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Practitioners’ Seminar 2020

The seminar takes place in the Spring of 2020, Tuesdays and Thursdays 7:40pm — 8:55 pm.

Location: 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.

Rules

  • 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.

Tuesday, January 21, 2020

Speaker: Marcos Lopez de Prado, True Positive Technologies

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Abstract

Thursday, January 23, 2020

Speaker: David Abergel, FGC
David Abergel is a graduate of the MAFN 2011 class. Since then, he founded a social network startup, and has been an equity derivative broker for 4 and half years. Currently at FGC securities, where he specialized in delta 1 products such as swaps and rev/cons.

Title: Institutional Brokerage in a world of electronic trading, instant and near perfect information

Abstract
Institutional brokerage. A short history of brokerage in the USA. The electronic revolution, and its impact on brokerage. Current state of institutional brokerage. The future of brokerage. Importance of knowing how to sell. Selling as a Quant or a Trader.
Tuesday, January 28, 2020

Speaker: Peter Carr, NYU Tandon

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Thursday, January 30, 2020

Speaker: Jonathan Schachter, Independent Consultant at Nataxis

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Tuesday, February 4, 2020

Speaker: Alexander Fleiss, RebellionResearch.com

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Thursday, February 6, 2020

Speaker: Graham Giller, Giller Investments (New Jersey), LLC
Graham is Chief Executive Officer at Giller Investments (New Jersey), LLC. He has a doctorate from Oxford University in Experimental Elementary Particle Physics, where his field of research was statistical cosmic ray astronomy which featured large scale computer based data analytics. He joined Morgan Stanley in London in 1994 and was an early member of the now famous Process Driven Trading group run by Peter Muller (now “PDT Partners”). Subsequent to Morgan Stanley, he ran a small “friends and family” investment fund that specialized in systematic trading of financial futures. He was recruited to Bloomberg LP to run the Data Science within Bloomberg’s Global Data division and joined JP Morgan as Chief Data Scientist, New Product Development, in 2015, ultimately becoming Head of Data Science Research. He joined Deutsche Bank’s new Data Innovation Group (“dbDIG”) in March, 2018. In July 2019 he created a new venture to provide clients with innovative quantitative and primary research for clients.

Title: Trading from Predictive Models of Macroeconomic Data – Machine Learning Meets Survey Research

Abstract
The expectations of consumers are a significant predictor of market returns. This talk will demonstrate how consumer expectations can be measured and processed to produce a time-series that is predictive of major market returns and how this can be used as the input to a trading strategy.
Tuesday, February 11, 2020

Speaker: Mikhail Smirnov, Columbia University

Title: Dynamic Portfolio Management and Market Anomalies
We discuss some known market anomalies and their utilization through dynamic risk allocation. We will introduce the notion of Dynamic Leverage as a VAR extending risk measure taking into account the investment time horizon. We introduce a modification of Black-Jones-Perold portfolio insurance. For an investment fund with dynamically controlled risk exposure and certain risk inertia, we demonstrate the existence of a critical NAV level below which the efficacy of de-leveraging is compromised.

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Thursday, February 13, 2020

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Tuesday, February 18, 2020

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Thursday, February 20, 2020

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Tuesday, February 25, 2020

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Thursday, February 27, 2020

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Tuesday, March 3, 2020

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Thursday, March 5, 2020

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Tuesday, March 10, 2020

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Thursday, March 12, 2020

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Tuesday, March 17, 2020 — Spring Recess, no seminar
Thursday, March 19, 2020 — Spring Recess, no seminar
Tuesday, March 24, 2020

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Thursday, March 26, 2020

Speaker: Rosanna Pezzo-Brizio, New York Life Investment Management and Columbia University

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Tuesday, March 31, 2020

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Thursday, April 2, 2020

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Tuesday, April 7, 2020

Speaker: Petter Kolm, NYU

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Thursday, April 9, 2020

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Tuesday, April 14, 2020

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Thursday, April 16, 2020

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Tuesday, April 21, 2020

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Thursday, April 23, 2020

Speaker: Karen Pham Van, Davidson Kempner Capital Management

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Tuesday, April 28, 2020

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Thursday, April 30, 2020

Speaker: Kelly Ye, Index IQ

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Past Presentations

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