Events



Upcoming events

    • 15 May 2017
    • 5:45 PM (EDT)
    • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY
    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 in an online fashion. Furthermore, we develop a forward-backward algorithm based on expectation-maximization to calibrate a pure-jump model to historical data, illustrate the efficacy of the optimal strategy through simulations, and compare to strategies which ignore learning in the latent factors.

    (Joint work with Philippe Casgrain, U. Toronto)

     

    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
    • 14 Aug 2017
    • (EDT)
    • 19 Aug 2017
    • (EDT)
    • Skirball Center, New York University, 566 LaGuardia Place, New York, NY 10012

     

    IAQF Endorsed Event:

    Advanced Risk & Portfolio Management

    6-day Intensive Quantitative Course


    August 14-19, 2017

    New York University


    This 6-day intense course taught by Attilio Meucci provides broad picture and in-depth understanding of quantitative risk management and quantitative portfolio management for Asset Management, Banking, and Insurance, from instrument to enterprise risk level.


    Key features:

    • Education: intensive, heavily quantitative, comprehensive 6-day course, with 50 hours of instruction (lectures and practice sessions). Topics include portfolio construction, factor modeling, liquidity, trade execution, estimation/data mining, risk modeling, optimization, and much more…

    • Networking: Gala Dinner, Social Mixer, and other events with industry leaders, renowned academics and the 300+ fellow attendees. Past guests include Almgren, Carr, Derman, Dupire, Gatheral, Lipton, Litterman, Litzenberger, Lo, Madan, Mercurio, Shreve.

    • ARPM Lab: continued online access to ARPM’s body of knowledge, with cross-referenced theory, examples, case studies, solved exercises, interactive code, videos, slides. The ARPM Lab is constantly updated

    • Certifications 40 CFA Institute CE credits; 40 GARP CPD; Academic credit with Partner Universities; (optional) ARPM Certificate®

    • (Optional, free) pre- Bootcamp Conference

    • In operation since 2007, with over 2,000 alumni globally including industry leaders and respected academics

     

    Registration
    **IAQF Members can register with the discounted Affiliates Rate. Please email info@iaqf.org for the discount code**



    Program | Video Testimonials



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