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, Professor Walter Schachermayer 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:  Professor Walter Schachermayer

Market Impact and the Intraday Trading Invariance Hypothesis

A basic problem when trading in financial markets is to analyze the price movement caused by placing an order. Clearly we expect – ceteris paribus – that placing an order will move the price to the disadvantage of the agent. This price movement is called the market impact. Following the recent work of A. Kyle and A. Obizhaeva we apply dimensional analysis – a line of arguments well known in classical physics – to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. We also analyze the dependence of the trading activity on a stock, i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the number of trades is proportional to the power 2/3 of the exchanged risk. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi.

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 L.P.): “Parallel arbitrage”
  • Andrew Papanicolaou (NYU Tandon):  “Analysis of implied volatility surfaces using PCA”
  • Lily Gu (Bloomberg L.P.): “Multi-linear PCA”
  • Pasquale Cirillo (Delft University of Technology): “Recovering risk modeling with urns”
  • David Mitchell (Bloomberg L.P.): “Analyzing FX carry trades”
  • Nassim Nicholas Taleb (NYU Tandon): “Tail classes from stochastic vol”
7:00pm

Cocktail Reception

Keynote Speaker

Photo of Walter Schachermayer, PhD

Walter Schachermayer, PhD

Full Professor of Mathematics
University of Vienna

Walter Schachermayer is a Full Professor of Mathematics at the University of Vienna where his research interests span a wide range of topics in Mathematical Finance, Stochastic Analysis, Functional Analysis and Probability Theory. Professor Schachermayer is the first mathematician to have received the Wittgenstein Prize, which is the highest Austrian prize for outstanding scientific achievement. One of his most notable contributions to Mathematical Finance is the proof of the “Fundamental Theorem of Asset Pricing” in its general form, which was done in joint work with Freddy Delbaen.

When & Where

Thursday, September 27th 2018
5:00 pm – 8:00 pm ET

Bloomberg L.P.
120 Park Avenue, 22MPR Room
New York, NY 10017