In the Fall semester, the seminar takes place on Wednesdays 6:10 pm — 7:25 pm.
Location: TBA
For directions, please see Directions to Campus and Morningside Campus Map.
Organizer: Jaehyuk Choi
Schedule of Presentations
Scroll down for the Schedule of Past Presentations.
Wednesday, September 3, 2025
Title:
Speaker: Nathaniel Powell, Deep Market Making Inc.
Abstract:
Wednesday, September 10, 2025
Title: Marketron Games: Self-Propelling Stocks vs Dumb Money
Speaker: Igor Halperin, Fidelity Investments
Igor Halperin is an AI researcher and a Group Data Science leader at Fidelity Investments. His research focuses on using methods of reinforcement learning, information theory, and physics for financial problems such as portfolio optimization, dynamic risk management, and inference of sequential decision-making processes of financial agents. Igor has an extensive industrial and academic experience in statistical and financial modeling, in particular in the areas of option pricing, credit portfolio risk modeling, and portfolio optimization. Prior to joining Fidelity, Igor worked as a Research Professor of Financial Machine Learning at NYU Tandon School of Engineering. Before that, Igor was an Executive Director of Quantitative Research at JPMorgan, and a quantitative researcher at Bloomberg LP. Igor has published numerous articles in finance and physics journals, and is a frequent speaker at financial conferences. He has co-authored the book “Machine Learning in Finance: From Theory to Practice” (Springer 2020), and contributed to the book “Credit Risk Frontiers” (Bloomberg LP, 2012). Igor has a Ph.D. in theoretical high energy physics from Tel Aviv University, and a M.Sc. in nuclear physics from St. Petersburg State Technical University. In February 2022, Igor was named the Buy-Side Quant of the Year by RISK magazine.
Abstract:
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market is viewed as an investment policy of outside investors. For the price impact effect, we use an impact function that incorporates the phenomena of market inelasticity and saturation from new money (the dumb money effect). Due to the dependence of market investors’ flows on market performance, the model implies a feedback mechanism that gives rise to nonlinear dynamics. Consequently, the market price dynamics are seen as a nonlinear diffusion of a particle (the marketron) in a two-dimensional space formed by the log-price x and a memory variable y. The latter stores information about past money flows, so that the dynamics are non-Markovian in the log price x alone, but Markovian in the pair (x,y), bearing a strong resemblance to spiking neuron models in neuroscience. In addition to market flows, the model dynamics are partially driven by return predictors, modeled as unobservable Ornstein-Uhlenbeck processes. By using a new interpretation of predictive signals as self-propulsion components of the price dynamics, we treat the marketron as an active particle, amenable to methods developed in the physics of active matter. We show that, depending on the choice of parameters, our model can produce a rich variety of interesting dynamic scenarios for market regimes.
Wednesday, September 17, 2025
Title: From HFT to Fintech: Lessons in Entrepreneurship & Risk-Taking in Finance
Speaker: Christina Qi, Databento
Christina Qi is the Co-Founder and CEO of Databento, a financial data platform serving thousands of institutions worldwide. Prior to Databento, she co-founded Domeyard LP, a hedge fund focused on high-frequency trading, which grew to trade billions of dollars per day across global markets before winding down after a decade of service. Christina is a board member of her alma mater MIT, WGBH (National Public Radio/PBS), and a visiting lecturer at several universities. She graduated from MIT in 2013 and lives in Utah with 10 chickens, 2 turtles, and a 15-year-old dog. She enjoys listening to classical piano music, watching anime, and playing rhythm games.
Abstract:
What does it take to launch your own venture in finance – and is it worth the risk? In this talk, Christina Qi will walk through her unconventional journey from co-founding Domeyard LP, a high-frequency trading hedge fund, to starting Databento, a provider of real-time and historical market data. Drawing from personal experiences, Christina will candidly discuss the highs and lows of entrepreneurship in finance – from raising capital and hiring a team, to the day-to-day differences (& differing career trajectories) between having an alpha-chasing job vs. a product-oriented job. She’ll also share lessons learned from failure, insights into compensation and risk trade-offs, whether location matters or not, and how to identify and validate an idea worth building. This session will provide students with a grounded, realistic view of what it means to forge your own path – and why sometimes, the biggest leaps of faith can lead to the most valuable growth.
Wednesday, September 24, 2025
Title: Introduction to Structured Finance
Speaker: JG Lee, Director of Modeling, FINSIGHT Group
Abstract:
Wednesday, October 1, 2025
Title:
Speaker: Jae Ho Kim, Head of Portfolio Research, Cubist
Abstract:
Wednesday, October 8, 2025
Title:
Speaker:
Abstract:
Wednesday, October 15, 2025
Title:
Speaker:
Abstract:
Wednesday, October, 22, 2025
Title:
Speaker:
Abstract:
Wednesday, October 29, 2025
Title:
Speaker:
Abstract:
Wednesday, November 5, 2025
Title:
Speaker:
Abstract:
Wednesday, November 12, 2025
Title:
Speaker:
Abstract:
Wednesday, November 19, 2025
Title:
Speaker:
Abstract:
Wednesday, November 26, 2025
Title:
Speaker:
Abstract:
Wednesday, December 3, 2025
Title:
Speaker:
Abstract: