Date |
Speaker |
Title |
1/26/2023 |
Petter Kolm (NYU Courant) |
Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book |
2/2/2023 |
Sam Cohen (University of Oxford) |
Neural-SDEs and Market Models of Options |
2/9/2023 |
David Shimko (NYU) |
Valuation for Financial Engineers |
2/16/2023 |
Samir Abrol and Siddharth Dagar (Santander US) |
Quantitative Opportunities within the Model Risk Group |
3/2/2023 |
Kevin Lu (UWashington) |
Parameter estimation and pairs trading for some Levy-driven Ornstein-Uhlenbeck processes |
3/23/2023 |
Henry Schellhorn |
TBA |
4/6/2023 |
Sudheer Chava (Georgia Tech) |
TBA |
4/13/2023 |
Cagin Ararat (Bilkent/USC) |
TBA |
4/20/2023 |
Lingjiong Zhu (FSU) |
The Heavy-Tail Phenomenon in SGD |
5/4/2023 |
Ioannis Kyriakou |
TBA |