Overview
Please join us for April’s installment of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at Bloomberg’s 731 Lexington Avenue office.
In this seminar chaired by Bruno Dupire, Raphael Douady, Research Professor, Paris 1 Panthéon-Sorbonne University, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
Seating is limited and no walk-ins will be allowed. Please register early to reserve your seat.
Agenda
- 5:00 PM
Registration
- 5:30 PM
Keynote: Raphael Douady
Research Professor, Paris 1 Panthéon-Sorbonne University
Co-Founder & Chief Scientist, DataCore Innovations
Analysis and Selection of Hedge Funds
Polymodels are a statistical analysis technique for dynamic objects evolving within an environment, which is dynamic as well. Both the object and the environment are described by time series. In a financial context, the object is an asset, a fund, a portfolio, anything that can represent an investment, while the environment is made of variables or “factors” that describe the state of the market.
Polymodels provide the individual response of the object to every single variable of the environment, together with a reliability score. These response functions being nonlinear, the fragility/antifragility properties of the object can be evaluated.
We will show how to estimate polymodels and to use them for asset selection, risk assessment and portfolio construction, as well as recent research on the risk of hedge funds. Our focus is the fragilities of those prone to blow up at the time of crisis, despite impeccable track record.
- 6:30 PM
Lightning Talks
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- Zach Golkhou | J.P. Morgan
Topology in Finance - Bianca Bosker | New York Times Best Selling Author of “Get the Picture”
Getting inside the Art World - Zef Lokhandwalla | Bloomberg
A Framework for Geospatial Analysis in Finance - Minh Trinh | Centaurs
The Intellectual Foundations of Artificial Intelligence Finance - Sasha Stoikov | Cornell Financial Engineering Manhattan
Picky Eaters Make for Better Raters
- Zach Golkhou | J.P. Morgan
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- 7:00 PM
Reception: Specialty Cocktail, Wine, Beer & Italian Cuisine
Speakers
Bruno Dupire
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) Seminar, the largest monthly event of this kind.
Raphael Douady
Raphael Douady is a French mathematician and economist specializing in data science, financial mathematics and chaos theory at Paris 1 Panthéon-Sorbonne University. He formerly held the Frey Chair of quantitative finance at Stony Brook University and was academic director of the French Laboratory of Excellence on Financial Regulation. He earned his PhD in Hamiltonian dynamics and has more than 25 years of experience in the financial industry. He has particular interest in researching portfolio risks, for which he has developed especially suited powerful nonlinear statistical and data science models, as well as macroeconomics and systemic risk. He founded fin tech firms Riskdata (risk management for the buy-side) and DataCore (quantitative portfolio of ETFs) and is Chief Science Officer of NM Fin tech (numerical methods for fixed income trading in China). He also advises several quantitative hedge funds on their risks and trading strategies. With Nassim Taleb and Robert Frey, he founded the Real World Risk Institute, aimed at educating the industry on extreme risks. Douady is a founding member of the Praxis Club, a New York-based think tank advising the French government on its economic policy and sits on the board and the investment committee of Friends of IHES, a foundation supporting the Institut des Hautes Etudes Scientifiques (the French brother of Princeton IAS). He is an alumni of Ecole Normale Supérieure in Paris and was awarded a gold medal at the International Mathematical Olympiads.