CDAR encourages innovative thinking in data science research and its applications to investment risk and portfolio management. With founding support from State Street, the Economics and Statistics Departments at UC Berkeley, and the Advanced Financial Technologies Lab at Stanford, CDAR organizes workshops, conferences, and research opportunities to create a culture of learning. These events bring together academic researchers in physical and social sciences and industry researchers from finance firms and technology companies both large and small. Please visit our related Center for Risk Management Research through the link above.

Research Highlights

Drawdown: From Practice to Theory and Back Again (link to pdf). CDAR Co-Director Lisa Goldberg and co-author Ola Mahmoud, a postdoctoral fellow and lecturer at the University of St Gallen and Affiliated Researcher at UC Berkeley’s Center for Risk Management Research, have developed a mathematically and economically sound path dependent risk measure capturing drawdown: Conditional Expected Drawdown (CED)The paper will appear in Mathematics and Financial Economics. Read more about our work in Drawdown Risk.

Is it Mathematics or is it Software? (link to full pdf article) In Notices of the American Mathematical Society, CDAR Co-Director Lisa Goldberg explores the concepts and issues surrounding mathematical software development. From the abstract: “Since we are in an age where significant progress has been achieved on both practical and intellectual levels by such thinking, the development of mathematical software is genuinely part of mathematics. That is, the conceptual breakthroughs in software development should find a home in the academic mathematical community.”

Recent Events

Thursday, April 6, 2017 | 5:15 PM to 6:15 PM Financial and Insurance Mathematics Seminar by ETH Zürich


Tomorrow, 11 am @ UC Berkeley ”Minimum Conditional Expected Drawdown Portfolios” by Alex Papanicolaou

Advance Access: The Impact of Market Structure on Ex-Dividend Day Stock Price Behavior #FinancialManagement #Finance

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