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Practitioners’ Seminar 2019

The seminar takes place in the Spring of 2019, Tuesdays and Thursdays 7:40pm — 8:55 pm.

Location: TBA – Probably 312 Mathematics Building. For directions please see Directions to Campus and Morningside Campus Map

Organizer: Lars Tyge Nielsen

Click here for the Schedule of Presentations.

Click here for the Schedule of Past Presentations.

To subscribe to (or to unsubscribe from) the announcement email list, send an email to lrb@math.columbia.edu from the relevant email address with “Subscribe” or “Unsubscribe” in the subject line or the first line of the message..

Rules

  • The seminar is open to the public (no registration necessary).
  • The speaker often will not make copies of the presentation available — to protect intellectual property or comply with company rules.
  • No photos or video of the speaker or presentation allowed except with express permission.
  • Only to document the attendance of MAFN students, the audience may be photographed at the beginning of the seminar, and sign-up sheets may be circulated


 

Schedule of Presentations

Click here for the Schedule of Past Presentations.

Schedule of Presentations

Tuesday, Jaunary 22, 2019

Speaker: Peter Carr, NYU Tandon School of Engingeering

Title: What Does an Implied Volatility Mean?

Summary
Thursday, January 24, 2019

Speaker: Walter Schachermayer, University of Vienna and Columbia University
Walter Schachermayer is Professor Emeritus of Mathematics at the University of Vienna and presently visiting Professor at Columbia University. His research is concerned with stochastic processes and their applications in finance.

Walter Schachermayer was the first mathematician to receive the Wittgensteinpreis (1998), the highest scientific distinction in Austria. He is a member of the German National Academy of Science Leopoldina and the European Academy of Science. Professor Schachermayer holds an honorary doctorate from Université Paris Dauphine and Universidad de Murcia. In 2009 he was awarded an ERC Advanced Grant.

Among his achievements is the proof of the “Fundamental Theorem of Asset Pricing”
in its general form, which was done jointly with Freddy Delbaen.


Title: The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis

Abstract
A basic problem when trading in financial markets is to analyze the prize 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 wellknown 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.

Tuesday, January 29, 2019

Speaker: Leon Tatevossian, NYU Courant Institute and NYU Tandon School of Engineering

Title: Credit Risk Transfer (CRT) Mortgage Bonds: Slicing/Leveraging Homeowner Credit Risk

Summary
Thursday, January 31, 2019

Speaker: Yury Blyakhman, J.P. Morgan

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Tuesday, February 5, 2019

Speaker: Fabio Mercurio, Bloomberg L.P.

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Thursday, February 7, 2019

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Tuesday, February 12, 2019

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Thursday, February 14, 2019

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Tuesday, February 19, 2019

Speaker: Marco Avellaneda, Courant Institute, NYU

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Thursday, February 21, 2019

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Tuesday, February 26, 2019

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Thursday, February 28, 2019

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Tuesday, March 5, 2019

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Thursday, March 7, 2019

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Tuesday, March 12, 2019

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Thursday, March 14, 2019

Speaker: Praveen Kolli

Title: Fluctuations in Rank-Based Diffusions

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Tuesday, March 19, 2019 — Spring Recess, no seminar
Thursday, March 21, 2019 — Spring Recess, no seminar
Tuesday, March 26, 2019

Speaker: Irene Aldridge, AbleMarkets and Cornell University

Title: Big Data Techniques in Finance: Beyond Econometrics and Data Mining

Abstract
Big Data is often considered an extension of Econometrics. This talk gives a survey of now-mainstream Big Data techniques just gaining the traction in Finance that extend far beyond traditional data analysis. The Big Data techniques discussed do away with rigidity and limitations of Econometrics, provide in-depth inferences often without the need for hypotheses, and lay foundation for the true artificial intelligence models poised to revolutionize the field of Finance in the next 5-10 years.
Thursday, March 28, 2019

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Tuesday, April 2, 2019

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Thursday, April 4, 2019

Speaker: Jonathan Assouline

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Tuesday, April 9, 2019

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Thursday, April 11, 2019

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Tuesday, April 16, 2019

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Thursday, April 18, 2019

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Tuesday, April 23, 2019

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Thursday, April 25, 2019

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Tuesday, April 30, 2019

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Thursday, May 2, 2019

Speaker: Aleksandr Veygman

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Past Presentations

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