Options Trading Treffen

Wiki So finden Sie die Top Day Trading Picks Lesen Sie Finanznachrichten Berichte jeden Tag. Wenn Sie oben auf der Geschäftsberichterstattung bleiben, informieren Sie alle Informationen über bestimmte Unternehmen, die Sie während des Handels von Sessions verwenden können. Ihre Trading-Plattform wird wahrscheinlich News-Berichte, oder Sie können Websites wie CNBC, MotleyFool und TheStreet für weitere Informationen zu überprüfen. Genauer gesagt, halten Sie ein Auge für die folgenden: Ertragsberichte - vor allem für Unternehmen, die schlagen oder vermissen die Erwartungen der Wall Street Analysten. Neue Entwicklungen - ein Unternehmensbestand könnte auf erwartete zukünftige Einnahmen aus einer bevorstehenden Produktfreigabe oder Gerüchte, dass der CEO im Begriff ist, gefeuert zu werden. Insider Kauf und Verkauf - wenn Führungskräfte kaufen oder verkaufen die Aktien der Gesellschaft, die den Preis bewegen könnte. Finde Finanznachrichten im Fernsehen. Wenn Sie Tag Handel von zu Hause aus, sollten Sie einen Finanznachrichtenkanal auf so viel wie möglich haben. Youll erhalten up-to-the-minute Informationen über was ist die Verlagerung der Märkte und erhalten auch Tipps für Aktien, die für eine signifikante Preisänderung balanciert werden könnte. 1 Durchsuchen Sie nicht-finanzielle Nachrichten. Es ist möglich, dass einige Neuigkeiten mit möglichen Verzweigungen auf einen Aktienkurs der Gesellschaft nicht in den Finanznachrichten berichtet haben. Sie können den Sprung auf andere Investoren bekommen, indem Sie auf alle Nachrichtenquellen achten. Wenn eine Filmproduktionsfirma Hinweise darauf hinweist, dass sie eine Fortsetzung zu einem sehr beliebten Film produzieren könnte, könnte das den Aktienkurs der Firma verschieben. Wenn irgendeine Tragödie oder ein Verbrechen in einem Geschäft im Besitz eines Unternehmens stattfindet, das öffentlich gehandelt wird, wird das manchmal dazu führen, dass der Bestand vorübergehend abfällt. Einer der wichtigsten Schritte zu ergreifen, um die Top-Day-Trading-Picks zu finden ist, um mit täglichen Trading-Nachrichten zu halten. Sie können die täglichen Finanzberichte lesen, die in den meisten nationalen Wirtschaftszeitungen, wie dem Wall Street Journal, New York Times und U. S.A. Today, aufgeführt sind. Sie können auch über internationale Bestände lernen, wenn Sie ausländische Zeitungen suchen. Nicht nur das, aber alle diese großen Zeitungen sind online verfügbar. Wie man Aktien auswählt Wie man Aktien kaufen Wie man in Aktien investiert Wie man reich bekommt Wie man Binär-Optionen zu verstehen Wie man kleine Geldbeträge klug, wie man Forex zu handeln Wie man viel Geld in Online-Aktienhandel Wie man Dividenden berechnenExaminers8217 Feedback Statements Bitte kaufen Sie unsere Buch Links unten. Amazon gibt uns einen kleinen Prozentsatz, der isn8217t viel aber hilft, unsere Kosten unten zu halten und Bradford VTS frei für Sie zu halten. Amazon. de Widgets Wenn Sie schlechte Beratungskompetenz haben, ist es unwahrscheinlich, dass Sie die CSA passieren. Daher ist eine Art von Konsultationsrahmen wichtig (obwohl das Framework, das Sie wählen, aus der Vielfalt zu verwenden, ist weniger wichtig). Versuche und arbeite an diesen, sobald du anfängst, einen GP-Post zu machen (ob in ST1 oder ST2) und weiterhin in ST3 zu besuchen und aufzubauen. Schauen Sie sich die Buch-Links oben für einige fabelhafte, die Ihnen helfen, auf Ihre Kommunikations-und Beratungs-Fähigkeiten zu bauen. Zuerst verstehe ich, was das CSA alles über 8211 ist, wie es funktioniert und was es zu testen versucht Viele dieser Informationen finden Sie auf dieser Webseite. Weitere Informationen finden Sie auf den RCGP CSA Seiten. Form einer CSA-Studiengruppe früh mit einigen Ihrer Kollegen. Rund etwa 6-8 Mitglieder pro Gruppe ist etwa richtig. Versuchen Sie, eine vielfältige Mitgliedschaft zu bekommen, damit verschiedene Mitglieder einzigartige und unterschiedliche Perspektiven auf Dinge bieten können. Manche von euch mögen vielleicht mehrere Übungen in Paaren machen. Wenn dies der Fall ist, haften sie einfach nur, um einander direkt zu geben, nachdem sie einen Fall ausgeübt haben. Sie alle haben Videokameras 8211 gehen weiter, indem sie Ihre Leistung abbilden und sie zusammen überprüfen. Wir können oft sehen, wie wir wirklich durchführen, wenn wir in den Prozess der Durchführung sind und unsere Erinnerungen sind oft auch unzuverlässig. Kandidaten, die ihre primäre medizinische Qualifikation im Ausland haben (d. H. Internationale medizinische Absolventen) 8211 BITTE bilden keine CSA-Gruppe mit anderen internationalen medizinischen Absolventen. Sie müssen sich mit denen, die aus dem Vereinigten Königreich, um Ihre kulturelle Perspektive auf bestimmte Fälle zu erweitern mischen. That8217s nicht zu sagen, Sie can8217t haben andere internationale medizinische Absolventen in Ihrer Gruppe alles, was wir sagen, ist, um sicherzustellen, dass es eine ausgewogene Mischung aus verschiedenen Menschen in Ihrer Gruppe. Einige internationale medizinische Absolventen können es oft in ihren Köpfen fixieren, was sie denken, wird sie durch die Prüfung 8211 bekommen und oft sind diese Begriffe völlig falsch. Aber was schlimmer ist, wenn sie diesen Rat auf ihre Kollegen weitergeben. Aber wenn Sie Teil einer abwechslungsreichen Gruppe waren, dann können Sie diese Begriffe auschecken. Unser Trainingsprogramm (und die meisten anderen Systemen) wird zweimal jährlich Mock CSAs ausführen, um Ihnen zu helfen, Praxis zu bekommen und Ihnen zu helfen, sich mit dem, was erwartet wird, vertraut zu machen. Sie müssen sich dieser Gelegenheit bedienen. Da8217s eine DVD aus der RCGP genannt: Ein Leitfaden für die Clinical Skills Assessment (CSA). Für alle Ärzte, die die neue Clinical Skills Assessment (CSA) des MRCGP unterrichten oder vorbereiten. Es kostet etwa 20. Gehen Sie auf ihre Website, um es zu kaufen: rcgp. org. acatalog Üben Sie CSA-Szenarien: Es gibt viele Bücher um (siehe unsere Amazon-Link oben) und viele frei im Internet verfügbar. Es gibt noch viele Übungs-CSA-Szenarien aus dem Pennine-Schema (hier klicken). Dies sind die 3 Bereiche, auf die Sie getestet werden: In Data Gathering. Sie testen kommunikative Fähigkeiten, wie klinische Fähigkeiten wie klinische Untersuchung um 3 Stationen klinische Untersuchung beinhalten. Klinisches Management umfasst Synthese, Diagnose, Wertschätzung der Co-Morbidität, Flexibilität und Austausch von Management-Optionen mit dem Patienten. Zwischenmenschliche Fähigkeiten umfassen, Kommunikation, Respekt für andere, Professionalität und andere Verhaltensindikatoren. Und schließlich, immer Sicherheit net (fragen Sie Ihren Trainer, wenn Sie don8217t wissen, was das bedeutet). Einige Fälle erfordern eine Untersuchung: Bringen Sie Ihre normalen Ärzte Tasche amp Ausrüstung mit Ihnen It8217s eine bekannte Tatsache, dass medizinische Absolventen, die außerhalb des Vereinigten Königreichs qualifiziert haben höhere Ausfallraten in der CSA als die hier geboren. Das ist überraschend, denn neben klinischen Fähigkeiten prüft die Prüfung auch die Kommunikation und zwischenmenschliche Fähigkeiten. Dies bedeutet, dass, wenn Sie mit Patienten in Großbritannien zu konsultieren, müssen Sie verstehen, was sie sagen, im Kontext der britischen Kultur. Es bedeutet auch, ein gutes Verständnis dafür zu haben, wie die alltägliche gesprochene englische Sprache funktioniert. Wenn Sie ein internationaler medizinischer Absolvent (IMG) sind, ist es sehr wahrscheinlich, dass Sie ein tiefes Verständnis der gesellschaftlichen Gewohnheiten, Kultur und Nuancen in der Sprache des Landes haben, in dem Sie in 8211 mehr aufgewachsen sind, als jeder Absolvent des Vereinigten Königreichs möglicherweise verstehen könnte. Ebenso ist ein britischer Absolvent eher die britische Kultur und die subtilen Unterschiede in der englischen Sprache besser als die meisten IMGs zu verstehen. Dies bedeutet, dass ein britischer Absolvent eher die Wichtigkeit von kleinen Dingen, die der Patient während einer Konsultation als ein IMG liefert, abholen wird. Deshalb, wenn Sie Ihre Chancen auf die Weitergabe der CSA 8211 erhöhen wollen, um einige britische geborene Auszubildende kennen zu lernen und Fälle mit ihnen zu üben. Tipps, um Ihnen zu helfen, sich mit der britischen Kultur vertraut zu machen und alltäglich gesprochenes Englisch8230 Versuchen Sie und beobachten Sie britischen TV 8211 besonders Seifen. In britischen Seifen werden Schauspieler Kolloquialismen, Slang und andere Terminologie und Phrasen verwenden, die Sie nicht in der Schule unterrichtet haben. Dies ist wichtig, weil die Patienten im alltäglichen Englisch sprechen und nicht Englischbuch. Versuchen Sie, irgendeine Art von Gruppe in Großbritannien zu verbinden. Zum Beispiel, wenn Sie eine neue Mama sind, warum nicht beitreten Ihre lokale neue mums8217 Gruppe (eine Suche im Netz). Mischen Sie mit Menschen, die in diesem Land geboren sind, chatten Sie mit ihnen und beginnen Sie sich mit dem gesprochenen alltäglichen Englisch vertraut zu machen. Es gibt viele verschiedene Arten von Gruppen in Großbritannien. Wenn Sie versuchen, ein bisschen Gewicht zu verlieren, betrachten Sie Schlankheits-Welt oder Gewicht-Beobachter 8211 nicht nur, um Ihnen zu helfen, dieses Gewicht zu verlieren, aber, um Sie zu unterhalten, mit anderen zu erhalten. Eine gute app für das Treffen in Gruppen ist MeetUp. Treffen, die Gruppen von Menschen mit gemeinsamen Interessen planen Treffen und bilden Offline-Clubs in lokalen Gemeinschaften auf der ganzen Welt. Eine weitere großartige Seite ist StreetBank: Streetbank bringt dich in Kontakt mit deiner Community und bringt Nachbarn und macht die Welt ein bisschen netter. Straßenbank Starten Sie diese Art von Dingen direkt von ST1 8211 don8217t warten, bis ST3, weil es zu spät sein wird, dann können Sie nicht einen Crash-Kurs in der britischen Kultur und englischen Ausdrücken stattdessen, it8217s eine lange, aber stetige Reise. Tipps zur Vorbereitung auf die CSA Wenn Ihre bildenden CSA-Studiengruppen 8211 einer Studiengruppe mit einer Mischung von Auszubildenden beitreten (d. H. Einige von ihnen sind in Großbritannien und einigen im Ausland geboren). Bitte nicht bilden eine Studiengruppe rein mit anderen IMGs 8211, weil Sie die kulturellen Normen in Großbritannien und die Bedeutung von bestimmten Ausdruck verstehen müssen 8211 eine andere IMG8217s Interpretation dieser möglicherweise nicht unbedingt die Realität wider die Wahrheit Wenn Sie die CSA versagt haben, NICHT bilden eine Studiengruppe, die rein aus anderen8217s besteht, die die CSA versagt haben. Wie gehst du vorbei, wenn niemand in deiner Gruppe dir zuverlässig einen Ratschlag geben kann, wenn du mich verpasst hast. Das ist gefährliches Territorium 8211 bleiben weg. Die einzige Möglichkeit, dies zu funktionieren ist, wenn Sie einen kompetenten Moderator erhalten, um Ihre Gruppe zu unterstützen (d. h. jemand, der wirklich versteht die CSA 8211 wie ein CSA-Prüfer, ein GP-Erzieher oder ein Kollege, der mit fliegenden Farben vergangen ist). Wenn eine Gruppe von euch einen guten Vermittler bekommen kann 8211 stellen Sie sicher, dass Ihre Gruppe eine breite Palette von Leuten hat (d. h. hat einige britische geborene Auszubildende, um Sie zu führen). Kämpfe nicht mit der Vorbereitung auf die CSA alleine. Es gibt so viele Aspekte für jeden klinischen Fall 8211 und you8217ll werden sich natürlich bewusst, wenn Sie beginnen, CSA-Fälle mit einer Gruppe von anderen zu erkunden. Aber wenn du es alleine machst oder mit nur einem anderen Kollegen, so ist es wahrscheinlich, dass du einen einstufigen Geist entwickelst, der eher zum Scheitern kommt. Brechende schlechte Nachrichten Motivationsbefragung Proxy-Konsultationen Vertraulichkeit Aggressive Patienten Manipulative Patienten Verhandlungen Patienten, die einen Test anfordern Patienten, die Antibiotika wünschen Nicht-konforme Patienten Somatisierende Patienten Gelenkschmerzen Nicht spezifische Abdomen Schmerzen Rückenschmerzen Durchfall Dyspareunie Müde die ganze Zeit Blasenentzündung Beziehung aufbrechen Anxietypanische Angriffe Wiederkehrende Wunde Hals Nicht spezifische Brustschmerzen Die Thalesier Bilder von Thalesians Veranstaltungen aus der ganzen Welt in den letzten 6 Jahren Die Thaleser sind ein Think Tank von engagierten Profis mit einem Interesse an quantitativen Finanzen, Wirtschaft, Mathematik, Physik und Informatik, nicht unbedingt in dieser Reihenfolge . Blog Sehen Sie unsere neue Thalesians Blog Buch Kaufen Sie unser neues Buch. Trading Thalesians - Was die alte Welt kann uns über den Handel heute (Palgrave Macmillan) durch die Thaleser Mitbegründer, Saeed Amen amp Vorwort von Gründer, Paul Bilokon Gründung Die Gruppe wurde im Sep 2008 gegründet, von Paul Bilokon (dann ein quantitativer Analytiker Bei Lehman Brothers, spezialisiert auf Devisen und ein Teilzeitforscher am Imperial College) und zwei seiner Freunde und Kollegen: Matthew Dixon (damals quantitativer Analytiker bei der Deutschen Bank) und Saeed Amen (damals ein quantitativer Stratege bei Lehman Brothers) . Die Eröffnung von Level39 im Jahr 2013 von Bürgermeister Boris Johnson Die Thaleser sind nun auch Mitglied von Level39 - Europas größter Technologie-Beschleuniger für Finanzen, Einzelhandel, Cyber-Sicherheit und zukünftige Städte Technologie-Unternehmen Veranstaltungen Research Consulting Veranstaltungen Die Thalesians waren ursprünglich in London, Großbritannien . Im Januar 2011 wurde die Organisation wirklich global, als Matthew Dixon es in die Vereinigten Staaten brachte, wo er die Thalesians NYC Seminare mit New York Leader Harvey Stein betreibt. Attila Agod ist der Budapester Führer für unsere Thalesians Budapest Seminare. Wir sind gerade dabei, unsere Seminare nach Prag zu erweitern und mehr Workshops zu machen. Forschung Ende 2013 haben wir veröffentlichte bahnbrechende quant Strategien notiert. Unsere Bemühungen werden von Saeed Amen geleitet, wobei fast ein Jahrzehnt seiner Erfahrung sowohl die Schaffung und später Handel systematische Handelsmodelle in FX bei großen Investmentbanken. Besuchen Sie die Forschung für mehr. Consulting Im Jahr 2014 begannen wir, maßgeschneiderte Quant-Beratungsleistungen in Märkten anzubieten, indem wir unseren ersten Kunden, einen großen US-Hedgefonds und RavenPack, einen bedeutenden Nachrichtendatenanbieter, eintragen. Unsere Dienstleistungen umfassen die Erstellung von maßgeschneiderten systematischen Handelsmodellen und andere Quantenanalysen der Finanzmärkte wie Währungsabsicherung und FX Transaktionskostenanalyse (TCA). Besuchen Sie Consulting für mehr. Unsere Philosophie Wir sind nach Thales von Miletus () benannt, einem vorsokratischen griechischen Philosophen, der in ca. 624 v. Chr. 546 v. Chr. Thales war ein Mathematiker und vertraut vielen Gymnasiasten für einen seiner Theoreme in der Geometrie. Aber noch wichtiger für uns war er einer der ersten Benutzer von Optionen: Thales, so die Geschichte geht, wegen seiner Armut wurde mit der Nützlichkeit der Philosophie verspottet, aber aus seinem Wissen über die Astronomie, die er beobachtet hatte, während es noch Winter war, dass dort Würde eine große Olivenkultur sein, also erhebt er eine kleine Summe Geld und bezahlt runde Einlagen für die ganzen Olivenpressen in Milet und Chios, die er bei einer niedrigen Miete anstellte, als niemand ihn rannte und wann Die Saison kam, gab es eine plötzliche Nachfrage nach einer Reihe von Pressen zur gleichen Zeit, und indem sie sie auf, welche Begriffe er mochte er realisiert eine große Summe Geld, so dass es für die Philosophen leicht ist, reich zu sein, wenn sie Wählen Sie, aber das ist nicht das, worüber sie sich interessieren. Aristoteles, Politik, 1259a. Die Moral dieser Anekdote ist, dass es für die Philosophen einfach ist, reich zu sein, wenn sie den berühmten Milesian wählen, der vorangegangen ist und es bewiesen hat. Wir, die Thalesier. Bewundere ihn dafür. Aber wir teilen auch viele seiner Werte, zum Beispiel sein Kerngedanke, dass ein glücklicher Mensch als einer definiert ist, der gesund im Körper, einfallsreich in der Seele und einer leicht lehrbaren Natur ist. Dieses Wiki wurde erstellt, um als Quelle für Informationen über quantitative Finanzierung zu dienen, um Verweise auf verschiedene verwandte Ressourcen zusammenzustellen und als Konvergenzpunkt für die Thalesier zu dienen. Unsere Kollegen und Mitarbeiter. Es wuchs aus Paul Bilokons Finanzen Wiki, die er begann im Februar 2007. Wir glauben, dass Geheimhaltung und Treue sind wichtig in der Welt der Finanzen. Aber wir erkennen auch die Macht des Informationsaustausches in offenen Gesellschaften an. Lassen Sie Ihre Geschäftslogik ein streng gehütetes Geheimnis bleiben. Aber alles andere in die Öffentlichkeit freigeben. Was da geht, kommt umher, das wird dir letztlich ersparen, das Rad neu zu erfinden. Mehr von unseren Referenten bei Thalesians Veranstaltungen in den letzten 6 Jahren Zukünftige Veranstaltungen Mi, Feb 22: Saeed Amen Mi, Mar 29: TBD Mi, Apr 26: TBD Mi, 24. Mai: TBD Thalesians Seminar (London) 8212 Saeed Amen 8212 Mit Python Um die Finanzmärkte zu analysieren Registrierung Ein populärer Ansatz zum Modell Limit Order Buch Dynamik der besten Gebot und fragen auf Ebene-1 ist es, reduzierte Diffusions-Näherungen verwenden. Es ist bekannt, dass der größte Faktor für die Preisbewegung das Ungleichgewicht des besten Angebots ist und fragen. Wir untersuchen die Daten der Level-1-Limit Orderbücher eines Korbes von Aktien und studieren die numerischen Beweise für Drift, Korrelation, Volatilität und ihre Abhängigkeit vom Ungleichgewicht. Basierend auf den numerischen Entdeckungen entwickeln wir ein nichtparametrisches diskretes Modell für die Dynamik des besten Angebots und fragen. Dieses Modell kann durch ein reduziertes Modell mit analytischer Traktierbarkeit angenähert werden, das die empirischen Daten der Korrelation, der Volatilität und der Wahrscheinlichkeit der Preisbewegung gleichzeitig anpassen kann. (Gemeinsame Arbeit mit Tzu-Wei Yang) Lingjiong Zhu wuchs in Shanghai auf und ging in England, wo er BA von der Universität von Cambridge im Jahr 2008 erhielt. Er zog dann in die Vereinigten Staaten und erhielt PhD von der New York University im Jahr 2013. Nach einem Stint bei Morgan Stanley ging er zur Arbeit an der University of Minnesota als Dunham Jackson Assistant Professor, bevor er an der Fakultät der Florida State University als Assistant Professor im Jahr 2015 teilnahm. In seiner Freizeit genießt er zu lesen, zu reisen und zu gehen Zu Kunstausstellungen, Museen und klassischen Musikkonzerten. IAQF-Thalesians-Seminare Die IAQF-Thalesians-Seminarreihe ist eine gemeinsame Anstrengung seitens des IAQF (ehemals IAFE) und der Thalesier. Das Ziel der Serie ist es, ein Forum für den Austausch von neuen Ideen und Ergebnissen im Zusammenhang mit dem Bereich der quantitativen Finanzierung zu bieten. Dieses Ziel wird durch die Durchführung von Seminaren, wo führende Praktiker und Akademiker präsentieren neue Arbeit, und nach den Seminaren mit einem Empfang, um weitere Interaktion und Diskussion zu erleichtern erreicht. Die Seminarreihe ist nur auf IAQF - und Thaleser-Mitglieder beschränkt. IAQF-Thalesians-Seminar (New York) 8212 Dr. Sebastian Jaimungal 8212 Trading-Algorithmen mit dem Lernen in latenten Alpha-Modellen Montag, 15. Mai 2017: NYU Kimmel Center. Raum 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Anmeldung Alpha-Signale für statistische Arbitrage-Strategien werden oft von latenten Faktoren angetrieben. Dieses Papier analysiert, wie man optimal mit latenten Faktoren handeln kann, die dazu führen, dass die Preise springen und diffundieren. Darüber hinaus berücksichtigen wir die Auswirkungen der Händler auf die notierten Preise und die Preise, die sie vom Handel erhalten. Unter allgemein allgemeinen Annahmen zeigen wir, wie der Trader die hintere Verteilung über die latenten Staaten lernen kann und explizit das latente optimale Handelsproblem auf Online-Weise lösen kann. Darüber hinaus entwickeln wir einen Vorwärts-Rückwärts-Algorithmus, der auf Erwartungsmaximierung basiert, um ein reines Sprungmodell auf historische Daten zu kalibrieren, die Wirksamkeit der optimalen Strategie durch Simulationen zu veranschaulichen und mit Strategien zu vergleichen, die das Lernen in den latenten Faktoren ignorieren. (Gemeinsame Arbeit mit Philippe Casgrain, U. Toronto) Dr. Sebastian Jaimungal ist ein ordentlicher Professor an der Abteilung für Statistische Wissenschaften an der Universität von Toronto, wo er der Direktor des Masters of Financial Insurance Programm ist, lehrt in den Masters of Mathematical Finanzprogramm und das PhD-Programm. Sebastian ist der derzeitige Lehrstuhl (und ehemaliger Direktor des stellvertretenden Vorsitzenden) für SIAM Financial Mathematics and Engineering (SIAGFMampE), er ist Co-Autor des Buches mit dem Titel High-Frequency und Algorithmic Trading von der Cambridge University Press (2015) und handelt Auf der Redaktion für eine Reihe von akademischen und Industrie Zeitschriften, darunter: SIAM Journal on Financial Mathematics (SIFIN), die Internationale Zeitschrift für Theoretische und Angewandte Finanzen (IJTAF), High Frequency. Journal of Risks und Argo. Sebastian ist auch Gründungsmitglied der Commodities and Energy Markets Association. IAQF-Thalesians-Seminare Die IAQF-Thalesians-Seminarreihe ist eine gemeinsame Anstrengung seitens des IAQF (ehemals IAFE) und der Thalesier. Das Ziel der Serie ist es, ein Forum für den Austausch von neuen Ideen und Ergebnissen im Zusammenhang mit dem Bereich der quantitativen Finanzierung zu bieten. Dieses Ziel wird durch die Durchführung von Seminaren, wo führende Praktiker und Akademiker präsentieren neue Arbeit, und nach den Seminaren mit einem Empfang, um weitere Interaktion und Diskussion zu erleichtern erreicht. Die Seminarreihe ist nur auf IAQF - und Thaleser-Mitglieder beschränkt. Aktuelle Ereignisse IAQF-Thalesians Seminar (New York) 8212 Dr. Alan Moreira 8212 Volatility Managed Portfolios Mittwoch, 15. Februar 2017: NYU Kimmel Center. Raum 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrierung Managed Portfolios, die weniger Risiko einnehmen, wenn die Volatilität hoch ist, produzieren große Alphas, erhöhen die Sharpe-Ratios und produzieren große Nutzengewinne für Mid-Varianance-Investoren. Wir dokumentieren dies für den Markt, den Wert, die Dynamik, die Rentabilität, die Eigenkapitalrendite und die Investitionsfaktoren sowie den Devisenhandelshandel. Volatilitäts-Timing erhöht die Sharpe-Ratios, da Änderungen der Volatilität nicht durch proportionale Veränderungen der erwarteten Renditen ausgeglichen werden. Unsere Strategie steht im Widerspruch zur konventionellen Weisheit, weil sie in den Rezessionen relativ wenig Risiko einnimmt und dennoch hohe durchschnittliche Renditen erzielt. Dies schließt typische risikobasierte Erläuterungen aus und stellt eine Herausforderung für strukturelle Modelle zeitveränderlicher erwarteter Renditen dar. Alan Moreira ist Assistant Professor für Finanzen an der Yale University School of Management. Ursprünglich aus Rio de Janeiro, Brasilien, erhielt er seinen Bachelor-Abschluss an der Rio de Janeiro Federal University (UFRJ) und seine Promotion in Finanzwissenschaften von der University of Chicago. Dr. Moreiras Forschung untersucht, wie die Finanzintermediation die Realwirtschaft und die Ursachen und Konsequenzen von Unsicherheitsschwankungen prägt. Seine Forschung wurde in den Top-Zeitschriften veröffentlicht, darunter das Journal of Financial Economics und Journal of Finance. Neben der Lehre des Risikomanagements im MBA-Programm an der Yale School of Management lehrt Dr. Moreira Asset Pricing auf PhD-Ebene. In seiner Freizeit genießt er Radfahren, reist und hängt die Familie ab. Alan Moreira, Professor für Finanzen, Yale School of Management 1 IAQF-Thalesians Seminare Die IAQF-Thalesians Seminarreihe ist eine gemeinsame Anstrengung seitens des IAQF (ehemals IAFE) und der Thalesier. Das Ziel der Serie ist es, ein Forum für den Austausch von neuen Ideen und Ergebnissen im Zusammenhang mit dem Bereich der quantitativen Finanzierung zu bieten. Dieses Ziel wird durch die Durchführung von Seminaren, wo führende Praktiker und Akademiker präsentieren neue Arbeit, und nach den Seminaren mit einem Empfang, um weitere Interaktion und Diskussion zu erleichtern erreicht. Die Seminarreihe ist nur auf IAQF - und Thaleser-Mitglieder beschränkt. Thalesians-Seminar (London) 8212 Oskar Mencer 8212 Multiskalen Dataflow-Risiko-Berechnungen auf Hybridwolken Datum und Uhrzeit 19:30 Uhr am Mittwoch, 25. Januar 2017 Registrierung Die sofortige Volatilität der logarithmischen Rückkehr im logarithmischen Fraktional-SABR-Modell wird durch die Potenzierung einer korrelierten fraktionalen Brownschen Bewegung angetrieben . Wegen der gemischten Art, Brownian und fraktionale Brownsche Bewegungen zu fahren, ist die Wahrscheinlichkeitsdichte für solche Modelle in der Literatur weniger bekannt. Wir stellen in diesem Vortrag eine Brückenrepräsentation für die Fugendichte des logarithmischen Fraktions-SABR-Modells in einem Fourierraum dar. Die Auswertung der Brückendarstellung entlang eines richtig gewählten deterministischen Weges ergibt einen Edgeworth-Stil der Ausdehnung der Wahrscheinlichkeitsdichte für das fraktionierte SABR-Modell. Eine direkte Verallgemeinerung der Darstellung zur gemeinsamen Dichte zu mehrfachen Zeiten führt zu einer heuristischen Ableitung des großen Abweichungsprinzips für die Fugendichte in kleiner Zeit. Die Annäherung der impliziten Volatilität wird durch die Anwendung der Laplace-asymptotischen Formel auf die Aufruf - oder Put-Preise und den Vergleich von Koeffizienten leicht erreicht. Die Präsentation basiert auf einer gemeinsamen Arbeit mit Jiro Akahori und Xiaoming Song. Tai-Ho Wang hält eine Professur für Mathematik am Baruch College, City University of New York seit 2012. Seine Forschung in quantitativen Finanzen umfasst implizite Volatilität Asymptotik in kleinen Zeit, statische Arbitrage freie Grenzen auf Korb Optionen, optimale Liquidation und Ausführung in Markt Auswirkungen Modelle , Und vor kurzem Informationsdynamik auf dem Finanzmarkt. IAQF-Thalesians-Seminare Die IAQF-Thalesians-Seminarreihe ist eine gemeinsame Anstrengung seitens des IAQF (ehemals IAFE) und der Thalesier. Das Ziel der Serie ist es, ein Forum für den Austausch von neuen Ideen und Ergebnissen im Zusammenhang mit dem Bereich der quantitativen Finanzierung zu bieten. Dieses Ziel wird durch die Durchführung von Seminaren, wo führende Praktiker und Akademiker präsentieren neue Arbeit, und nach den Seminaren mit einem Empfang, um weitere Interaktion und Diskussion zu erleichtern erreicht. Die Seminarreihe ist nur auf IAQF - und Thaleser-Mitglieder beschränkt. IAQF-Thalesians-Seminar (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making mit Übernacht-Inventur Kosten Donnerstag, 14. Dezember 2016: NYU Kimmel Center. Raum 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrierung Der Marktanteil der Hochschulhandel (HFT) ist stetig gestiegen. Ein unterscheidendes Merkmal von HFTs ist, dass sie intraday handeln und den Tag flach beenden. Um die Ökonomie der HFTs zu beleuchten und in einer Abkehr von bestehenden Markttheorien zu modellieren, modellieren wir eine HFT, die Zugang zu unbegrenztem Hebel intraday hat, aber jeden End-of-Day-Inventar zu exogen bestimmten Kosten finanzieren muss. Auch wenn die Inventurkosten erst am Ende des Tages auftreten, beeinflussen sie die Intraday-Preis - und Liquiditätsdynamik. Dies führt zu einem intraday endogenen Preisschlagmechanismus. Wenn sich die Zeit dem Ende des Handelstages nähert, verschärft sich die Sensitivität der Preise auf die Lagerbestände, so dass sich der Preis stärker auswirkt und die Bid-Ask-Spreads verbreitert. Darüber hinaus können Ungleichgewichte von Kauf - und Verkaufsaufträgen auch bei festen Angebots - und Bedarfsfunktionen Wanderungen und Preisverfall katalysieren. Empirisch zeigen wir, dass diese Vorhersagen auf dem US-amerikanischen Schatzmarkt getragen werden, wo die Bid-Ask-Spreads und die Preiswirkung zum Ende des Tages steigen. Darüber hinaus sind die Kursbewegungen negativ mit den Veränderungen des Bestandsniveaus korreliert, gemessen am kumulierten Nettohandelsvolumen. (Gemeinsame Arbeit mit Tobias Adrian, Agostino Capponi und Erik Vogt) Hongzhong Zhang ist Assistenzprofessor an der Columbia University. Seine Forschung konzentriert sich auf das breite Gebiet der angewandten Wahrscheinlichkeit mit Anwendungen in Engineering, Finanzen und Versicherungen. Insbesondere einige seiner aktuellen Forschungsinteressen umfassen Asymptotik, Drawdowns, optimales Stoppen und Erkennung von Regimewechsel. IAQF-Thalesians-Seminare Die IAQF-Thalesians-Seminarreihe ist eine gemeinsame Anstrengung seitens des IAQF (ehemals IAFE) und der Thalesier. Das Ziel der Serie ist es, ein Forum für den Austausch von neuen Ideen und Ergebnissen im Zusammenhang mit dem Bereich der quantitativen Finanzierung zu bieten. Dieses Ziel wird durch die Durchführung von Seminaren, wo führende Praktiker und Akademiker präsentieren neue Arbeit, und nach den Seminaren mit einem Empfang, um weitere Interaktion und Diskussion zu erleichtern erreicht. Die Seminarreihe ist nur auf IAQF - und Thaleser-Mitglieder beschränkt. Thalesians Xmas Party (London) 8212 Iain Clark 8212 Implizierte Distributionen von FX Risk-Reversals und Vorhersagen für die Wirkung der Brexit Vote und der Trump-Wahl Wir laden Sie herzlich zu unserem Thalesians Christmas Seminar in London ein, wo Iain Clark präsentiert wird Darauf folgt unsere Weihnachtsfeier an der GampTea Bar im Marriott Hotel, Canary Wharf, wo wir Getränke und Canapes servieren werden. Der Eintrittspreis beinhaltet sowohl das Gespräch als auch die Party (erste Getränke Canapes). Die Canape Auswahl umfasst einige der folgenden: Aubergine und Haloumi Wrap Brie und Parma Schinken Finger Brioche Crudits und Hummus Schuss Gläser Open Gesicht geräucherter Lachs Bagel Mini Burger Lamm Samosa Frühlingsrollen Garnelen Kartoffel Muscheln Datum und Uhrzeit 19.30 Uhr am Montag, 12. Dezember 2016 Ginger Room, gefolgt von Getränken amp canapes bei GampTea Bar, Marriott Hotel, Canary Wharf, London, UK, Meetup Im Mai 2016 wurde festgestellt, im Publikum QampA nach einer Präsentation des Sprechers, dass GBPUSD Risiko Umkehrungen waren sehr ungewöhnlich ausgestellt Verhalten - nämlich extreme Schiefe in kurzen datierten Tenöre, aber relativ flaches Lächeln danach. Dies ist eine ungewöhnlichste Volatilitätsunterzeichnung und die Verbindung mit der bevorstehenden Brexit-Referendum-Stimme wurde sofort gemacht. Der Redner, der dringend angesichts der aktuellen Natur des Pre-Brexit-Marktes war, führte eine Analyse mit seinem Co-Autor auf implizite Distributionen für die Markterwartungen für GBPUSD um das Referendum-Datum (23. Juni 2016) mit Vorhersagen für Spot danach. Das Papier wurde am 13. Juni in SSRN (ssrnabstract2794888) hochgeladen, in dem wir im Falle einer Abschiedsstimme - einer Abwärtsbewegung von 0,14 bis ", empirische Beweise in der Volatilität für einen Rückgang in GBPUSD von 1.4390 auf den Bereich von 1,10 bis 1,30 identifizierten 0,34 Die Analyse, ungewöhnlich für die Quellforschung, erhielt Abdeckung in der FT und der Sunday Telegraph und in der Tat unsere Vorhersagen wurden bestätigt, als das Referendum Ergebnis angekündigt wurde und Sterling fiel von 1,50 auf 1,33 - eine Abwärtsbewegung von 0,17 - in einer Angelegenheit von Stunden. Im Anschluss an diese Analyse haben wir ähnliche Methoden für die mexikanischen Peso zitiert gegen den US-Dollar (USDMXN) unmittelbar vor der 2016 US-Wahl angewendet und wir konnten die Peso-Abwertung in einer Strecke von 20-24 Pesos pro Dollar im Falle eines Trump-Sieg, der durch nachfolgende Ereignisse bestätigt wurde. In diesem Vortrag werde ich unsere Analyse der in der Volatilität versetzten Information und die Grundlage für unsere prädiktive Analyse durchlaufen. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) hat über 14 Jahre Erfahrung als Front Office Quant. Er arbeitete als Head of FX und Commodities Quantitative Analysis bei der Standard Bank, als Leiter der FX Quantitative Analyse bei Unicredit und bei Dresdner Kleinwort sowie bei Lehman Brothers, BNP Paribas und JP Morgan. Iain hat einen Doktoranden in angewandter Mathematik von der Queensland University und einen MSc in der Finanzmathematik von Edinburgh und Heriot-Watt Universitäten. Seine Forschungsschwerpunkte liegen auf exotischen Optionen, stochastischen Modellen für FX und Rohstoffe und numerischen Methoden für die Optionspreise. Er ist ein häufiger Beitrag zu Branchenkonferenzen, Schulungen und eingeladenen Referenten an verschiedenen Universitäten. Sein erstes Buch Devisenoptionspreis: Ein Praktikumsführer wurde im November 2010 von Wiley Finance und seinem zweiten Buch veröffentlicht. Commodity Option Pricing: Ein Praktikumsleitfaden soll Anfang 2014 erscheinen (auch bei Wiley Finance). Thalesians Seminar (London) 8212 Vlasios Voudouris 8212 Flexibles maschinelles Lernen für Finanzen Datum und Uhrzeit 7:30 Uhr am Mittwoch, 23. November 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Mit schnellen Veränderungen in der Rechentechnik und dem großen Datenalter wird das Feld der Datenwissenschaft ständig herausgefordert. Data-Wissenschaftler Job ist es, Sinn für die riesigen Mengen an Daten: um wichtige Muster und Trends zu extrahieren, und verstehen, was die Daten sagt. Die Herausforderungen beim Lernen aus Daten haben zu einer Revolution in maschinellen Lerntechniken geführt. Die GAMLSS-Suite von Werkzeugen in unserem Versuch, aus Finanzdaten zu lernen. GAMLSS ist mittlerweile weit verbreitet für die prädiktive Analytik und die Risikoquantifizierung (z. B. Verlust bei Standard). Aufgrund der Flexibilität der GAMLSS-Modelle können wir die folgenden Dateneigenschaften erfassen: Die schwere oder leichte Eigenschaften der Verteilung der Daten. Dies bedeutet, dass die Wahrscheinlichkeit von seltenen Ereignissen (z. B. ein Ausreißerwert) mit einer höheren oder niedrigeren Wahrscheinlichkeit im Vergleich zur Normalverteilung auftritt. Weiterhin kann sich die Wahrscheinlichkeit des Auftretens eines Ausreißerwertes in Abhängigkeit von den erläuternden Werten ändern. Die Schiefe der Antwortvariable, die sich in Abhängigkeit von den erklärenden Variablen ändern könnte. Die nichtlineare oder reibungslose Beziehung zwischen der Zielvariablen und den erklärenden Berechnungsvariablen. Based on our book Flexible Regression and Smoothing: Using GAMLSS in R, the talk includes a large number of practical examples (e. g. predictions and risk quantification) which reflect the range of problems addressed by GAMLSS models. This also means that the examples provide a practical illustration of the process of using GAMLSS models for machine learning. Vlasios Voudouris is a Data Scientist with expertise in data-driven predictive analytics and risk quantification of financial markets. His primary research focus is on i) semi-parametric machine learning models ii) innovative model selection processes and iii) robust diagnostics for systematic trading and risk quantification. He is the co-author of the book Flexible Regression and Smoothing: Using GAMLSS in R and the associated software in R and Java. GAMLSS (Generalized Additive Models for Location Scale and Shape) is about learning from data using semi-parametric supervised machine learning algorithms. Furthermore, Vlasios developed data-driven agent-based models for stress testing scenarios (with an emphasis on commodity markets). His models and tools are used by a range of organisations. By way of two specific examples: 1) the IMF used GAMLSS for stress testing the U. S. financial System 2) Vlasios and his colleagues demonstrated a suite of GAMLSS models for the Bank of England (BoE). Using GAMLSS, Vlasios developed a systematic trading model for WTI Crude Oil (NYMEX). Vlasios holds a Ph. D. from City, University of London. IAQF-Thalesians Seminar (New York) 8212 Dr. Michael Imerman 8212 Insights from a Data-Driven Analysis of the Volatility Risk Premium Thursday, November 17, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Much of this talk will come from joint work I did with Jianqing Fan at Princeton and Wei Dai now at Dimensional Fund Advisors. We set out to provide a purely data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute realized volatility. From that we subtract the daily VIX, our measure of implied volatility, to construct a time series of the volatility risk premium. To identify the factors behind the volatility risk premium as a priced bias we decompose it into magnitude and direction. We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk premium reflects expectations about future levels of volatility. However, evidence supports the hypothesis that the sign of the volatility risk premium is indicative of gains or losses on a delta-hedged portfolio consistent with Bakshi and Kapadia (2003). As someone who has come from a background in financial modeling but has developed a penchant for data science and analytics, I will spend some time at the end of my talk on my thoughts about how data science is being embraced (in some ways, and eschewed in others) by the quantitative finance community. Michael B. Imerman is the Theodore A. Lauer Distinguished Professor of Investments and Assistant Professor in the Perella Department of Finance at Lehigh University. Dr. Imermans previous appointments were at Princeton in the ORFE Department and Rutgers Business School from where he received his Ph. D. Before coming to academia, Imerman worked as an analyst at Lehman Brothers supporting the high grade credit and credit derivative trading desks. At Lehigh, Professor Imerman teaches Derivatives and Risk Management both at the undergraduate and graduate levels. His primary research area is in credit risk modeling with applications to banking, risk management, and financial regulation. Most recently he has been actively involved in integrating data science techniques into the evaluation of risk in the securitized mortgage market. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof David Hand 8212 The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day Date and Time Registration Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure the variance term premium, we estimate a dynamic term-structure model that prices variance swaps across the US, UK, Europe, and Japan. The model decomposes the variance swap curve into term-structures of risk premia and expected quantities of risk. Empirically, we document a strong factor structure in global variance swap rates and find that variance term premia are negatively correlated with the wealth of the financial intermediary sector. Our results support the hypothesis that financial intermediaries are the marginal investor in the variance swap market. Erik Vogt is a financial economist in the Capital Markets Function of the Federal Reserve Bank of New York. His main research interests are in asset pricing, financial econometrics, volatility and liquidity risk, and high-frequency data across a variety of asset classes, including equities, Treasuries, derivatives, and corporate bonds. His research on market liquidity and broker-dealers has received media coverage in Bloomberg, Reuters, and Yahoo Finance, among others, and was also cited in U. S. Senate testimony before the Subcommittee on Securities, Insurance, and Investment, and the Subcommittee on Economic Policy, Committee on Banking, Housing, and Urban Affairs. Erik actively serves as a referee for several peer-reviewed journals, including the Review of Financial Studies, the Journal of Econometrics, the Journal of Empirical Finance, the Journal of Financial Econometrics, and Quantitative Finance. Erik joined the New York Fed in July 2014 and holds a Ph. D. and M. A. in Economics from Duke University and a B. Sc. in Mathematics and Economics from the London School of Economics. Prior to graduate school, he worked as an Associate Economist at the Federal Reserve Bank of Chicago. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Nick Baltas 8212 Multi-Asset Carry Strategies Date and Time 7:30 p. m. on Wednesday 28th September 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Carry strategies have been primarily studied and explored within currency markets, where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant returns. This presentation extends the notion of carry to different asset classes by looking at the futures markets of commodities, equity indices and government bonds. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe. Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph. D from Cornell University in the computer science amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Thalesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), and Currency Management (Risk books). Her new book FX Option Performance was published in May 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board. IAQF-Thalesians Seminar (New York) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - githubthalesianspythalesians Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk. What is cointegration How to test for cointegration What is pairs trading How to find cointegrated pairs How to generate a tradeable signal This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: quantopianlectures. Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and fx Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for fx Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking