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, Dr. Marcos López de Prado 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:  The 7 Reasons Most Machine Learning Funds Fail

The rate of failure in quantitative finance is high, and particularly so in financial machine learning. The few managers who succeed amass a large amount of assets, and deliver consistently exceptional performance to their investors. However, that is a rare outcome, for reasons that will become apparent in this presentation. Over the past two decades, I have seen many faces come and go, firms started and shut down. In my experience, there are 7 critical mistakes underlying most of those failures.

Keynote Speaker: Dr. Marcos López de Prado
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 (Bloomberg): How to arbitrage a Markov model
  • Steve Taylor (NJIT): Return distribution clustering with information geometry
  • Pawel Polak (Columbia University): COMFORT-Able Finance
  • Sean Keenan (AIG): Holistic analytic infrastructure management
  • Gillian Chin (Bloomberg): Lagrangian duality
  • David Mitchell (Bloomberg):  Monetizing your hedging wins
  • Peter Carr (NYU Tandon): Are you an option trader or an option quant?
7:00pm

Cocktail Reception

Keynote Speaker

Photo of Dr. Marcos López de Prado

Dr. Marcos López de Prado

CEO
True Positive Technologies
Dr. Marcos López de Prado is the chief executive officer of True Positive Technologies. He founded Guggenheim Partners’ Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning (ML) to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, Marcos acquired QIS and successfully spun-out that business from Guggenheim in 2018.
Since 2010, Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). One of the top-10 most read authors in finance (SSRN’s rankings), he has published dozens of scientific articles on ML and supercomputing in the leading academic journals, and he holds multiple international patent applications on algorithmic trading.
Marcos earned a PhD in Financial Economics (2003), a second PhD in Mathematical Finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain’s National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a Financial ML course at the School of Engineering. Marcos has an Erdős #2 and an Einstein #4 according to the American Mathematical Society.

When & Where

Thursday, May 24th, 2018
5:00 pm – 8:00 pm ET

Bloomberg L.P.
731 Lexington Avenue, 7MPR Room
New York, NY 10022