Upcoming events

    • 28 Feb 2017
    • 6:30 PM
    • The George Washington University - Funger 108, 2201 G Street NW, Washington, DC 20052
    How I Became a Quant - Washington, D.C. 

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    6:15 PM - Registration
    6:30 PM - Program Begins
    8:00 PM - Reception & Networking


    Christopher Finger
    Federal Reserve Bank

    Ryan Henning
    Freddie Mac

    Tim Husson
    U.S. Securities and Exchange Commission

    Arun Muralidhar

    AlphaEngine Global


    Stephen Young

    Wells Fargo

    Hosted and Sponsored by:

    The George Washington University,
    Master of Science in Finance Program

    • 01 Mar 2017
    • 5:00 PM
    • Wells Fargo Room (C420) at the Haas School of Business, 2220 Piedmont Avenue, Berkeley, CA 94720
    How I Became a Quant - Berkeley

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    4:30 PM - Registration
    5:00 PM - Event Begins
    6:15 PM - Reception & Networking


    Rajat Agarwal
    Lending Club

    Maggie Chen

    Google Photos

    Kevin Coldiron
    Algert Coldiron Investors, Rockridge Capital, and UC Berkeley

    Louis Odette

    Citi Research

    Heather Russell

    Bank of America

    Mike Ryerson
    The Voleon Group

    Emmanuel Vallod


    Andrew Alden

    WeatherStorm Capital

    Hosted and Sponsored By:


    Registration is complimentary!
    Register Here.

    • 09 Mar 2017
    • 6:00 PM
    • Korn Hall, UCLA Anderson, 110 Westwood Plaza Los Angeles, CA 90095
    How I Became a Quant - L.A.

    Financial Engineers Give a Personal View of their Careers in Quantitative Finance

    6:00 PM - Program Begins
    7:30 PM - Reception & Networking

    Gert Dekegel
    VP, Market Risk, MUFG Americas

    Samantha Foster

    USC Investment Office

    Thomas Karwacki
    Associate, PAAMCO

    Bryan William
    Director of Analytics, HYFN

    Han Zheng 
    Portfolio Risk Analyst, Western Asset Management Company


    Udit Gupta
    AVP, Model Risk, MUFG Americas

    Hosted and Sponsored By:

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

    A reduced-form model for level-1 limit order books

    A Talk by

    Dr. Lingjiong Zhu

    Thursday, March 16th

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


    One popular approach to model limit order book dynamics of the best bid and ask at level-1 is to use reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of the level-1 limit order books of a basket of stocks and study the numerical evidence of drift, correlation, volatility and their dependence on the imbalance. Based on the numerical discoveries, we develop a nonparametric discrete model for the dynamics of the best bid and ask. This model can be approximated by a reduced-form model with analytical tractability that can fit the empirical data of correlation, volatilities and probability of price movement simultaneously.

    (Joint work with Tzu-Wei Yang)



    Lingjiong Zhu grew up in Shanghai and went to study in England, where he got BA from University of Cambridge in 2008. He then moved to the United States and received PhD from New York University in 2013. After a stint at Morgan Stanley, he went to work at the University of Minnesota as the Dunham Jackson Assistant Professor before joining the faculty at Florida State University as an Assistant Professor in 2015. In his spare time, he enjoys reading, traveling, and going to art exhibitions, museums and classical music concerts.


    About the Series

    The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF ( 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. 


    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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