stadigt. En särskiljande egenskap hos HFT är att de handlar intradag, vilket slutar dagen platt. För att belysa HFTs ekonomi och i avvikelse från befintliga marknadsföringssteorier modellerar vi en HFT som har tillgång till obegränsad hävstångsdag, men måste finansiera alla slutliga inventarier till en exogent bestämd kostnad. Trots att lagerkostnaderna endast uppstår i slutet av dagen, påverkar de intradagens pris - och likviditetsdynamik. Detta ger upphov till en intradag-endogen prispåverkan. När tiden närmer sig handelsdagens slut ökar känsligheten av priserna till lagernivåerna, vilket ger prispåverkan starkare och bredare budgivningspridningar. Dessutom kan obalans mellan köp och säljordningar katalysera stigningar och prisfall, även under fasta utbuds - och efterfråganfunktioner. Empiriskt visar vi att dessa förutsägelser är uthärdade på amerikanska finansmarknaden, där budspridningar och prispåverkan tenderar att stiga mot slutet av dagen. Vidare är kursrörelserna negativt korrelerade med förändringar i lagernivåer mätt med kumulativ nettoförsäljningsvolym. (Gemensamt arbete med Tobias Adrian, Agostino Capponi och Erik Vogt) Hongzhong Zhang är biträdande professor vid Columbia University. Hans forskning fokuserar på det breda området med tillämpad sannolikhet med tillämpningar inom teknik, ekonomi och försäkring. I synnerhet inkluderar några av hans nuvarande forskningsintressen asymptotik, drawdowns, optimal stopp och upptäckt av regimförändringar. IAQF-Thalesians Seminarier IAQF-Thalesians Seminarieserie är en gemensam ansträngning från IAQF (tidigare IAFE) och Thalesians. Seriens mål är att skapa ett forum för utbyte av nya idéer och resultat relaterat till kvantitativ finans. Detta mål uppnås genom att hålla seminarier där ledande utövare och akademiker presenterar nytt arbete och följer seminarierna med en mottagning för att underlätta vidare interaktion och diskussion. Seminarieserien är endast begränsad till IAQF och Thalesians medlemmar. Thalesians Xmas Party (London) 8212 Iain Clark 8212 Implicerade utdelningar från FX Risk-Reversals och förutsägelser för effekten av Brexit Vote och Trump valet Vi vill gärna bjuda in till vårt Thalesians Christmas seminarium i London där Iain Clark ska presentera Detta kommer att följas av vår julfest på GampTea Bar på Marriott Hotel, Canary Wharf, där vi serverar drycker och canapes. Biljettpriset inkluderar både samtalet och festen (första dryckes canapes). Canape urvalet kommer att innehålla några av följande: Aubergine och haloumi wrap Brie och parma skinka finger brioche Crudits och hummus skott glasögon Öppna ansikt rökt lax bagel Mini hamburgare Lamb samosa Vårrullar Räkor potatisskalor Datum och tid 7:30 p. m. på måndagen den 12 december 2016 Ginger Room, följt av drinkar amp canapes på GampTea Bar, Marriott Hotel, Canary Wharf, London, Storbritannien, Meetup I maj 2016 noterades i publiken QampA efter en presentation från talaren att GBPUSD riskomkastningar uppvisade mycket ovanligt beteende - nämligen extrema skev i korta daterade tenors men relativt plana leenden därefter. Detta är en mest ovanlig volatilitets signatur och sambandet med den kommande Brexit folkomröstningens omröstning gjordes omedelbart. Högtalaren, som brådskande gav prex Brexit-marknadens aktuella karaktär, utförde en analys med sin medförfattare om implicita utdelningar för marknadsförväntningarna för GBPUSD kring folkomröstningsdagen (23 juni 2016), med förutsägelser för platsen därefter. Papperet uppladdades till SSRN (ssrnabstract2794888) den 13 juni, där vi identifierade empiriska bevis i volatiliteten skedde för ett fall i GBPUSD från 1,4390 till intervallet 1,10 till 1,30 i händelse av en omröstning om lämnande - ett nedåtgående drag på 0,14 till 0,34. Analysen, ovanligt för kvantforskning, fick täckning i FT och Sunday Telegraph, och faktiskt var våra förutsägelser utlämnade när folkomröstningsresultatet tillkännagavs och sterling föll från 1,50 till 1,33 - ett nedåtgående drag på 0,17 - om några timmar. Efter denna analys tillämpade vi liknande metoder på den mexikanska peso-kvoten jämfört med US-dollarn (USDMXN) omedelbart före 2016 USA-valet och vi kunde förutsäga peso-devalveringen till ett intervall på 20-24 pesos per dollar i händelse av en Trump seger, som uthärdades av efterföljande händelser. I det här samtalet kommer jag att gå igenom vår analys av informationen inbäddad i volatiliteten skew och grunden för vår prediktiva analys. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) har över 14 års erfarenhet som front office quant. Han har arbetat som chef för FX och Commodities Quantitative Analysis vid Standard Bank, som chef för FX Quantitative Analysis vid Unicredit och hos Dresdner Kleinwort, och hos Lehman Brothers, BNP Paribas och JP Morgan. Iain har doktorsexamen i tillämpad matematik från Queensland University och en MSc i finansiell matematik från Edinburgh och Heriot-Watt Universities. Hans huvudsakliga forskningsintressen handlar om exotiska alternativ, stokastiska modeller för FX och råvaror och numeriska metoder för optionsprissättning. Han är en frekvent bidragare till branschkonferenser, utbildningar och inbjudna talare på olika universitet. Hans första bok Valutaväxlingspris: En utövarehandledning publicerades i november 2010 av Wiley Finance och hans andra bok Råvaruprisprissättning: En utövareguide kommer att visas i början av 2014 (även med Wiley Finance). Thalesians Seminarium (London) 8212 Vlasios Voudouris 8212 Flexibel maskininlärning för finansiering Datum och tid 7:30 p. m. på onsdag 23 november 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, Storbritannien. Meetup Med snabba förändringar i datateknik och den stora datamängden utmanas datavetenskapens område hela tiden. Datavetenskaparejobb är att ge mening om de stora mängderna data: att utvinna viktiga mönster och trender och förstå vad uppgifterna säger. Utmaningarna i att lära av data har lett till en revolution i maskininlärningstekniker. GAMLSS-paketet med verktyg i vårt försök att lära av ekonomiska data. GAMLSS används nu i stor utsträckning för prediktiv analys och riskkvantificering (t ex förlust givet standard). På grund av flexibiliteten hos GAMLSS-modellerna kan vi fånga följande dataegenskaper: De tunga eller ljusstarka egenskaperna hos fördelningen av data. Detta innebär att sannolikheten för sällsynta händelser (t ex ett outliervärde) sker med högre eller lägre sannolikhet jämfört med normalfördelningen. Dessutom kan sannolikheten för att ett outliervärde uppträder ändras som en funktion av förklaringsvärdena. Svagheten hos svarsvariabeln, som kan förändras som en funktion av de förklarande variablerna. Det olinjära eller släta förhållandet mellan målsvariabeln och förklararenypredictorvariablerna. Based on our book Flexible Regression and Smoothing: Using GAMLSS in R, the talk includes a large number of practical examples (e. g. predictions and risk quantification) which reflect the range of problems addressed by GAMLSS models. This also means that the examples provide a practical illustration of the process of using GAMLSS models for machine learning. Vlasios Voudouris is a Data Scientist with expertise in data-driven predictive analytics and risk quantification of financial markets. His primary research focus is on i) semi-parametric machine learning models ii) innovative model selection processes and iii) robust diagnostics for systematic trading and risk quantification. He is the co-author of the book Flexible Regression and Smoothing: Using GAMLSS in R and the associated software in R and Java. GAMLSS (Generalized Additive Models for Location Scale and Shape) is about learning from data using semi-parametric supervised machine learning algorithms. Furthermore, Vlasios developed data-driven agent-based models for stress testing scenarios (with an emphasis on commodity markets). His models and tools are used by a range of organisations. By way of two specific examples: 1) the IMF used GAMLSS for stress testing the U. S. financial System 2) Vlasios and his colleagues demonstrated a suite of GAMLSS models for the Bank of England (BoE). Using GAMLSS, Vlasios developed a systematic trading model for WTI Crude Oil (NYMEX). Vlasios holds a Ph. D. from City, University of London. IAQF-Thalesians Seminar (New York) 8212 Dr. Michael Imerman 8212 Insights from a Data-Driven Analysis of the Volatility Risk Premium Thursday, November 17, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Much of this talk will come from joint work I did with Jianqing Fan at Princeton and Wei Dai now at Dimensional Fund Advisors. We set out to provide a purely data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute realized volatility. From that we subtract the daily VIX, our measure of implied volatility, to construct a time series of the volatility risk premium. To identify the factors behind the volatility risk premium as a priced bias we decompose it into magnitude and direction. We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk premium reflects expectations about future levels of volatility. However, evidence supports the hypothesis that the sign of the volatility risk premium is indicative of gains or losses on a delta-hedged portfolio consistent with Bakshi and Kapadia (2003). As someone who has come from a background in financial modeling but has developed a penchant for data science and analytics, I will spend some time at the end of my talk on my thoughts about how data science is being embraced (in some ways, and eschewed in others) by the quantitative finance community. Michael B. Imerman is the Theodore A. Lauer Distinguished Professor of Investments and Assistant Professor in the Perella Department of Finance at Lehigh University. Dr. Imermans previous appointments were at Princeton in the ORFE Department and Rutgers Business School from where he received his Ph. D. Before coming to academia, Imerman worked as an analyst at Lehman Brothers supporting the high grade credit and credit derivative trading desks. At Lehigh, Professor Imerman teaches Derivatives and Risk Management both at the undergraduate and graduate levels. His primary research area is in credit risk modeling with applications to banking, risk management, and financial regulation. Most recently he has been actively involved in integrating data science techniques into the evaluation of risk in the securitized mortgage market. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof David Hand 8212 The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day Date and Time Registration Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure the variance term premium, we estimate a dynamic term-structure model that prices variance swaps across the US, UK, Europe, and Japan. The model decomposes the variance swap curve into term-structures of risk premia and expected quantities of risk. Empirically, we document a strong factor structure in global variance swap rates and find that variance term premia are negatively correlated with the wealth of the financial intermediary sector. Our results support the hypothesis that financial intermediaries are the marginal investor in the variance swap market. Erik Vogt is a financial economist in the Capital Markets Function of the Federal Reserve Bank of New York. His main research interests are in asset pricing, financial econometrics, volatility and liquidity risk, and high-frequency data across a variety of asset classes, including equities, Treasuries, derivatives, and corporate bonds. His research on market liquidity and broker-dealers has received media coverage in Bloomberg, Reuters, and Yahoo Finance, among others, and was also cited in U. S. Senate testimony before the Subcommittee on Securities, Insurance, and Investment, and the Subcommittee on Economic Policy, Committee on Banking, Housing, and Urban Affairs. Erik actively serves as a referee for several peer-reviewed journals, including the Review of Financial Studies, the Journal of Econometrics, the Journal of Empirical Finance, the Journal of Financial Econometrics, and Quantitative Finance. Erik joined the New York Fed in July 2014 and holds a Ph. D. and M. A. in Economics from Duke University and a B. Sc. in Mathematics and Economics from the London School of Economics. Prior to graduate school, he worked as an Associate Economist at the Federal Reserve Bank of Chicago. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Nick Baltas 8212 Multi-Asset Carry Strategies Date and Time 7:30 p. m. on Wednesday 28th September 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Carry strategies have been primarily studied and explored within currency markets, where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant returns. This presentation extends the notion of carry to different asset classes by looking at the futures markets of commodities, equity indices and government bonds. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe. Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph. D from Cornell University in the computer science amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), and Currency Management (Risk books). Her new book FX Option Performance was published in May 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board. IAQF-Thalesians Seminar (New York) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - githubthalesianspythalesians Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk. What is cointegration How to test for cointegration What is pairs trading How to find cointegrated pairs How to generate a tradeable signal This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: quantopianlectures. Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking
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