As imagens de Thalesians de eventos de Thalesians de todo o mundo ao longo dos últimos 6 anos Os Thalesians são um grupo de reflexão de profissionais dedicados com interesse em finanças quantitativas, economia, matemática, física e informática, não necessariamente nessa ordem. Blog Veja o nosso novo blog Thalesians. Compre o nosso novo livro. Trading Thalesians - O que o mundo antigo pode nos ensinar sobre o comércio hoje (Palgrave Macmillan) pelo co-fundador de Thales, Saeed Amen amplificador do fundador, Paul Bilokon Fundação O grupo foi fundado em setembro de 2008, por Paul Bilokon (então analista quantitativo Na Lehman Brothers especializada em divisas e pesquisador a tempo parcial no Imperial College) e dois de seus amigos e colegas: Matthew Dixon (então analista quantitativo no Deutsche Bank) e Saeed Amen (então estrategista quantitativo da Lehman Brothers) . A abertura do Level39 em 2013 pelo prefeito Boris Johnson Os Thalesianos também são agora membros do Level39 - O maior acelerador de tecnologia da Europes para empresas de tecnologia de finanças, varejo, cibersegurança e futuras cidades Eventos Pesquisa Consultoria Eventos Os Thalesians foram originalmente estabelecidos em Londres, Reino Unido . Em janeiro de 2011, a organização tornou-se verdadeiramente global quando Matthew Dixon trouxe para os Estados Unidos onde ele dirige os seminários Thalesians NYC com o líder de Nova York, Harvey Stein. Attila Agod é o líder de Budapeste para os nossos seminários Thalesians em Budapeste. Atualmente, estamos no processo de expansão de nossos seminários para Praga e de mais workshops. Pesquisa No final de 2013, começamos as notas de estratégia de publicação inovadoras. Nosso esforço é liderado por Saeed Amen, usando quase uma década de sua experiência criando e depois negociando modelos de negociação sistemática em FX nos principais bancos de investimento. Visite a Pesquisa para mais. Consultoria Em 2014, começamos a oferecer serviços de consultoria sob medida em mercados, assinando nosso primeiro cliente, um importante fundo de hedge dos Estados Unidos e RavenPack, um importante fornecedor de dados de notícias. Nossos serviços incluem a criação de modelos de negociação sistemática sob medida e outras análises quantitativas dos mercados financeiros, tais como cobertura de câmbio e análise de custos de transação FX (TCA). Visite Consultoria para mais. Nossa Filosofia Somos nomeados por Thales de Mileto (), um filósofo grego pré-socrático que morava em ca. 624 BC-ca. 546 aC. Thales era um matemático e é familiar para muitos estudantes do ensino médio para um de seus teoremas em geometria. Mas de forma mais relevante para nós, ele foi um dos primeiros usuários de opções: Thales, então a história continua, por causa de sua pobreza ser provocada com a inutilidade da filosofia, mas de seu conhecimento de astronomia que ele observou enquanto ainda era inverno que lá Seria uma grande colheita de azeitonas, então ele levantou uma pequena quantia de dinheiro e pagou depósitos redondos para toda a imprensa de azeitona em Miletus e Chios, que ele contratou a um aluguel baixo, já que ninguém o estava correndo e quando Chegou a estação, houve uma demanda repentina para uma série de impressões ao mesmo tempo, e, deixando-as em termos que ele gostava, ele percebeu uma grande soma de dinheiro, provando que é fácil para os filósofos serem ricos se eles Escolha, mas isso não é o que eles importam. Aristóteles, Política, 1259a. A moral desta anedota é que é fácil para os filósofos serem ricos se eles escolhem o famoso Milesian foi adiante e provou isso. Nós, os Thalesianos. Admirá-lo por isso. Mas também compartilhamos muitos de seus valores, por exemplo, sua crença central de que um homem feliz é definido como um, (que é saudável no corpo, engenhoso na alma e de uma natureza facilmente ensinável). Este wiki foi criado para servir como fonte de informação sobre finanças quantitativas, coletar referências a vários recursos relacionados e servir como ponto de convergência para os Thalesianos. Nossos colegas e colaboradores. Ele surgiu de Paul Bilokons wiki de finanças, que ele começou em fevereiro de 2007. Nós acreditamos que segredo e fidelidade são importantes no mundo das finanças. Mas também reconhecemos o poder do compartilhamento de informações em sociedades abertas. Deixe sua lógica de negócios permanecer um segredo bem guardado. Mas liberte tudo para o domínio público. O que se passa, vem por aí, isso acabará por poupar você reinventando a roda. Mais de nossos palestrantes nos eventos de Thalesians nos últimos 6 anos Seminários de Thalesians de Eventos Próximos (Frankfurt) 8212 Thalesians Frankfurt 1st Workshop de Seminário Aberta A volatilidade instantânea do retorno logarítmico no modelo SABR fracional lognormal é impulsionada pela exponencialização de um movimento Browniano fracionado correlacionado. Devido à natureza mista da condução de movimentos brownianos Brownianos e fracionários, a densidade de probabilidade para esses modelos é menos conhecida na literatura. Apresentamos nesta conversa uma representação da ponte para a densidade articular do modelo SABR fracional lognormal em um espaço de Fourier. Avaliar a representação da ponte ao longo de um caminho determinista corretamente escolhido produz um estilo Edgeworth de expansão da densidade de probabilidade para o modelo SABR fracionário. Uma generalização direta da representação para a densidade das articulações em múltiplas vezes leva a uma derivação heurística do princípio dos grandes desvios para a densidade da junção em pouco tempo. A aproximação da volatilidade implícita é prontamente obtida aplicando a fórmula asséptica de Laplace à chamada ou colocando preços e comparando coeficientes. A apresentação é baseada em um trabalho conjunto com Jiro Akahori e Xiaoming Song. Tai-Ho Wang é professor de matemática no Baruch College, da Universidade da Cidade de Nova York desde 2012. Sua pesquisa em finanças quantitativas inclui assintótica implícita assintótica em pequenas ocasiões, limites de arbitragem estática em opções de cesta, liquidação ótima e execução em modelos de impacto de mercado , E recentemente a dinâmica da informação no mercado financeiro. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Seminário IAQF-Thalesians (Nova York) 8212 Dr. Alan Moreira 8212 Portfolios Gerenciados de Volatilidade Quarta-feira, 15 de fevereiro de 2017: NYU Kimmel Center. Quarto 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registro Carteiras gerenciadas que levam menos riscos quando a volatilidade é alta produzem grandes alfas, aumentam os índices de Sharpe e produzem grandes ganhos de utilidade para investidores de variância média. Nós documentamos isso para o mercado, o valor, o impulso, a rentabilidade, o retorno sobre o patrimônio e os fatores de investimento, bem como o comércio de transações de moeda. O tempo de volatilidade aumenta os índices de Sharpe porque as mudanças na volatilidade não são compensadas por mudanças proporcionais nos retornos esperados. Nossa estratégia é contrária à sabedoria convencional, pois leva a um risco relativamente menor de recessão, mas ainda ganha rendimentos médios elevados. Isso exclui as explicações típicas baseadas em risco e é um desafio para os modelos estruturais de retornos esperados variando no tempo. Alan Moreira é professor assistente de finanças da Yale University School of Management. Originalmente do Rio de Janeiro, Brasil, recebeu o curso de graduação da Universidade Federal do Rio de Janeiro (UFRJ) e seu doutorado em Economia Financeira pela Universidade de Chicago. A pesquisa do Dr. Moreiras investiga como a intermediação financeira molda a economia real e as causas e conseqüências das flutuações na incerteza. Sua pesquisa foi publicada nas principais revistas, incluindo o Journal of Financial Economics e Journal of Finance. Além de ensinar Gestão de Riscos no programa de MBA na Escola de Gestão de Yale, o Dr. Moreira ensina Preços de Ativos no nível de Doutorado. Em seu tempo livre, ele gosta de andar de bicicleta, viajar e sair da família. Alan Moreira, Professor Assistente de Finanças, Escola de Gestão de Yale 1 Seminários da IAQF-Thalesians A série de seminários da IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Eventos Recentes Seminário IAQF-Thalesians (Nova York) 8212 Dr. Hongzhong Zhang 8212 Mercado Intraday com Custos de Inventário Durante a noite quinta-feira, 14 de dezembro de 2016: NYU Kimmel Center. Sala 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registro A participação na negociação de mercado por empresas de alta freqüência (HFT) tem aumentado de forma constante. Uma característica distintiva dos HFTs é que eles comercializam intraday, terminando o dia plano. Para lançar luz sobre a economia dos HFTs, e em uma partida das teorias existentes de fabricação de mercado, modelamos uma HFT que tenha acesso a alavancagem ilimitada intraday, mas deve financiar qualquer inventário de fim de dia a um custo exógenamente determinado. Mesmo que os custos de inventário apenas ocorram no final do dia, eles impactam o preço intradiário e a dinâmica de liquidez. Isso dá origem a um mecanismo intradiário de impacto de preços endógenos. À medida que o tempo se aproxima do final do dia de negociação, a sensibilidade dos preços aos níveis de estoques se intensifica, tornando o impacto do preço mais forte e ampliando os spreads de oferta e oferta. Além disso, o desequilíbrio das ordens de compra e venda pode catalisar aumentos e quedas de preços, mesmo sob funções fixas de oferta e demanda. Em termos empíricos, mostramos que essas previsões são confirmadas no mercado de tesouraria dos EUA, onde os spreads de oferta e demanda e o impacto nos preços tendem a aumentar para o final do dia. Além disso, os movimentos de preços estão negativamente correlacionados com as mudanças nos níveis de estoque, conforme medido pelo volume acumulado de negociação líquida. (Trabalho conjunto com Tobias Adrian, Agostino Capponi e Erik Vogt) Hongzhong Zhang é professor assistente na Universidade de Columbia. Sua pesquisa se concentra na ampla área de probabilidade aplicada com aplicações em engenharia, finanças e seguros. Em particular, alguns dos seus atuais interesses de pesquisa incluem assintóticos, retrações, parada ótima e detecção de mudanças de regime. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Thalesians Xmas Party (Londres) 8212 Iain Clark 8212 Distribuições implícitas do FX Risco-Reversões e Previsões para o efeito do voto de Brexit e da tentativa de Trump Nós gostaríamos de convidá-lo para o nosso seminário de Natal de Thalesians em Londres, onde Iain Clark apresentará Isto será seguido por nossa festa de Natal no GampTea Bar no Marriott Hotel, Canary Wharf, onde estaremos servindo bebidas e canapés. O preço do bilhete inclui tanto a conversa quanto a festa (primeiro canapés de bebidas). A seleção do canape incluirá alguns dos seguintes itens: Enrolado de berinjela e haloumi Brie e brigo de perol de Parma Cruditos e copos de hummus Bolinho de salmão defumado de rosto aberto Mini hambúrgueres Samosa de cordeiro Rolinhos de mola Cascas de batata de camarão Data e hora 7:30 p. m. Na segunda-feira 12 de dezembro de 2016 Ginger Room, seguido de canetas de amplificador de bebidas no GampTea Bar, Marriott Hotel, Canary Wharf, Londres, Reino Unido, Meetup Em maio de 2016, foi notado, na audiência QampA após uma apresentação do falante, que as reversões de risco do GBPUSD Estavam exibindo um comportamento muito incomum - ou seja, distorção extrema em tenores de curta data, mas sorrisos relativamente planos depois disso. Esta é uma assinatura de volatilidade muito incomum e a conexão com o próximo voto referendo de Brexit foi imediatamente feita. O orador, com carácter de urgência, dada a natureza tópica do mercado pré-Brexit, realizou uma análise com o seu co-autor sobre distribuições implícitas para as expectativas do mercado para o GBPUSD em torno da data do referendo (23 de junho de 2016), com previsões para o local Depois disso. O documento foi carregado para SSRN (ssrnabstract2794888) em 13 de junho, no qual identificamos evidências empíricas na inclinação da volatilidade para uma queda no GBPUSD de 1,4390 para o intervalo de 1,10 a 1,30 no caso de um voto de licença - um movimento descendente de 0,14 para 0,34. A análise, invulgarmente para a pesquisa quantitativa, recebeu cobertura no FT e Sunday Telegraph e, de fato, nossas previsões foram confirmadas quando o resultado do referendo foi anunciado e a libra caiu de 1,50 para 1,33 - um movimento descendente de 0,17 - em questão de horas. Após esta análise, aplicamos métodos similares ao peso mexicano cotado em relação ao dólar norte-americano (USDMXN) imediatamente antes das eleições de 2016 nos EUA e conseguimos prever a desvalorização do peso em uma faixa de 20-24 pesos por dólar em caso de Trump, que foi confirmada por eventos subsequentes. Nesta conversa, analisaremos a análise da informação embutida na inclinação da volatilidade e a base para nossa análise preditiva. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) tem mais de 14 anos de experiência como front office quant. Ele atuou como Chefe de FX e Análise Quantitativa de Mercadorias no Standard Bank, como Chefe de Análise Quantitativa FX na Unicredit e em Dresdner Kleinwort, e em Lehman Brothers, BNP Paribas e JP Morgan. Iain tem doutorado em matemática aplicada da Universidade de Queensland e mestrado em matemática financeira nas universidades de Edimburgo e Heriot-Watt. Seus principais interesses de pesquisa estão em opções exóticas, modelos estocásticos para FX e commodities, e métodos numéricos para preços de opções. Ele é um contribuidor freqüente para conferências da indústria, cursos de treinamento e palestrantes convidados em várias universidades. Seu primeiro livro Preço de opção de câmbio: Um guia de praticantes foi publicado em novembro de 2010 pela Wiley Finance e seu segundo livro Preço da opção de commodities: Um guia de praticantes deve aparecer no início de 2014 (também com a Wiley Finance). Seminário de Thalesians (Londres) 8212 Vlasios Voudouris 8212 Aprendizado de máquinas flexíveis para financiamento Data e hora 7:30 p. m. Na quarta-feira, 23 de novembro de 2016 Ginger Room, Marriott Hotel, Canary Wharf, Londres, Reino Unido. Meetup Com mudanças rápidas na tecnologia de computação e na grande era dos dados, o campo da ciência dos dados é constantemente desafiado. O trabalho dos cientistas de dados é dar sentido às enormes quantidades de dados: extrair padrões e tendências importantes e entender o que os dados dizem. Os desafios na aprendizagem de dados levaram a uma revolução nas técnicas de aprendizado de máquinas. O conjunto de ferramentas GAMLSS na nossa tentativa de aprender com os dados financeiros. GAMLSS agora é amplamente utilizado para análise preditiva e quantificação de risco (por exemplo, perda dada padrão). Devido à flexibilidade dos modelos GAMLSS, podemos capturar as seguintes características de dados: As características de cauda pesada ou ligeiras da distribuição dos dados. Isso significa que a probabilidade de eventos raros (por exemplo, um valor outlier) ocorre com maior ou menor probabilidade em comparação com a distribuição normal. Além disso, a probabilidade de ocorrência de um valor outlier pode mudar em função dos valores explicativos. O aspeto da variável de resposta, que pode mudar em função das variáveis explicativas. A relação não linear ou lisa entre a variável alvo e as variáveis explicativas. Com base em nosso livro Flexibility Regression and Smoothing: Usando GAMLSS em R, a conversa inclui uma grande quantidade de exemplos práticos (por exemplo, previsões e quantificação de risco) que refletem a gama de problemas abordados pelos modelos GAMLSS. Isso também significa que os exemplos fornecem uma ilustração prática do processo de uso de modelos GAMLSS para aprendizagem em máquina. Vlasios Voudouris é cientista de dados com experiência em análise preditiva baseada em dados e quantificação de risco dos mercados financeiros. Seu principal foco de pesquisa é sobre i) modelos de aprendizagem de máquina semi-paramétrica ii) processos inovadores de seleção de modelos e iii) diagnósticos robustos para negociação sistemática e quantificação de risco. Ele é o co-autor do livro Flexible Regression and Smoothing: usando GAMLSS em R e o software associado em R e Java. GAMLSS (Modelos de Aditivos Generalizados para Escala de Localização e Forma) é sobre aprender com dados usando algoritmos de aprendizagem de máquina supervisionados semi-paramétricos. Além disso, a Vlasios desenvolveu modelos baseados em dados baseados em agentes para cenários de testes de estresse (com ênfase nos mercados de commodities). Seus modelos e ferramentas são usados por várias organizações. Por meio de dois exemplos específicos: 1) o FMI usou o GAMLSS para o teste de estresse do Sistema Financeiro dos EUA 2). Vlasios e seus colegas demonstraram um conjunto de modelos GAMLSS para o Banco da Inglaterra (BoE). Usando o GAMLSS, a Vlasios desenvolveu um modelo de negociação sistemática para WTI Crude Oil (NYMEX). Vlasios possui um Ph. D. Da cidade, Universidade de Londres. Seminário IAQF-Thalesians (Nova York) 8212 Dr. Michael Imerman 8212 Insights de uma análise baseada em dados do risco de volatilidade Jovens, 17 de novembro de 2016: NYU Kimmel Center. Sala 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registro Muitas dessas conversações virão do trabalho conjunto que fiz com o Jianqing Fan em Princeton e Wei Dai agora no Dimensional Fund Advisors. Nós nos propusemos fornecer uma análise puramente baseada em dados do prémio de risco de volatilidade, usando ferramentas de finanças de alta freqüência e análise de dados grandes. Argumentamos que o prémio de risco de volatilidade, vagamente definido como a diferença entre volatilidade realizada e implícita, pode ser melhor entendido quando considerado como um viés de preço sistemático. Utilizamos primeiro dados de transações de ultra-alta freqüência em SPDRs e uma nova abordagem para estimar a volatilidade integrada no domínio de freqüência para calcular a volatilidade realizada. A partir disso, subtravemos o VIX diário, nossa medida de volatilidade implícita, para construir uma série temporal do prémio de risco de volatilidade. Para identificar os fatores por trás do prémio de risco de volatilidade como um viés de preço, nós o decomposamos em magnitude e direção. Encontramos evidências convincentes de que a magnitude do desvio da volatilidade realizada da volatilidade implícita representa os desequilíbrios da oferta e da demanda no mercado para cobertura do risco de cauda. É difícil aceitar de forma conclusiva a hipótese de que a direção ou o sinal do prémio de risco de volatilidade refletem expectativas sobre níveis futuros de volatilidade. No entanto, a evidência apóia a hipótese de que o sinal do prêmio de risco de volatilidade é indicativo de ganhos ou perdas em uma carteira coberta por delta consistente com Bakshi e Kapadia (2003). Como alguém que veio de um plano de fundo na modelagem financeira, mas desenvolveu uma propensão para a ciência e análise de dados, vou passar algum tempo no final da minha conversa sobre os meus pensamentos sobre como a ciência dos dados está sendo adotada (de certa forma, e evitada Em outros) pela comunidade de finanças quantitativas. Michael B. Imerman é Theodore A. Lauer Professor Distinguido de Investimentos e Professor Assistente no Departamento de Finanças Perella da Universidade Lehigh. Os compromissos anteriores do Dr. Imermans estavam em Princeton no Departamento ORFE e Rutgers Business School, de onde recebeu seu Ph. D. Antes de chegar ao meio acadêmico, Imerman trabalhou como analista da Lehman Brothers, apoiando as mesas de crédito e crédito derivado de alta qualidade. Em Lehigh, o professor Imerman ensina Derivativos e Gerenciamento de Riscos tanto nos níveis de graduação quanto de pós-graduação. Sua principal área de pesquisa é a modelagem de risco de crédito com aplicações em bancos, gerenciamento de riscos e regulação financeira. Mais recentemente, ele participou ativamente da integração de técnicas de ciência de dados na avaliação de risco no mercado de hipotecas securitizado. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Seminário de Thalesians (Londres) 8212 Prof David Hand 8212 O Princípio da Improbabilidade: Por Coincidências, Milagres e Eventos raros acontecem todos os dias Data e hora de registro Os vendedores de swaps de variância ganham prémios de risco variáveis no tempo por sua exposição à variação realizada, o nível de variação Taxas de swap e a inclinação da curva de troca de variância. Para medir o termo de variância premium, estimamos um modelo dinâmico de termo-estrutura que troca de variação de preços em todo os EUA, Reino Unido, Europa e Japão. O modelo decompõe a curva de troca de variância em estruturas de termo de premissas de risco e quantidades esperadas de risco. Em termos empíricos, documentamos uma forte estrutura de fatores em taxas de swap de variação global e descobrimos que os premios de termo de variância estão negativamente correlacionados com a riqueza do setor intermediário financeiro. Nossos resultados sustentam a hipótese de que os intermediários financeiros são o investidor marginal no mercado de swap de variação. Erik Vogt é economista financeiro na Função de Mercado de Capitais do Federal Reserve Bank de Nova York. Seus principais interesses de pesquisa estão em preços de ativos, econometria financeira, volatilidade e risco de liquidez e dados de alta freqüência em uma variedade de classes de ativos, incluindo ações, títulos do Tesouro, derivativos e títulos corporativos. Sua pesquisa sobre liquidez do mercado e corretores recebeu cobertura da mídia em Bloomberg, Reuters e Yahoo Finance, entre outros, e também foi citada no testemunho do Senado dos EUA perante o Subcomitê de Valores Mobiliários, Seguros e Investimentos e o Subcomitê de Política Econômica , Comissão de Banca, Habitação e Assuntos Urbanos. Erik atua ativamente como um árbitro para vários periódicos revisados por pares, incluindo a Revista de Estudos Financeiros, o Journal of Econometrics, o Journal of Empirical Finance, o Journal of Financial Econometrics e Quantitative Finance. Erik juntou-se ao Fed de Nova York em julho de 2014 e possui um Ph. D. E M. A. em Economia da Duke University e um B. Sc. Em Matemática e Economia da London School of Economics. Antes da pós-graduação, trabalhou como Economista Associado no Federal Reserve Bank de Chicago. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Seminário de Thalesians (Londres) 8212 Nick Baltas 8212 Estratégias de transporte multi-ativos Data e Hora 7:30 p. m. Na quarta-feira, 28 de setembro de 2016, Ginger Room, Marriott Hotel, Canary Wharf, Londres, Reino Unido. As estratégias de Meetup Carry foram estudadas e exploradas principalmente nos mercados cambiais, onde, ao contrário da paridade da taxa de juros não coberta, o empréstimo de um país de baixa taxa de juros e o investimento em um país de alta taxa de juros historicamente apresentaram resultados positivos e estatisticamente significativos. Esta apresentação amplia a noção de carry para diferentes classes de ativos, observando os mercados futuros de commodities, índices de ações e títulos do governo. Nós exploramos a rentabilidade das variáveis transversais e séries temporais da estratégia de carry dentro de cada classe de ativos, mas, o mais importante, investigamos os benefícios da construção de uma estratégia de carry multi-ativos após ter devidamente contabilizado a estrutura de covariância de todo o universo. Nick Baltas é um diretor executivo no grupo de pesquisa quantitativa global da UBS. Os seus interesses de pesquisa incluem estratégias sistemáticas multi-ativos, construção de carteiras, análise de risco e avaliação de desempenho. Nick ingressou na UBS em fevereiro de 2013 e, desde então, ele também mantém posições acadêmicas visitantes na Imperial College Business School e Queen Mary University of London. Sua pesquisa foi premiada com inúmeras bolsas e prêmios e citado pela imprensa financeira. Antes de seu papel atual, Nick passou dois anos como Professor de Finanças na Imperial College Business School, quando foi premiado com o Prêmio do Professor de Ano do Ano por ambos os anos em reconhecimento ao seu ensino e quase um ano como gerente de risco em Londres Com base no fundo de hedge de capital próprio. Ele possui um DEng em engenharia elétrica e informática da National Technical University of Athens, um mestrado em processamento de sinal de amplificação de comunicações do Imperial College London e um doutorado em finanças pela Imperial College Business School. Seminário IAQF-Thalesians (Nova York) 8212 Dr. Arun Verma 8212 Arbitragem estatística usando notícias e sentimentos sociais com base em estratégias de comércio de quantas quinta-feira, 15 de setembro de 2016: NYU Kimmel Center. Sala 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registro Para explorar o valor incorporado nos dados do News Sentiment social, construímos três tipos de estratégias de negociação de ações baseadas em dados de sentimento e mostramos que as estratégias baseadas no sentimento superam as correspondentes Índices de referência significativamente. Arun Verma se juntou ao grupo Bloomberg Quantitative Research em 2003. Antes disso, ele obteve seu Ph. D. da Universidade Cornell na computação em fitas de matemática aplicada. Na Bloomberg, o Dr. Vermas trabalha inicialmente focado em Modelos de Volatilidade Estocástica para os preços EquityFX Derivatives e Exotics, e. Interpolação de volatilidade livre de arbitragem, swaps de variação e preços VIX FuturesOptions e volatilidade de moeda cruzada Construção de superfície. Mais recentemente, ele tem gostado de trabalhar na interseção de áreas tais como ciência de dados, técnicas quantitativas inovadoras e visualizações interativas para ajudar a revelar sinais incorporados em dados financeiros, p. Construindo estratégias comerciais para a arbitragem estatística. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Seminário de Thalesians (Londres) 8212 Scott Cogswell 8212 Modelo de Margem Inicial e Regulamento para Derivados Não Limitados Data e Hora 7:30 p. m. Na quarta-feira, 20 de julho de 2016, a Meetup Deep Learning experimentou um crescimento explosivo nos últimos anos com aplicações em diversas áreas, como biomedicina, processamento de linguagem e carros auto-dirigidos. O objetivo desta conversa é dar uma introdução à Aprendizagem Profunda a partir da perspectiva de padrões de aprendizagem em seqüências, com ênfase na compreensão dos princípios fundamentais por trás dos algoritmos. Analisaremos os últimos avanços nas Redes Neurais Recorrentes e discutiremos as aplicações das RNNs aos padrões de aprendizagem em dados do mercado. Steve Hutt é consultor em Aprendizado Profundo e Risco Financeiro, atualmente trabalhando para o Grupo CME. Ele já foi chefe de crédito no UBS e Morgan Stanley, e antes disso, um matemático fazendo coisas em um obscuro ramo de topologia. Seminário IAQF-Thalesians (Nova York) 8212 Dr. Tobias Adrian 8212 Não-linearidade e Vôo-a-Segurança no Trade-Off de Risco-Retorno para ações e títulos Jueves 16 de junho de 2015: NYU Kimmel Center. Quarto 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registro Nós documentamos uma dependência altamente significativa, fortemente não linear de retornos de ações e títulos sobre a volatilidade do mercado de ações passado, conforme medido pelo VIX. Propomos um novo estimador para a forma do relacionamento de previsão não-linear que explora variação adicional na seção transversal dos retornos. As não-linearidades são imagens espelhadas para ações e títulos, revelando o vôo para a segurança: o aumento esperado dos retornos para os estoques quando a volatilidade aumenta de níveis moderados para altos, enquanto eles diminuem para o Tesouraria. Mostramos ainda que essas descobertas são evidências de teorias dinâmicas de preços de ativos, onde a variação temporal do preço do risco é uma função do nível do VIX. Tobias Adrian é vice-presidente sênior do Banco da Reserva Federal de Nova York e diretor associado do Grupo de Pesquisa e Estatística. Sua pesquisa cobre o preço dos ativos, a intermediação financeira e a macroeconomia, com foco nas implicações agregadas dos desenvolvimentos do mercado de capitais. Ele contribuiu para a política de estabilidade financeira de NY Feds e para os seus briefings de política monetária. Tobias Adrian é Ph. D. Do MIT e um mestrado em LSE. Ele ensinou no MIT, Princeton University e NYU. Seminários da IAQF-Thalesians A série do Seminário IAQF-Thalesians é um esforço conjunto por parte do IAQF (anteriormente IAFE) e dos Thalesians. O objetivo da série é fornecer um fórum para o intercâmbio de novas idéias e resultados relacionados ao campo das finanças quantitativas. Este objetivo é realizado através de seminários onde os principais profissionais e acadêmicos apresentam novos trabalhos e seguem os seminários com uma recepção para facilitar a interação e a discussão. A série do seminário é limitada somente aos membros da IAQF e da Thales. Seminário de Thalesians (Zurique) 8212 Felix Zumstein - Python em Finanças Quantitativas Data e Hora 7:00 p. m. Na quinta-feira, 9 de junho de 2016, examinando o comércio eletrônico da perspectiva dos profissionais. Este negócio sofreu muitas mudanças nos últimos anos devido ao surgimento de novos produtos de hardware e software, o desenvolvimento de novas técnicas quantitativas e computacionais e mudanças na estrutura e regulamentos do mercado. Um fabricante de mercado precisa ser ágil para se manter competitivo. Esta conversa sinóptica considera brevemente os vários fatores que se inserem em um cálculo de negócios de fabricantes de mercado. Paul A. Bilokon é Diretor no Deutsche Bank, onde administra as equipes globais de crédito e núcleo, parte do grupo Markets Electronic Trading (MET). He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance fornece aos profissionais da informação necessidade de serem mais eficazes no mercado, com orientação detalhada e específica. Este livro é um guia único e prático para negociação de opções, com a coragem de relatar o quanto esses contratos realmente fizeram ou perderam. 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. Não excessivamente técnico, a abordagem rigorosa permanece acessível a qualquer pessoa interessada na área, mostrando investidores onde buscar valor e ajudar as empresas a proteger suas exposições FX. Opção FX O desempenho começa com uma introdução rápida e prática ao mercado de opções FX, e fornece conselhos específicos para estruturas, desempenho, flutuação de taxas e estratégias de negociação. 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 Amen 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). He is also the founder of Cuemacro. Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed Amen 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). He is also the founder of Cuemacro. 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: NetworkingThe Thalesians Images from Thalesians events from around the world over the past 6 years The Thalesians are a think tank of dedicated professionals with an interest in quantitative finance, economics, mathematics, physics and computer science, not necessarily in that order. Blog See our new Thalesians blog Book Buy our new book. Trading Thalesians - What the ancient world can teach us about trading today (Palgrave Macmillan) by the Thalesians co-founder, Saeed Amen amp foreword by founder, Paul Bilokon Founding The group was founded in Sep 2008, by Paul Bilokon (then a quantitative analyst at Lehman Brothers specialising in foreign exchange, and a part-time researcher at Imperial College ), and two of his friends and colleagues: Matthew Dixon (then a quantitative analyst at Deutsche Bank) and Saeed Amen (then a quantitative strategist at Lehman Brothers). The opening of Level39 in 2013 by Mayor Boris Johnson The Thalesians are also now a member of Level39 - Europes largest technology accelerator for finance, retail, cyber-security and future cities technology companies Events Research Consulting Events The Thalesians were originally based in London, UK. In Jan 2011, the organisation became truly global when Matthew Dixon brought it to the United States where he runs the Thalesians NYC seminars with New York Leader Harvey Stein. Attila Agod is the Budapest Leader for our Thalesians Budapest seminars. We are currently in the process of expanding our seminars to Prague and running more workshops. Research In late 2013, we started published ground breaking quant strategy notes. Our effort is lead by Saeed Amen, using nearly a decade of his experience both creating and later trading systematic trading models in FX at major investment banks. Visit Research for more. Consulting In 2014, we started offering bespoke quant consulting services in markets, signing up our first client, a major US hedge fund and RavenPack, a major news data vendor. Our services includes the creation of bespoke systematic trading models and other quant analysis of financial markets, such as currency hedging and FX transaction cost analysis (TCA). Visit Consulting for more. Our Philosophy We are named after Thales of Miletus ( ), a pre-Socratic Greek philosopher who lived in ca. 624 BC-ca. 546 BC. Thales was a mathematician and is familiar to many secondary school students for one of his theorems in geometry. But more relevantly to us, he was one of the first users of options: Thales, so the story goes, because of his poverty was taunted with the uselessness of philosophy but from his knowledge of astronomy he had observed while it was still winter that there was going to be a large crop of olives, so he raised a small sum of money and paid round deposits for the whole of the olive-presses in Miletus and Chios, which he hired at a low rent as nobody was running him up and when the season arrived, there was a sudden demand for a number of presses at the same time, and by letting them out on what terms he liked he realised a large sum of money, so proving that it is easy for philosophers to be rich if they choose, but this is not what they care about. Aristotle, Politics, 1259a. The morale of this anecdote is that it is easy for philosophers to be rich if they choose the famous Milesian went ahead and proved it. We, the Thalesians . admire him for that. But we also share many of his values, for example his core belief that a happy man is defined as one , , (who is healthy in body, resourceful in soul and of a readily teachable nature). This wiki was created to serve as a source of information on quantitative finance, to collate references to various related resources, and to serve as a convergence point for the Thalesians . our colleagues and collaborators. It grew out of Paul Bilokons finance wiki, which he started in February, 2007. We believe that secrecy and fidelity are important in the world of finance. But we also acknowledge the power of information sharing in open societies. Let your business logic remain a closely guarded secret. But release everything else into the public domain. What goes around, comes around this will ultimately spare you reinventing the wheel. More of our speakers at Thalesians events over the past 6 years Forthcoming Events Thalesians Seminar (Frankfurt) 8212 Thalesians Frankfurt 1st Open Stage Seminar Registration Instantaneous volatility of logarithmic return in lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such models are less known in the literature. We present in this talk a bridge representation for the joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a properly chosen deterministic path yields an Edgeworth style of expansion of the probability density for the fractional SABR model. A direct generalization of the representation to joint density at multiple times leads to a heuristic derivation of the large deviations principle for the joint density in small time. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices and comparing coefficients. The presentation is based on a joint work with Jiro Akahori and Xiaoming Song. Tai-Ho Wang holds a professorship in mathematics at Baruch College, City University of New York since 2012. His research in quantitative finance includes implied volatility asymptotics in small time, static arbitrage free bounds on basket options, optimal liquidation and execution in market impact models, and recently information dynamics in financial 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. IAQF-Thalesians Seminar (New York) 8212 Dr. Alan Moreira 8212 Volatility Managed Portfolios Wednesday, February 15, 2017: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns. Alan Moreira is an Assistant Professor of Finance at the Yale University School of Management. Originally from Rio de Janeiro, Brazil, he received his undergraduate degree from the Rio de Janeiro Federal University (UFRJ) and his PhD in Financial Economics from the University of Chicago. Dr. Moreiras research investigates how financial intermediation shapes the real economy and the causes and consequences of fluctuations in uncertainty. His research has been published in the top journals including the Journal of Financial Economics and Journal of Finance. In addition to teaching Risk Management in the MBA program at the Yale School of Management, Dr. Moreira teaches Asset Pricing at the PhD level. In his spare time, he enjoys biking, traveling, and hanging out the family. Alan Moreira, Assistant Professor of Finance, Yale School of Management 1 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. Recent Events IAQF-Thalesians Seminar (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making with Overnight Inventory Costs Thursday, December 14, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market making theories, we model an HFT that has access to unlimited leverage intraday but must fund any end-of-day inventory at an exogenously determined cost. Even though the inventory costs only occur at the end of the day, they impact intraday price and liquidity dynamics. This gives rise to an intraday endogenous price impact mechanism. As time approaches the end of the trading day, the sensitivity of prices to inventory levels intensifies, making price impact stronger and widening bid-ask spreads. Moreover, imbalance of buy and sell orders may catalyze hikes and drops of prices, even under fixed supply and demand functions. Empirically, we show that these predictions are borne out in the U. S. Treasury market, where bid-ask spreads and price impact tend to rise towards the end of the day. Furthermore, price movements are negatively correlated with changes in inventory levels as measured by the cumulative net trading volume. (Joint work with Tobias Adrian, Agostino Capponi, and Erik Vogt) Hongzhong Zhang is an assistant professor at Columbia University. His research focuses on the broad area of applied probability with applications in engineering, finance and insurance. In particular, some of his current research interests include asymptotics, drawdowns, optimal stopping, and detection of regime changes. 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 Xmas Party (London) 8212 Iain Clark 8212 Implied Distributions from FX Risk-Reversals and Predictions for the Effect of the Brexit Vote and the Trump election We would like to invite you to our Thalesians Christmas seminar in London, where Iain Clark will be presenting This will be followed by our Christmas party at the GampTea Bar in the Marriott Hotel, Canary Wharf, where we will be serving drinks and canapes. The ticket price includes both the talk and the party (first drinks canapes). The canape selection will include some of the following: Aubergine and haloumi wrap Brie and parma ham finger brioche Crudits and hummus shot glasses Open face smoked salmon bagel Mini burgers Lamb samosa Spring rolls Prawn potato shells Date and Time 7:30 p. m. on Monday 12th December 2016 Ginger Room, followed by drinks amp canapes at GampTea Bar, Marriott Hotel, Canary Wharf, London, UK, Meetup In May 2016 it was noted, in the audience QampA after a presentation by the speaker, that GBPUSD risk reversals were exhibiting very unusual behaviour - namely, extreme skew in short dated tenors but relatively flat smiles thereafter. This is a most unusual volatility signature and the connection with the upcoming Brexit referendum vote was immediately made. The speaker, as a matter of urgency given the topical nature of the pre-Brexit market, performed an analysis with his co-author on implied distributions for the market expectations for GBPUSD around the referendum date (23 June 2016), with predictions for spot thereafter. The paper was uploaded to SSRN (ssrnabstract2794888 ) on 13 June, in which we identified empirical evidence in the volatility skew for a fall in GBPUSD from 1.4390 to the range 1.10 to 1.30 in the event of a Leave vote - a downward move of 0.14 to 0.34. The analysis, unusually for quant research, received coverage in the FT and the Sunday Telegraph and indeed our predictions were borne out when the referendum result was announced and sterling fell from 1.50 to 1.33 - a downward move of 0.17 - in a matter of hours. Subsequent to this analysis, we applied similar methods to the Mexican peso quoted versus the US dollar (USDMXN) immediately before the 2016 US election and we were able to predict peso devaluation into a range of 20-24 pesos per dollar in the event of a Trump victory, which was borne out by subsequent events. In this talk I will go through our analysis of the information embedded in the volatility skew and the basis for our predictive analysis. Iain J. Clark (MIMA CMath, MInstP CPhys, CStat, FRAS) has over 14 years experience as a front office quant. He has worked as Head of FX and Commodities Quantitative Analysis at Standard Bank, as Head of FX Quantitative Analysis at Unicredit and at Dresdner Kleinwort, and at Lehman Brothers, BNP Paribas and JP Morgan. Iain has a PhD in applied mathematics from Queensland University and a MSc in financial mathematics from Edinburgh and Heriot-Watt Universities. His main research interests are on exotic options, stochastic models for FX and commodities, and numerical methods for option pricing. He is a frequent contributor to industry conferences, training courses and invited speaker at various universities. His first book Foreign Exchange Option Pricing: A Practitioners Guide was published in November 2010 by Wiley Finance and his second book Commodity Option Pricing: A Practitioners Guide is due to appear in early 2014 (also with Wiley Finance). Thalesians Seminar (London) 8212 Vlasios Voudouris 8212 Flexible machine learning for finance Date and Time 7:30 p. m. on Wednesday 23rd November 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup With rapid changes in computing technology and the big data age, the field of data science is constantly challenged. Data scientists job is to make sense of the vast amounts of data: to extract important patterns and trends, and understand what the data says. The challenges in learning from data have led to a revolution in machine learning techniques. The GAMLSS suite of tools in our attempt to learn from financial data. GAMLSS is now widely used for predictive analytics and risk quantification (e. g. loss given default). Because of the flexibility of GAMLSS models, we can capture the following data characteristics: The heavy-tailed or light-tailed characteristics of the distribution of the data. This means that the probability of rare events (e. g. an outlier value) occurs with higher or lower probability compared with the normal distribution. Furthermore, the probability of occurrence of an outlier value might change as a function of the explanatory values. The skewness of the response variable, which might change as a function of the explanatory variables. The nonlinear or smooth relationship between the target variable and the explanatorypredictor variables. Based on our book Flexible Regression and Smoothing: Using GAMLSS in R, the talk includes a large number of practical examples (e. g. predictions and risk quantification) which reflect the range of problems addressed by GAMLSS models. This also means that the examples provide a practical illustration of the process of using GAMLSS models for machine learning. Vlasios Voudouris is a Data Scientist with expertise in data-driven predictive analytics and risk quantification of financial markets. His primary research focus is on i) semi-parametric machine learning models ii) innovative model selection processes and iii) robust diagnostics for systematic trading and risk quantification. He is the co-author of the book Flexible Regression and Smoothing: Using GAMLSS in R and the associated software in R and Java. GAMLSS (Generalized Additive Models for Location Scale and Shape) is about learning from data using semi-parametric supervised machine learning algorithms. Furthermore, Vlasios developed data-driven agent-based models for stress testing scenarios (with an emphasis on commodity markets). His models and tools are used by a range of organisations. By way of two specific examples: 1) the IMF used GAMLSS for stress testing the U. S. financial System 2) Vlasios and his colleagues demonstrated a suite of GAMLSS models for the Bank of England (BoE). Using GAMLSS, Vlasios developed a systematic trading model for WTI Crude Oil (NYMEX). Vlasios holds a Ph. D. from City, University of London. IAQF-Thalesians Seminar (New York) 8212 Dr. Michael Imerman 8212 Insights from a Data-Driven Analysis of the Volatility Risk Premium Thursday, November 17, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Much of this talk will come from joint work I did with Jianqing Fan at Princeton and Wei Dai now at Dimensional Fund Advisors. We set out to provide a purely data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute realized volatility. From that we subtract the daily VIX, our measure of implied volatility, to construct a time series of the volatility risk premium. To identify the factors behind the volatility risk premium as a priced bias we decompose it into magnitude and direction. We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk premium reflects expectations about future levels of volatility. However, evidence supports the hypothesis that the sign of the volatility risk premium is indicative of gains or losses on a delta-hedged portfolio consistent with Bakshi and Kapadia (2003). As someone who has come from a background in financial modeling but has developed a penchant for data science and analytics, I will spend some time at the end of my talk on my thoughts about how data science is being embraced (in some ways, and eschewed in others) by the quantitative finance community. Michael B. Imerman is the Theodore A. Lauer Distinguished Professor of Investments and Assistant Professor in the Perella Department of Finance at Lehigh University. Dr. Imermans previous appointments were at Princeton in the ORFE Department and Rutgers Business School from where he received his Ph. D. Before coming to academia, Imerman worked as an analyst at Lehman Brothers supporting the high grade credit and credit derivative trading desks. At Lehigh, Professor Imerman teaches Derivatives and Risk Management both at the undergraduate and graduate levels. His primary research area is in credit risk modeling with applications to banking, risk management, and financial regulation. Most recently he has been actively involved in integrating data science techniques into the evaluation of risk in the securitized mortgage market. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof David Hand 8212 The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day Date and Time Registration Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure the variance term premium, we estimate a dynamic term-structure model that prices variance swaps across the US, UK, Europe, and Japan. The model decomposes the variance swap curve into term-structures of risk premia and expected quantities of risk. Empirically, we document a strong factor structure in global variance swap rates and find that variance term premia are negatively correlated with the wealth of the financial intermediary sector. Our results support the hypothesis that financial intermediaries are the marginal investor in the variance swap market. Erik Vogt is a financial economist in the Capital Markets Function of the Federal Reserve Bank of New York. His main research interests are in asset pricing, financial econometrics, volatility and liquidity risk, and high-frequency data across a variety of asset classes, including equities, Treasuries, derivatives, and corporate bonds. His research on market liquidity and broker-dealers has received media coverage in Bloomberg, Reuters, and Yahoo Finance, among others, and was also cited in U. S. Senate testimony before the Subcommittee on Securities, Insurance, and Investment, and the Subcommittee on Economic Policy, Committee on Banking, Housing, and Urban Affairs. Erik actively serves as a referee for several peer-reviewed journals, including the Review of Financial Studies, the Journal of Econometrics, the Journal of Empirical Finance, the Journal of Financial Econometrics, and Quantitative Finance. Erik joined the New York Fed in July 2014 and holds a Ph. D. and M. A. in Economics from Duke University and a B. Sc. in Mathematics and Economics from the London School of Economics. Prior to graduate school, he worked as an Associate Economist at the Federal Reserve Bank of Chicago. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Nick Baltas 8212 Multi-Asset Carry Strategies Date and Time 7:30 p. m. on Wednesday 28th September 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Carry strategies have been primarily studied and explored within currency markets, where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant returns. This presentation extends the notion of carry to different asset classes by looking at the futures markets of commodities, equity indices and government bonds. We explore the profitability of cross-sectional and time-series variants of the carry strategy within each asset class but most importantly we investigate the benefits of constructing a multi-asset carry strategy after properly accounting for the covariance structure of the entire universe. Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic multi-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting academic positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for both years in recognition of his teaching, and almost a year as risk manager in a London-based equity hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications amp signal processing from Imperial College London and a PhD in finance from Imperial College Business School. IAQF-Thalesians Seminar (New York) 8212 Dr. Arun Verma 8212 Statistical arbitrage using news and social sentiment based quant trading strategies Thursday, September 15, 2016: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration To explore the value embedded in News amp Social Sentiment data, we build three types of equity trading strategies based on sentiment data and show that strategies based on sentiment outperform the corresponding benchmark indexes significantly. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph. D from Cornell University in the computer science amp applied mathematics. At Bloomberg, Dr. Vermas work initially focused on Stochastic Volatility Models for EquityFX Derivatives and Exotics pricing, e. g. Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Th alesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance fornece aos profissionais da informação necessidade de serem mais eficazes no mercado, com orientação detalhada e específica. Este livro é um guia único e prático para negociação de opções, com a coragem de relatar o quanto esses contratos realmente fizeram ou perderam. 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. Não excessivamente técnico, a abordagem rigorosa permanece acessível a qualquer pessoa interessada na área, mostrando investidores onde buscar valor e ajudar as empresas a proteger suas exposições FX. Opção FX O desempenho começa com uma introdução rápida e prática ao mercado de opções FX, e fornece conselhos específicos para estruturas, desempenho, flutuação de taxas e estratégias de negociação. 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 Amen 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). He is also the founder of Cuemacro. Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and Barclays Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for Barclays Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed Amen 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). He is also the founder of Cuemacro. Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: Networking
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