Mathematical Finance & Financial Data Science Seminar
The mathematical finance & financial data science seminar covers a broad range of topics in mathematical and quantitative finance, including:
- Data science and machine learning in finance
- Big data and econometric techniques
- Quantitative finance
- Market microstructure and trading costs
- Portfolio and risk management
- Pricing, hedging and risk models
- Regulation and regulatory models
- Trading strategies and back testing
To subscribe to our seminar email announcement list please click: here.
This seminar series is part of the Quantitative Finance & Financial Data Science Working Group's activities at NYU Courant, organized by Petter Kolm (email: petter DOT kolm AT nyu DOT edu).
Presenters include invited visitors and NYU Courant faculty. Seminar presentations often cover original research. All seminars are held online as per the schedule below.
Seminar Organizer(s): Prof. Petter Kolm
Past Events
-
Tuesday, June 28, 20225:30PM, Online Zoom access provided to registrants
How Price Impact Distorts Accounting P&L - Revisiting Caccioli, Bouchaud and Farmer's impact-adjusted valuation
Kevin Webster, Citadel -
Tuesday, May 24, 20225:30PM, Online Zoom access provided to registrants
Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
Igor Halperin, VP of AI Asset Management, Fidelity Investments -
Wednesday, May 18, 20225:30PM, Online Zoom access provided to registrants
Portfolio Optimisation with Options
Thomas Huckle and Jonathan Chan, Flow Traders and Kaiju Capital Management -
Tuesday, May 10, 20225:30PM, Online Zoom access provided to registrants
Reinforcement Learning with Dynamic Convex Risk Measures
Sebastian Jaimungal, University of Toronto, Department of Statistical Sciences -
Tuesday, April 26, 20225:30PM, Online Zoom access provided to registrants
The Virtue of Complexity
Bryan Kelly, Yale University and AQR Capital Management -
Tuesday, April 19, 20225:30PM, Online Zoom access provided to registrants
Optimal turnover, liquidity and autocorrelation
Bastien Baldacci and Jerome Benveniste, Quantitative Advisory Solutions and Ritter Alpha LP -
Tuesday, April 12, 202212PM, Online Zoom access provided to registrants
The Myth of Diversification, Reconsidered
Will B. Kinlaw, Head of Research, State Street Global Markets -
Tuesday, April 5, 20225:30PM, Online Zoom access provided to registrants
4x4 Asset Allocation
Max Golts, Chief Investment Officer at 4x4invest -
Tuesday, March 22, 20225:30PM, Online Zoom access provided to registrants
James Stein for eigenvectors
Lisa Goldberg, University of California, Berkeley -
Tuesday, March 15, 20225:30PM, Online Zoom access provided to registrants
A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty
Majeed Simaan, Steven Institute of Technology - School of Business -
Tuesday, February 8, 20225:30PM, Online Zoom access provided to registrants
The Tax-Smart Approach for Measuring and Maximizing After-Tax Performance
Andrew Kalotay, Kalotay Advisors