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Final lecture at Technical University of Munich with Blanka Horvath continuing with “Learning to Trade”. This lecture will be about advanced topics with plenty of open questions for further research #DeepHedging #WhereDidMyGreeksGo #AITrader

2022/06/25

Peter Cotton, PhD

Open

https://www.linkedin.com/feed/update/urn:li:activity:6946481517850230785

Intech Investment Management LLC | Senior Vice President. Chief Data Scientist.

https://www.linkedin.com/in/petercotton/

Today is my last official day at JPMorgan Chase. It’s amazing how quickly a decade passes. Thank you to everyone at JPMC who helped me get to where I am today, both as a person and a professional. I couldn’t have done it without you. On to the next challenge…

2022/06/25

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Matthew Dixon

Open

https://www.linkedin.com/feed/update/urn:li:activity:6946545055386005504

CFX Labs Inc. | Co-Founder

https://www.linkedin.com/in/mfrdixon/

Italia da sogno

2022/06/25

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Thomas Schmelzer

Open

https://www.linkedin.com/feed/update/urn:li:activity:6946318764845981696

Abu Dhabi Investment Authority (ADIA) | Quantitative Research & Development Lead

https://www.linkedin.com/in/thomas-schmelzer-uae/

Cycling is different in the UAE

2022/06/25

Harvey Stein

Open

https://www.linkedin.com/feed/update/urn:li:activity:6946089054841049088

Bloomberg LP | Head, Quantitative Risk Analytics

https://www.linkedin.com/in/harveyjstein/

At a Wonderful IAQF Quantitative Finance Symposium, Featuring Prof. Alexander Lipton and Marcos Lopez de Prado.With Prof. Alexander Lipton ARTURO CIFUENTES Miroslav Visic

2022/06/24

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Charles-Albert Lehalle

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945563433341714432

Abu Dhabi Investment Authority (ADIA) | Quantitative R&D Lead

https://www.linkedin.com/in/lehalle/

very happy to see my paper with Mikołaj Bińkowski published in the Journal of Portfolio Management this month, in a special issue on market microstructure: "Endogenous Dynamics of Intraday Liquidity".Years ago I have been impressed by Mike Ludkovski's talk at the Market Microstructure Viewpoints conference "Order Flows and Limit Order Book Resiliency on the Meso-Scale" that we published later in Market Microstructure and Liquidity. With Mikolaj we wanted to pursue in the same direction, this paper is the result of our efforts. It is nevertheless far from the end of our explorations of the split of the price formation process in its endogenous and exogenous parts.#liquidity #marketmicrostructure

2022/06/23

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Álvaro Cartea

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945746476178309121

University of Oxford | Professor

https://www.linkedin.com/in/alvaro-cartea/

We are delighted to share the first draft of our paper “Decentralised Finance and Automated Market Making: Execution and Speculation”. This is joint work with Fayçal Drissi and Marcello Monga, Oxford-Man Institute of Quantitative Finance, University of Oxford #defi #algorithmictrading #finance #microstructure #ethereum #binance #uniswap #blockchain #smartcontract #smartcontracts #decentralizedfinance #decentralisedfinance #marketmaking #arbitrage

2022/06/23

Petter Kolm

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945699366921801729

Courant Institute of Mathematical Sciences | Clinical Full Professor of Mathematics

https://www.linkedin.com/in/petterkolm/

Tomorrow Friday 24th June ends the 30% Super Early Bird Discount on The 18th Quantitative Finance Conference: Dubrovnik, Croatia. Yes we are back In-Person! https://lnkd.in/dmVJyWQWorkshop Day: 19th OctoberMain Conference Streams: 20th/21st October Machine Learning StreamAlternatives to Deep Neural Networks for Function Approximations in Finance by Alexandre Antonov & Vladimir PiterbargIntroduction to Autoencoders and Autoencoder Market Models (AEMM) by Alexander SokolDifferential Machine Learning Masterclass by Antoine Savine & Brian Norsk HugeTBC by Ryan Ferguson“Explainability of Learning Models” by Harsh Prasad, CQF, FRMDeep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book by Petter KolmShallow vs. Deep Learning by Ioana Boier“Leveraging Large Language Models to extract ESG information in practice” by Robert Dargavel SmithUsing matrix pricing/collaborative filtering approaches to illiquid instrument pricing by Arun VermaMachine Learning in Finance by Paul Bilokon, PhDAlt Data, Crypto & DeFi StreamAI, Alt Data and Macroeconomic Forecasting by Alexander DenevThe Role of Media Sentiment in Factor Investing: Added Value of Alternative Data by Svetlana Borovkova“Uniswap V3 and beyond – Modelling Automated Market Makers (AMMs)” by Katia BabbarDerivatives on Crypto Assets in Decentralized Finance (DeFi) by Artur SeppModeling Implied Volatility Surfaces of Crypto Options by Parviz RakhmonovESG StreamConnecting ESG to Climate Risk, Sustainable Financing, Carbon Markets, and Net Zero by Navin RauniarESG Market Risk Valuation and Management by Marco Bianchetti & & Jorge MiguelNew Horizons in Survival Analysis: Modelling the Electric Vehicle Transition by Jodie HumphreysTBC by Peter HafezRisk & Regulations StreamLooking beyond SA-CCR by Michael Pykhtin“Collateralised Exposure Modelling: Bridging the Gap Risk” by Fabrizio AnfusoSwap Rate fa

2022/06/23

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Peter Cotton, PhD

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945384755643179008

Intech Investment Management LLC | Senior Vice President. Chief Data Scientist.

https://www.linkedin.com/in/petercotton/

What is Kullback-Liebler divergence, really? We know the definition, but here is a financial interpretation in terms of rent extraction by an arbitrageur whose knowledge of the true distribution is more accurate than the market. It was one of my more popular articles last year. I'm posting now because of the recent stink in the AutoML space (bear with me) and in particular some questionable behaviour: see https://lnkd.in/dXhqa2d9. Separate from this gossip, what do we really think about the "combine and sell open-source software created by others" industry? In particular, do proprietary ensembles and pipelining add value, or are they mostly overfitting? If the former, then where are the benchmarks? Presumably AutoML companies will need to do something at the model combination phase which is significantly more effective than, say, precision weighting or other things in the public domain (I mention that simple tool because actually, it is not the easiest benchmark to beat, as shown at https://lnkd.in/dugfjbCZ). What's this go to do with KL-divergence? The article shows that a lottery is a dumb-but-fast micromanager of models that rewards contributors in a manner that can be related, perhaps surprisingly, to KL divergence. The article also suggests that this result, ostensibly applying to space where discrete outcome probabilities in the real-world measure are uniform, is actually generally applicable. It's not the only observation one might make about the surprising efficacy of a family of very old market clearing mechanisms, and extensions of the same. So what if dumb-but-fast micromanagers, analogous to lotteries or exchanges, win out in the battle to combine models? Where does this leave the AutoML industry, setting aside its seeming inability to produce probabilistic predictions at all for the most part, never mind combine them particularly cleverly? Dumb-but-fas

2022/06/23

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Charles-Albert Lehalle

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945824240021438464

Abu Dhabi Investment Authority (ADIA) | Quantitative R&D Lead

https://www.linkedin.com/in/lehalle/

I am delighted to announce that I have been selected to complete my final year of Master's Degree at CentraleSupélec in the Mathematical Modeling & Financial Mathematics major.This course will be done as a Dual Degree with ESILV - Ecole Supérieure d'Ingénieurs Léonard de Vinci and will allow me to further expand my knowledge in quantitative finance. #finance #quantitativefinance #structuring

2022/06/23

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Peter Cotton, PhD

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945435253251469313

Intech Investment Management LLC | Senior Vice President. Chief Data Scientist.

https://www.linkedin.com/in/petercotton/

Did you see this Bloomberg article below? A bit irritating. There is a 50% probability of recession: All right but WHEN? There is always a 50% probability of recession to some date in the future just like cumulative default probabilities in credit only grow with time, so even an IG name has some very far away date where it has a probability of having defaulted by then of 50%. The reality is the Citi model MUST have a time interval over which the prediction is made, but it's not given in the article.Someone named Terrence Zhang helpfully designed a recession model with probabilities for different maturities, that is updated once a month and uses a relatively wide range of data (Not just the yield curve). You will find it at https://lnkd.in/eBizaW-w Beginning of june it was saying 15.4% probability over the next 6 months, 36 % in the next year and 67.3% in the next 2 years. So you can see that it's really the question of the timing that makes a difference.https://lnkd.in/eb2EARSu#recession #economics

2022/06/23

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Ariel Silahian

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945818958272888832

Quant Developers | High Frequency Trading solutions | Founder & CTO / Lead Tech

https://www.linkedin.com/in/silahian/

Top 10 reasons why we see HFT firms fail#hft #quantitative #hedgefunds #riskmanagment #moneymanagement

2022/06/23

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Thomas Schmelzer

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945821832490942464

Abu Dhabi Investment Authority (ADIA) | Quantitative Research & Development Lead

https://www.linkedin.com/in/thomas-schmelzer-uae/

The first handbuilt passenger car to be entirely manufactured in Greece was presented to the public after receiving its license plates in a special event on Wednesday.

2022/06/23

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Peter Hafez

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945772159487111169

RavenPack | Chief Data Scientist, Partner

https://www.linkedin.com/in/peteragerhafez/

We were truly delighted to be at Neudata London Summit today and to meet all experts of the #tech and #data worlds. Peter Hafez shared our newly-released ESG Controversy Framework and how Edge can empower your fundamental and systematic traders.#investmentstrategy #alternativedata #neudatasummit #NLP #esg

2022/06/23

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Harvey Stein

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945369117457620992

Bloomberg LP | Head, Quantitative Risk Analytics

https://www.linkedin.com/in/harveyjstein/

I'm delighted to inform you that we are resuming the in-person Thalesian seminars in London, which were founded in 2008 by Saeed Amen, Matthew Dixon, Harvey Stein and myself.In fact, you are in for a treat: on 19 July we'll be hosting a 3-hour Evening Conference on #algotrading and #machinelearning jointly with our friends from Hudson & Thames Quantitative Research!We have a stellar line-up of speakers:Jacques Joubert (CEO and Co-Founder of Hudson & Thames) will talk about meta-labeling.Alexandr Proskurin (Co-Founder and Head of Consulting at Hudson & Thames) will present a talk entitled "Using Absolute Rules of Disqualification to Detect Mean-reverting Spreads for Pairs Trading and Statistical Arbitrage".Saeed Amen (Co-Founder of Thalesians) will explain how to speed up #python #pythonprogramming code (#highperformancecomputing).Finally, my MSc student Adithya (Adi) S. at Imperial College London will talk about the frontiers of #quantumcomputing: "The power of NISQ algorithms."All proceeds from this event will go to WithUkraine - the official fundraising effort by the Embassy of Ukraine in the UK.Please register here: https://lnkd.in/eZG6UHGn#algorithms #trading #python #quantitativefinance #quantitativeresearch #standwithukraine

2022/06/22

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Victor Storchan

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945400292569923585

JPMorgan Chase & Co. | VP - AI ML Lead

https://www.linkedin.com/in/storchan/

Very excited to announce the launch of althiqa! We are committed to making #AI evaluation simple and trustworthy.I am thrilled to start this journey with Nathan Noiry! Much more information to come, follow althiqa’s page!

2022/06/22

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Ariel Silahian

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945477373123325952

Quant Developers | High Frequency Trading solutions | Founder & CTO / Lead Tech

https://www.linkedin.com/in/silahian/

TOP 6 considerations when building Crypto trading systems.I've been asked multiple times how to build robust trading systems for the crypto market.Anyone doing electronic trading on crypto exchanges already knows the multiple issues you may counter.Here is a short list to take into consideration when designing high-performance trading systems for the #crypto #market1. Intermittent downtime: how your system will resolve market data when the exchange is down. Moreover, how your #risk management system will act when there is no immediate way to cover your positions?2. Connectivity issues: this is somehow related to the previous point. But many times, if you consume delta price changes, rather than snapshots (and there are countless reasons why you should do so), your market data may end up being corrupted, out of synch, or lost the connectivity. How your system is going to recover from such a situation? How your system will assure clean and good market data?3. Execution Quality: as per any other exchange, liquidity is the king. And having bad execution could be more harmless than having a bad strategy. How your system will overcome orders being rejected or not being executed at the price seen? 4. High volatility: This is something common across any other market. During periods of high volatility, your systems must be able to consume a ton of market data and process it in a timely manner.5. Security: you are being connected through public endpoints. How your system will ensure privacy and security between the exchanges and your host?6. Fees: This may be obvious: we all know that fees with crypto are way too high. But, keep in mind that as more you trade, those fees can go to zero.What other important points do I miss here?Kraken Digital Asset Exchange Coinbase Gemini OKEX Bitstamp Bitfinex Crypto.com Robinhood #trading #crypto #cryptocurrencies #bitcoin #btc #ethereum #et

2022/06/22

Saeed Amen

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945088721947914241

Cuemacro | Founder

https://www.linkedin.com/in/saeedamen/

As a neuroscientist, I have worked and published on brain tumours for several years and have seen their devastating effects. Brain tumours kill more children and young adults than any other #cancer, yet they receive significantly less funding (just 1% of the national spend on cancer #research according to Brain Tumour Research). Although I have shifted fields, I am still passionate about raising awareness around the inadequate investment to find a cure for this disease. I have shaved my hair off to give it to children who need it more than me after losing their own hair through cancer treatment. Please reshare this post and consider donating to my Cancer Research UK (CRUK) fundraiser (link: https://lnkd.in/g6iP3KYm) to match my hair donation to The Little Princess Trust

2022/06/21

5434

104

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Dr Miquel Noguer i Alonso

Open

https://www.linkedin.com/feed/update/urn:li:activity:6944999104179523584

Artificial Intelligence Finance Institute - AIFI | Founder at Artificial Intelligence Finance Institute

https://www.linkedin.com/in/dr-miquel-noguer-i-alonso-7242345/

In less than 2 months we are back in person for the AIFI - Artificial Intelligence Finance Institute Summer Bootcamp Hybrid. 6 days of Quantitative Finance: Mathematics, implementation and Python, Sci-Kit Learn and Tensorflow code from 8th August to 13th August 2022 in NYC at NYU Tandon campus.www.aifinanceinstitute.comEconometrics + Machine Learning: Supervised + Unsupervised + Deep Reinforcement Learning +Artificial Intelligence: Natural Language Processing.The best Artificial Intelligence and Machine Learning in Finance training with top professors in person and online : Portfolio Management + Option Pricing + Market Microstructure + Risk Management.FacultyMatthew Dixon Marcos Lopez de Prado Petter Kolm Gordon Ritter Tim L. Dr. Daniel T SchmittMickey Atwal Stefan Jansen Tinghao Li Yaxiong Zeng Nicole Königstein Gilberto Batres-Estrada Sonam Srivastava Ivan Zhdankin Manuel Del Verme Simone TotaroSpeakersWilliam J. Kelly, CAIA Alexandre Antonov Antoine Savine Tony Guida François Charton Arpit Narain, CFA, FRM, CQF Marko Kangrga Richard Rothenberg Saeed Amen Lukasz Szpruch Igor Halperin Asier Gutiérrez-FandiñoThe BoardGordon Ritter Armando Gonzalez Petter Kolm Gary Kazantsev Michael Oliver Weinberg, CFA Charles-Albert Lehalle Emily L. Spratt Vlad KhandrosOur PartnersNeil Clive Fowler Bobby Adejare#quantitativefinance #artificialintelligenceinfinance #machinelearninginfinance

2022/06/21

Alexis Marchal

Open

https://www.linkedin.com/feed/update/urn:li:activity:6944918827457470465

SFI Swiss Finance Institute | PHD Candidate

https://www.linkedin.com/in/alexismarchal/

Congratulations to Oksana Bashchenko for the outstanding and successful defense of her PhD thesis on "Three applications of machine learning techniques to empirical asset pricing."In her first paper, she develops a new method that detects jumps nonparametrically in financial time series and significantly outperforms the current benchmark on simulated data. In the second paper, she builds on this methodology for detecting asset bubbles using a neural network. In the third paper, she proposes a new methodology to construct interpretable, fundamental-based pricing factors from news to explain Bitcoin returns.The first two papers rely on the long short-term memory (LSTM) neural network, trained on labelled simulated data. In the third paper, sentiment factors are identified using a natural language processing algorithm (SBERT network).On the picture, from left to right, me (thesis supervisor), Oksana, Christian Zehnder, and Roxana Mihet, both members of the thesis committee (with Pierre Collin-Dufresne).#HECLausanne

2022/06/21

136

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Petter Kolm

Open

https://www.linkedin.com/feed/update/urn:li:activity:6945052352982761473

Courant Institute of Mathematical Sciences | Clinical Full Professor of Mathematics

https://www.linkedin.com/in/petterkolm/

*** Special summer edition of NYU Courant's Mathematical Finance & Financial Data Science Seminar ***Tuesday, June 28, 5:30PM-6:45PM (Eastern Time): Join us for Kevin Webster's online talk "How Price Impact Distorts Accounting P&L - Revisiting Caccioli, Bouchaud and Farmer's Impact-Adjusted Valuation."This online event is open to the public, but requires registration. Registration & more details:https://lnkd.in/gjsXsCZJAbstract: This presentation revisits the key message from Caccioli, Bouchaud and Farmer (2012) "A proposal for impact-adjusted valuation": traditional marked to mid accounting P&L overestimates a portfolio's true P&L.Under the Obhizaeva and Wang model, this talk proves that marked to mid P&L is mechanically inflated by price impact. This artificial P&L never persists: it either slowly deflates over time, or evaporates during liquidation.As pointed out by Caccioli, Bouchaud and Farmer, applications of these results include portfolio and risk management, extending the reach of price impact models outside of traditional trading problems.#nyucourant #nyu New York University Courant Institute of Mathematical Sciences NYU Courant Institute of Mathematical Sciences M.S. in Mathematics in Finance, NYU Courant New York University #priceimpact #trading #liquidation #tca #tradeexecution jean-philippe bouchaud Doyne Farmer

2022/06/21

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Gene Ekster

Open

https://www.linkedin.com/feed/update/urn:li:activity:6944823655608569856

New York University | Adjunct Professor

https://www.linkedin.com/in/geneekster/

We are very proud that Professor Petter Kolm, New York University has selected BMLL’s Data Lab to explore the predictive power of historic data. BMLL combines easy to use APIs and analytics libraries in a secure cloud environment, allowing scalable research without the burdens of data sourcing, curation or engineering. https://lnkd.in/eyRCYQD9#data #analytics #level3

2022/06/21

Saeed Amen

Open

https://www.linkedin.com/feed/update/urn:li:activity:6944524958123356160

Cuemacro | Founder

https://www.linkedin.com/in/saeedamen/

Matthew Dixon is the Quant of the year 2022, a well known "quant icon" (yes, its a thing) in the world of investment management, and has written some excellent research on on chain analytics. I was so happy that we were able to get together and chat about the Crypto world, the technology behind blockchains, and where it may end up taking us.In the backdrop of the current market turbulence, this makes a really nice listen. #research #investmentmanagement #cryptocurrencies #technology #blockchain #investments #quantitativefinance

2022/06/20

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Alec Schmidt

Open

https://www.linkedin.com/feed/update/urn:li:activity:6944105904950697984

Financial Risk and Engineering, NYU School of Engineering | Adjunct Professor

https://www.linkedin.com/in/alec-schmidt-9a761716/

Thanks to Alex Fleiss for sharing this. If you temporarily forget any advanced math that you know (perhaps by casting your mindset back to when you were 13 and looked like the calculus kid below), which of the three approaches below would you most intuitively arrive at for estimating pi?

2022/06/19

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Marco Tavora Ph.D.

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943750990495948800

Principia Technologies | Founder - Entrepreneur

https://www.linkedin.com/in/marco-tavora/

If you REALLY want to learn physics, reading popular books such as "The Elegant Universe" or "A Brief History of Time " won't get you very far (though both books are great reads). With that in mind, Nobel laureate Gerardus 't Hooft built a marvelous webpage called "How to become a GOOD Theoretical Physicist." If you follow his advice, you may achieve great things in physics! Good luck!https://lnkd.in/e-Q24c7#physics #universe #mathematics #nobelprize #science #scientists

2022/06/18

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Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943846912659709952

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

In this note, a separable Measure split allows Elias Daboussi and myself to present a practical solution to the pricing of cms-linked product, in a single curve framework (rfr). Distribution of all the underlying rates are accounted for, as well as correlations.

2022/06/18

Alec Schmidt

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943734223618932736

Financial Risk and Engineering, NYU School of Engineering | Adjunct Professor

https://www.linkedin.com/in/alec-schmidt-9a761716/

Inflation is now on everyone's mind. Will the traditional 60% capitalization weighted equity index and 40% bond index work during times of inflation? We filter 100 years of data to determine the high inflation regimes. Then, we concatenate all the returns from these high inflation eras to form a lengthy high inflation return series. Bootstrap tests on this series of returns shows that a 60% equal weighted stock index and 40% short term bond index performs quite well. Is this simply due to the small cap effect? Perhaps not. More details in the white paper ``Asset allocation during high inflation periods: a stress test.''

2022/06/18

Igor Halperin

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943697784524996608

Fidelity Investments | AI Asset Management

https://www.linkedin.com/in/igor-halperin-092175a/

Dear colleagues, We are pleased to let you know that the final version of our article "Multilayer heat equations and their solutions via oscillating integral transforms" is now available online.Below is a Share Link providing free access to the article up to July 26, 2022, so you are welcome to read or download. No sign up, registration or fees are required.https://lnkd.in/gEMj6Hvm

2022/06/18

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Dr Miquel Noguer i Alonso

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943482153036881920

Artificial Intelligence Finance Institute - AIFI | Founder at Artificial Intelligence Finance Institute

https://www.linkedin.com/in/dr-miquel-noguer-i-alonso-7242345/

In remembrance of Marco Avellaneda here we publish tributes from the Quant Community in the order that Wilmott received them. #MarcoAvellaneda #quantitativefinance #UncertainVolatilityModel

2022/06/17

https://media-exp2.licdn.com/dms/image/sync/D4D27AQHDWZA-B2ywxg/articleshare-shrink_480/0/1655439705125?e=1656104400&v=beta&t=EKiXko7GnSudxh8NeLwwkVBK3XdHWwiZ1NXzaCrcn-0

Wesley Gray, Ph.D.

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943543926276440064

Alpha Architect, LLC | CEO

https://www.linkedin.com/in/alphaarchitect/

What is Relative Sentiment?Relative sentiment is a factor that measures the position, flows, and attitudes of institutional investors to those of individual investors.Can machine learning improve its predictive power?Does it trump momentum?Read blog in comments field by Raymond Micaletti to find out!

2022/06/17

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Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943448143447355392

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

These are my 3 kids.Buying a 3 foot 6 inch coffin is at the bottom of every parent’s things to do list. Five months ago today, my kindergartner, Emmett took his last breath as my wife and I held him telling him how much we love him and how amazing he is. It was 5AM in Portland, Oregon when he passed. The sun rose without him and my life forever changed. This will be my 9th Father’s Day as a Dad, but will be more special then ever as I remember the single greatest honor and privilege of my life - to be Emmett’s dad.At around 2 years old, Emmett’s nervous system began to disappear. One hundred doctor appointments later he was diagnosed with Krabbe, a medium rare condition that affects 1 in 100,000. During the next 4 years, Emmett lost his skills (walking, talking, eating, seeing, moving, blinking, coughing and many more). Caring for him was 24/7.After meeting with one of his 17 doctors, we learned that Krabbe was treatable but only if diagnosed at birth through standard newborn screening at 24 hours old. However, State of Oregon made a choice, 9 years ago, not to include Krabbe in the panel of tests. My wife has taken it upon herself to create a bill at our state Capitol to add Krabbe so no other Oregon child with Krabbe has to live and die with this wretched condition. Ten states currently screen for Krabbe (per Hunter's Hope Foundation), shout out to New York, Missouri, Kentucky, Tennessee, Illinois, New Jersey, Ohio, Indiana, Pennsylvania, and Georgia! This is only one facet of Emmett's story- I would need to make a documentary to properly tell/show everything, any film makers out there?Zoom meetings in the hospital next to Emmett’s side became my new normal. I’m beyond grateful to work for an amazing company (Motorola Solutions) where managers (Randy Welch) value family and a team that jumps to help when Emmett needed me most.This Father’s Day I’ll leave you with (s

2022/06/17

138507

6744

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Ariel Silahian

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943333980049985536

Quant Developers | High Frequency Trading solutions | Founder & CTO / Lead Tech

https://www.linkedin.com/in/silahian/

Understanding Trading Latencies No doubt, it is clear that trading latencies must be controlled, measured, and understood to mitigate any negative effects.https://lnkd.in/g9ukCBFd#trading #latency #lowlatency #hft #eFX #crypto #algotrading #hedgefunds #marketstructure

2022/06/17

https://media-exp2.licdn.com/dms/image/sync/D5627AQHzi5hTS2NBEQ/articleshare-shrink_1280_800/0/1655419769209?e=1656104400&v=beta&t=k3JBqXph1GBrrSJ3dbJNHPhQcHLEeYWujKt_nTRY6ek

Gautier Marti

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943532457879027712

Abu Dhabi Investment Authority (ADIA) | Quantitative Research & Development Lead

https://www.linkedin.com/in/gautier-marti-344b565a/

SG29 Haussmann recrute un(e) gérant(e) quant pour développer avec moi des stratégies de gestion

2022/06/17

Antoine Savine

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943112332432564224

Chief Quantitative Analyst |

https://www.linkedin.com/in/ant1savine/

I will be delivering the keynote talk at Bloomberg LP #quant seminar in New York next week.You can follow the event in person or virtually. Registration is free but mandatory. Here is the link: https://lnkd.in/et9vcWuAIn this #event hosted by Bruno Dupire In Bloomberg's headquarters, I will present advances in #differential #machinelearning at 17:40. My talk will be followed at 18:30 by a tribute to the great mathematician Marco Avellaneda by some of his closest pairs, including Bruno, Raphael Douady, Mike Lipkin and Nassim Taleb. The talks are followed by a reception at 19:00.

2022/06/16

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Antoine Savine

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943170217627824128

Chief Quantitative Analyst |

https://www.linkedin.com/in/ant1savine/

"I was teaching my students in the US notions that you will learn in high school in France."

2022/06/16

299

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Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943199022702559232

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

Looking forward to THE #web3 gathering of the year. We are convening the world's most innovative minds building the next generation of the Internet at the MIT Media Lab. Link to the summit and speakers: https://lnkd.in/ecJ5iwFnRegister to attend: https://lnkd.in/eu7ek9vcCo-hosted by Alex 'Sandy' Pentland (Professor, Massachusetts Institute of Technology), John Werner (Imagination in Action and Link Ventures) and Michael Federle (CEO of Forbes); I am excited to be sharing the stage with engineers & entrepreneurs making a global impact & designing the future of the internet: Michael del Castillo | Peter H. Diamandis | Stuart Haber | Baron Davis | Beth Porter | Hossein Rahnama | Nikki Robinson | Ramesh Raskar | Panos A. Panay | Yaniv Altshuler | Dazza Greenwood | Ann Rosenberg | Anders Agerskov | Jason Hsu | Esther Dyson | Lawrence Wintermeyer | Prof. Alexander Lipton | Kavita Gupta | Richard F. Dulude | David Blundin | Anders Brownworth | Thomas Arul | Priya Samant | Jeffrey Saviano | Natalie Salemink | Olivier Lombard | Ravi Radhakrishnan Come say hi if you are in town! ➤ WE ARE HIRING! Apply for our Content Manager role here: https://lnkd.in/epP2ZtJR➤ Did you know? The Digital Economist just announced a partnership with IBM. See the full announcement: https://lnkd.in/eF2Aaxvs➤ 20MIN Davos feature on gender equality at the Forum: https://lnkd.in/eeAwax9r➤ Watch the Davos recap of The Female Quotient Equality Lounge panel "The Future is Flexible: Why Women Leaders Need to Spearhead New Work Models": https://lnkd.in/exv6PSHM ➤ To stay up to date on the latest activity at The Digital Economist, check out our latest newsletter: https://lnkd.in/eFKJGSwP➤ Check out our press release from the Davos week: https://lnkd.in/gYtxAiT➤ Check out the latest blogpost from our Center of Excellence by Simon Sun 孫介然 : https://lnkd.in/edbiJv-4#Consensus2022 #womeintech #sdgs #elonmus

2022/06/16

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Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6943233262311874560

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

I don’t know what about you, but when I read that “conversation” of the Google AI engineer with LaMDA (https://lnkd.in/e4f6Hp_w) it strongly reminded me of the episode in “Silicon Valley” with Fiona, the artificial intelligence project/robot. Methinks someone is just living in a dream induced by the art imagining the reality in a form of a comedy. It seems a lot of the “Silicon Valley” episodes are either waiting for a proper instantiation in real life or, more often than not, have already experienced it. This is just one of them.To me, these claims of discovering consciousness in a chatbot program tell us less about the (unquestionably remarkable) advance of AI research than about the dismal state of human natural intelligence. Honestly, us humans, with few exceptions, aren’t that intelligent or creative to begin with. For a lot of us, an Excel spreadsheet integrated with a thesaurus website might look more intelligent and insightful.

2022/06/16

Matthew Dixon

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942907464434552833

CFX Labs Inc. | Co-Founder

https://www.linkedin.com/in/mfrdixon/

In my new technical paper with Nick Polson (Chicago Booth) and Kemen Goicoechea (Illinois Tech) - which I presented as a R in Finance 2022 keynote- we open up the pandora's box on non-linearity in factor modeling. Anyone that has lived through the Lehman Collapse knows the importance of tail risk, non-linearity, non-gaussian distributions etc. But where does deep learning prove useful here?We introduce a deep partial least squares (DPLS) method to simultaneously project asset returns and firm characteristics on to a smaller set of latent dynamic risk factors. Thus, unlike PCA, we use both the X and Y to find the latent factors. DPLS identifies the non-linear (conditional) latent risk factor structure — the convexity effects in the latent factor exposures can be quantified and used to estimate the extent to which linear risk premia fall short of explaining the risk reward trade-off. Hence our DPLS model captures outliers and explains risk in stressed market conditions, rather than just in ``normal'' market conditions. A big thanks to the R in Finance committee for organizing a fantastic event.#factorinvesting #investing #equityresearch #deeplearning #machinelearning #riskmanagement #portfoliomanagementPeter Carl Kris Boudt Francois Cocquemas Brian Peterson Marcos Lopez de Prado Prof. Alexander Lipton Petter Kolm Steven Pav Dr Miquel Noguer i Alonso Tony Guida Guillaume Coqueret Brian Healy Igor Halperin George Bonne Yuriy Nevmyvaka Justin M. Shea Dale Rosenthal jean-philippe bouchaud Ludwig Chincarini

2022/06/15

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Charles-Albert Lehalle

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942870176728051712

Abu Dhabi Investment Authority (ADIA) | Quantitative R&D Lead

https://www.linkedin.com/in/lehalle/

Raphael Douady one of the most revered #quants of the last 25 years & Thomas Barrau write a new book #artificialintelligence for #financial #markets Raphael will also be a speaker at the Cornell Financial Engineering Manhattan’s #finance conference this fall! https://lnkd.in/gV527APa #engineering

2022/06/15

215

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Guillaume Coqueret

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942738089668685824

emlyon business school | Associate Professor of Finance and Data Science

https://www.linkedin.com/in/guillaumecoqueret/

Read our new working paper here: https://lnkd.in/gcifvPrSSummary:Characteristic-based sorting is the most widely used method in empirical finance. We (Bart van Vliet, Patrick Verwijmeren and me) argue that researchers face a large "degree of freedom" when constructing factors. We show that such freedom creates substantial variation in factor performance, and consequently result in sizable non-standard errors and room for p-hacking!

2022/06/15

Marcos Lopez de Prado

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942844126337851392

Abu Dhabi Investment Authority (ADIA) | Global Head - Quantitative Research & Development

https://www.linkedin.com/in/lopezdeprado/

Prof. Alexander Lipton and I will give two seminars at Rotman FinHub and Global Risk Institute, on June 27, 2022 at 5:00 pm. You may register for both events here:* Blockchain and distributed ledgers: https://lnkd.in/dhdVGbqN* How Quants Can Achieve Their Full Potential: https://lnkd.in/d4WsDRtq

2022/06/15

Guillaume Coqueret

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942725737690865664

emlyon business school | Associate Professor of Finance and Data Science

https://www.linkedin.com/in/guillaumecoqueret/

Yesterday, our dean for faculty Dr Tessa Melkonian invited us for a tour on the construction site of our new campus. We had the opportunity to see where our new offices would be located (superb view on the Fourvière basilica). Library, auditorium, gardens, staff cafeteria - but no parking spaces, except for bicycles !Thank you Teddy Breyton & Véronique Imbert for the visit.For my curious colleagues: HD versions of the pictures available upon request !

2022/06/15

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Igor Halperin

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942441530578141184

Fidelity Investments | AI Asset Management

https://www.linkedin.com/in/igor-halperin-092175a/

https://lnkd.in/e-NyTmiM"The incentive problem, along with the misapplication of statistical methods, leads to the unfortunate conclusion that roughly half of the empirical research findings in finance are likely false,” Harvey wrote in the paper titled “The Pitfalls of Asset Management Research.” Add on top implementation costs that eat into performance and the fact that some factors generate too small extra returns, and the number of true gems in the quant world is likely significantly lower, he says. ---Yep, there's p-hacking in academia, and among practitioners too. And careless applications of machine learning can only increase the risk of false positives when hunting for alpha.I remember a conversation with an academic 15 years ago in which he said that his colleagues jokingly had an NxN matrix printed out with all of the Compustat variables along each axis - pick a combination of variables and try writing a paper about it!With much more than just Compustat available today, it behooves practitioner quants even more to be very paranoid about data quality, hypothesis generation, and proper in sample and out of sample testing if they are going to successfully ExtractAlpha.

2022/06/14

https://media-exp2.licdn.com/dms/image/sync/D4E27AQFBgmZRy-zxMw/articleshare-shrink_800/0/1655121267134?e=1655845200&v=beta&t=YnXs9-0V_49QO4N1mcTxjx_D1r65nqSLYWgC3IHXO5E

Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942440851516059648

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

Dear Colleagues and Friends,I am happy to announce you that the book I wrote with Raphael Douady is now released.The book presents in depth a new artificial intelligence method, called "polymodels", which is especially suitable for the modeling of non-linear links in high dimension.We introduce the method, explain its advantages and limits, propose a fitting methodology, and the core of the book is then dedicated to create various predictions of the stock market. We thus introduce a financial crisis indicator, as well as a predictor of the cross-section of stock returns and a predictor of the industry returns. All these predictions are associated with a corresponding trading strategy. The predictions are finally aggregated in a single portfolio reaching twice the Sharpe Ratio of the market (after transaction costs).The book is interesting for traders, quantitative researchers, data scientists, risk managers, portfolio managers, and academic researchers.We would like to thanks all the persons who contributed to this work by their useful proposals and remarks, particularly: Augustin Landier, Charles-Albert Lehalle, Youri Kabanov, Bruno Dupire, jean-philippe bouchaud, Prof. Alexander Lipton, and Jean-Paul Laurent#artificialintelligence #trading #stockmarket #quant

2022/06/14

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Prof. Alexander Lipton

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942444263590764544

Sila | Co-Founder, Chief Information Officer

https://www.linkedin.com/in/prof-alexander-lipton-aa2256bb/

On the sad event of Marco Avellaneda's passing, Wilmott extends its condolences to Marco's family, friends, and colleagues.https://lnkd.in/dQCRhA6v#quantitativefinance

2022/06/14

187

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Charles-Albert Lehalle

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942309282872721408

Abu Dhabi Investment Authority (ADIA) | Quantitative R&D Lead

https://www.linkedin.com/in/lehalle/

very happy to see that Quantitative Finance provides a free access to our paper with Xin Guo and Renyuan Xu: "Transaction cost analytics for corporate bonds".It is the occasion for you to have a look at it and give feedback.

2022/06/14

103

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Matthew Dixon

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942509996911837184

CFX Labs Inc. | Co-Founder

https://www.linkedin.com/in/mfrdixon/

Our book on Polymodels with Thomas Barrau is out!#quantitativefinance #polymodels#investingstrategy #hedgefunds #riskmanagement #artificialintelligence

2022/06/14

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Marcos Lopez de Prado

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942531337006256128

Abu Dhabi Investment Authority (ADIA) | Global Head - Quantitative Research & Development

https://www.linkedin.com/in/lopezdeprado/

The International Association for Quantitative Finance (IAQF) has invited Prof. Alexander Lipton and me to speak at a special event in New York city, on June 23 2022 at 5:30pm.We will discuss Blockchain and Distributed Ledgers, as well as a research organization that allows quants to achieve their full potential.For additional details, visit:

2022/06/14

Jochen Papenbrock

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942364510045257728

NVIDIA | Financial Services and Technology Developer Relationship Lead EMEA

https://www.linkedin.com/in/jochenpapenbrock/

Join NVIDIA on June 29th at City & Financial Group's "Redefining ESG Best Practice and Disclosure Summit" to learn about fintechs easing the burden of data from Dr. Jochen Papenbrock, Head of Financial Technology, EMEA, at NVIDIA.

2022/06/14

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Wesley Gray, Ph.D.

Open

https://www.linkedin.com/feed/update/urn:li:activity:6942467607455293440

Alpha Architect, LLC | CEO

https://www.linkedin.com/in/alphaarchitect/

Are there common #risk factors that explain #crypto returns? Read article by Elisabetta B. in comments field.

2022/06/14

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