Machine Learning in Finance Workshop 2021

September 17, 2021

September 17, 2021

9:00 AM To 6:00 PM

Online: EDT (USA)

https://bit.ly/3ttWuBx

FREE

Event Description

Hosted by The Fu Foundation School of Engineering & Applied Science (SEAS), The Data Science Institute (DSI), and Bloomberg

Join the 7th Annual Bloomberg-Columbia Machine Learning in Finance Workshop. For speaker abstracts and biographies, please see the full event listing online here.

Agenda & Speakers

9:00 – 9:50: Samuel N. Cohen (Oxford). Talk Title: Model risk and Machine Learning for Finance

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9:50 – 10:40: John C. Hull (University of Toronto). Talk Title: The Use of Synthetic Data to Determine Capital Adequacy

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10:40 – 10:50: Break

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10:50 – 11:40: Tomaso Aste (University College London). Talk Title: Deep Learning the Limit Order Book: What Machines Can Learn and What Can We Learn from Them?

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11:40 – 12:30: Giovanni Faonte (RDE-CoreAI, Goldman Sachs). Talk Title: New Frontiers in Deep Learning and Quantitative Finance: An Overview

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12:30 – 13:30: Lunch Break

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13:30 – 14:20: Brian Healy (Stanford University). Talk Title: An Optimal Control Strategy for Execution of Large Stock Orders Using LSTMs

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14:20 – 15:10: Branka Hadji Misheva (ZHAW Zurich University of Applied Sciences). Talk Title: eXplainable AI in Credit Risk Management

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15:10 – 16:00: Adam Rej (Capital Fund Management). Talk Title: Why and How Systematic Strategies Decay

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16:00 – 16:10: Break

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16:10- 17:00: Andy Almonte (Bloomberg). Talk Title: Improving Bond Trading Workflow by Learning to Rank RFQs

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17:00- 17:50: Joerg Osterrieder (Zurich University of Applied Sciences, University of Twente). Talk Title: Generative Adversarial Networks and their applications in Finance

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17:50 – 18:00: Closing Remarks

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Virtual Event Logistics

Due to the ongoing pandemic, the 7th annual Columbia-Bloomberg Machine Learning in Finance conference on September 17th, 2021 will be conducted as follows:

  • Talks will be pre-recorded and broadcast via Zoom on the day of the conference.
  • The organizers will introduce the speaker before each talk
  • Q&A session (10-15 min) will be conducted live via Zoom after each talk. The organizers will moderate the Q&A sessions.

Organizers

The Center for Financial Engineering and the Financial Analytics Center at Columbia University

https://datascience.columbia.edu/research/centers/financial-and-business-analytics/

About the Organizers

The Center for Financial Engineering is an interdisciplinary research center established in 2007 to encourage research on financial engineering and mathematical modeling in finance. It aims at fostering research collaboration among Columbia faculty, graduate students and affiliates, facilitating their contacts with financial institutions and corporations and enhancing the visibility of Columbia as a center for research and innovation in financial engineering. The Center’s research activities deal with the pricing and hedging of derivative securities, the statistical modeling of financial markets, computational methods in finance, risk management, asset allocation and portfolio optimization. The Financial Analytics Center is one of the key centers in the new Institute for Data Sciences and Engineering (IDSE) at Columbia University. It brings together expertise in finance theory, machine learning, statistics, signal processing, operations, and natural language processing, and supports collaborations with an appropriately trained student body as well as with the financial industry.

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