Overview
Thank you for your interest in the Bloomberg Quant (BBQ) seminar series. Event registration is closed at this time.
If you have any questions please email quantseminar@bloomberg.net or visit our event page at www.bloomberg.com/bbq.
Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Prof. Paul Glasserman will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
Register and secure your spot for the next session of the BBQ Seminar.
Agenda
- 5:00pm
Check-in
- 5:30pm
Keynote: Buy Rough, Sell Smooth
Recent work has documented roughness in the time series of S&P 500 volatility and investigated its implications for option pricing. We study a strategy for trading stocks based on a measure of their implied roughness. A strategy that goes long the roughest stocks and short the smoothest stocks earns statistically significant excess annual returns of 6-8%, depending on the time period. The result is robust to controlling for a broad range of factors, including liquidity. We compare alternative measures of roughness and find that the profitability of the strategy relies on sorting stocks based on implied rather than realized roughness. We discuss possible explanations. This is joint work with Pu He.
- Keynote Speaker: Paul Glasserman
- 6:15pm
Lightning talks
A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
- Bruno Dupire: Labouchère’s martingale and faking Sharpe ratios
- Sebastian Tudor:Pricing with the fractional SABR model
- Daniel Lam: Mining news topics with sentiment
- Oleg Kovrizhkin: Volatility surface of leveraged ETF
- Mohammad Fesanghary: Bayesian networks
- Aakriti Mittal: Autoencoding yield curves
- 7:00pm
Cocktail Reception
Keynote Speaker
Paul Glasserman
Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School, and currently serves as chair of the Financial and Business Analytics Center within Columbia University’s Data Science Institute. He is a past recipient of the IAQF Financial Engineer of the Year Award, Risk magazine’s Quant of the Year Award, and the INFORMS Lanchester Prize.
When & Where
Thursday, April 26th, 2018
5:00 pm – 8:00 pm ET
Bloomberg L.P.
731 Lexington Avenue, 7MPR Room
New York, NY 10022