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  • May 15, 2017: IAQF & Thalesians Seminar Series

May 15, 2017: IAQF & Thalesians Seminar Series

  • 15 May 2017
  • 5:45 PM (EDT)
  • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

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Trading algorithms with learning in latent alpha models


              
A Talk by Dr. Sebastian Jaimungal 


Monday, May 15th

5:45 PM Registration
6:00 PM Seminar Begins
7:30 PM Reception

    
Abstract

Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem. We provide a verification theorem, and provide a methodology for calibrating the model by deriving a variation of the expectation-maximization algorithm. To illustrate the efficacy of the optimal strategy, we demonstrate its performance through simulations and compare it to strategies which ignore learning in the latent factors. We also provide calibration results for a particular model using INTC as an example.
(Joint work with Philippe Casgrain, U. Toronto)

 

Biography

Dr. Sebastian Jaimungal is a Full Professor in the Department of Statistical Sciences at the University of Toronto, where he is the director of the Masters of Financial Insurance program, teaches in the Masters of Mathematical Finance program, and the PhD program. Sebastian is the current Chair (and former Vice Chair; Program Director) for SIAM Financial Mathematics and Engineering (SIAG/FM&E), he is a co-author of the book titled “High-Frequency and Algorithmic Trading” published by Cambridge University Press (2015), and acts on the editorial board for a number of academic and industry journals including: SIAM Journal on Financial Mathematics (SIFIN), The International Journal of Theoretical and Applied Finance (IJTAF), High FrequencyJournal of Risks and Argo. Sebastian is also a founding board member of the Commodities and Energy Markets Association.


         

About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). 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. 

 

Registration Fees:
Complimentary for IAQF members through this site
Thalesians Members can register here for $25
Non-Members: $25.00 by registering through this site
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