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September 2018

Alex Papanicolaou, UC Berkeley: Correcting Bias in Eigenvectors of Financial Covariance Matrices

September 19 @ 4:00 pm - 5:00 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map

There is a source of bias in the sample eigenvectors of financial covariance matrices, when unchecked, distorts weights of minimum variance portfolios and leads to risk forecasts that are severely biased downward. Recent work with Lisa Goldberg and Alex Shkolnik develops an eigenvector bias correction. Our approach is distinct from the regularization and eigenvalue shrinkage methods found in the literature. We provide theoretical guarantees on the improvement our correction provides as well as estimation methods for computing the optimal correction…

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Ben Gum, AXA Rosenberg: A Deep Learning Investigation of One-Month Momentum

September 25 @ 11:00 am - 12:30 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map

The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return includes a component of overreaction by investors.  Since 1990, the one-month return reversal effect has decayed substantially, which has led…

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October 2018

Dr. Mikhail “Misha” Malyshev,  Teza Technologies: Big data, AI, and Quantitative Trading

October 1 @ 2:00 pm - 4:00 pm
F320 Haas, 2220 Piedmont Avenue
Berkeley, CA 94720 United States
+ Google Map

Misha will speak about alternative data being the biggest revolution in finance in 50 years. How artificial intelligence and machine learning are being applied now and in the future. How these relate to quantitative trading, which represents $300 billion, or 17% of the hedge fund industry.   Bio: Dr. Mikhail "Misha" Malyshev, a pioneer of quantitative finance and expert on the use of Artifical Intelligence/machine learning and alternative data in finance. Dr. Malyshev obtained a Ph.D. in Astrophysics from Princeton…

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Dangxing Chen, UC Berkeley: Predicting Portfolio Return Volatility at Median Horizons

October 2 @ 11:00 am - 12:30 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map

Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-term investors, such as Defined Benefit pension plans, individual owners of Defined Contribution pension plans, and insurance companies. Because return volatility is variable and mean-reverting, the square root rule for extrapolating…

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Jacob Steinhardt, Stanford

October 9 @ 11:00 am - 12:30 pm
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Tingyue Gan, UC Berkeley

October 16 @ 11:00 am - 12:30 pm
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Samim Ghamami, UC Berkeley

October 23 @ 11:00 am - 12:30 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map
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November 2018

Wachi Bandara, Pluribus Labs

November 13 @ 11:00 am - 12:30 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map
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Michael Ohlrogge, Stanford

November 27 @ 11:00 am - 12:30 pm
1011 Evans Hall Berkeley, CA 94720 United States + Google Map
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