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January 2020

Moritz Voss, UCSB: A two-player price impact game

January 28 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT: We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voss (2017), both facing common aggregated temporary and permanent price impact à la Almgren and Chriss (2001). The resulting stochastic linear quadratic differential game with terminal state constraints allows for an explicitly available open-loop Nash equilibrium in feedback form. Our results reveal how the equilibrium strategies of the two players take into account the other agent's trading targets: either in an…

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February 2020

Saad Mouti, UC Berkeley: Rough volatility: Evidence from range-based and implied volatility

February 4 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT:  In Gatheral et al. 2014, it has been shown that volatility exhibits a fractional behavior with a Hurst exponent $H < 0.5$, changing the typical perception of volatility. In their study, Gatheral and his co-authors used the realized volatility. In this analysis we explore the finding using two other estimators of spot volatility. The first set of estimators is known as range-based volatility estimators, and are calculated based on the open, close, high and low prices. We find that the log-volatility based on these…

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Xiaowu Dai, UC Berkeley: Multi-Layer Kernel Machines: A Fast and Accurate Approach for Large-Scale Supervised Learning (Biostat Seminar Series)

February 10 @ 9:00 am - 10:00 am

ABSTRACT: We propose an approximation of kernel ridge regression (KRR) based on random features and a multi-layer structure. KRR is popular in statistics and machine learning for nonparametric regressions over reproducing kernel Hilbert spaces. We study the minimum number of random features and the size of layers can be chosen for preserving minimax optimality of the approximate KRR estimate. We show that the multi-layer kernel machines only require O(n^1.5 log(n)) time and O(n log(n)) memory, which is significantly better compared…

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Amanda Glazer, UC Berkeley: Hot or Not? A Nonparametric Formulation of the Hot Hand in Baseball

February 11 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT: "I never blame myself when I’m not hitting. I just blame the bat and if it keeps up, I change bats. After all, if I know it isn’t my fault that I’m not hitting, how can I get mad at myself?" - Yogi Berra We have all perceived streaks of hits and misses when watching sports. Often people will blame a magical streakiness that leads players to be "hot" or "cold." Are we to believe in this streakiness or…

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Dangxing Chen, UC Berkeley: Nonparametric prediction of portfolio return volatility and its extension to the longer horizon

February 18 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT: Medium-horizon portfolio volatility predictions are of significant value to long-term investors, such as Defined Benefit pension plans, insurance companies, sovereign wealth funds, endowments, and individual owners of Defined Contribution pension plans. In this paper, we propose a simple, accurate, and efficient nonparametric method predict the conditional variance of log return (CVLR) at an arbitrary horizon. At a relatively short horizon, we introduce a regression framework for the stochastic volatility model. Beyond the short horizon, we study the properties of the…

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Hanlin Yang, University of Zurich: Decomposing Factor Momentum

February 25 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT: The factor momentum portfolio is decomposed into a factor timing portfolio and a buy-and-hold portfolio, where the former collects the return from time-series predictability and the latter collects the return due to the cross-sectional dispersion of factor returns. Based on a large set of stock return factors, I document rich evidence that factor return predictability is empirically too weak to produce timing benefits. The buy-and-hold portfolio accounts for a dominant fraction of the factor momentum return and outperforms in…

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March 2020

Alex Bernstein, UCSB: A Closed-Form Solution to the Markowitz Portfolio Problem

March 3 @ 11:00 am - 12:30 pm
70 Evans Hall (ground floor), 70 Evans Hall
Berkeley, CA 94720 United States

ABSTRACT: In 1952, Harry Markowitz transformed finance by framing the portfolio construction problem as a tradeoff between the mean and the variance of return. This application of quadratic optimization is at the basis of breakthroughs such as the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). The classical Markowitz problem may be solved in closed form. However, when the portfolio weights face inequality constraints, one has to resort to a numerical optimization routine. This occurs for constrains as…

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Laurent El Ghaoui, UC Berkeley: Implicit Deep Learning

March 10 @ 11:00 am - 12:30 pm
Online via Zoom

ABSTRACT: We define a new class of ``implicit'' deep learning prediction rules that generalize the recursive rules of feedforward neural networks. These models are based on the solution of a fixed-point equation involving a single vector of hidden features, which is thus only implicitly defined. The new framework greatly simplifies the notation of deep learning, and opens up many new possibilities, in terms of novel architectures and algorithms, robustness analysis, adversarial attacks, and design, interpretability, sparsity, and network  architecture optimization. This…

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April 2020

Saad Mouti and Xiaowu Dai, UC Berkeley

April 14 @ 11:00 am - 12:30 pm
Online via Zoom

ABSTRACT: Cardiovascular disease (CVD) is the most common non-communicable disease occurring globally. Early diagnosis of CVD and identification of CVD related risk factors has become a health priority. In this work, we evaluate the causal effects of risk factors for CVD using matching methods and subsampling. In particular, we find that obesity is an important risk factor, and the low-carbohydrate diet would significantly mitigate the CVD risk. The results are based on clinical pilot data from Dr. David Unwin. Our…

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Farzad Pourbabaee, UC Berkeley: Reputation for Venture Capitalists

April 28 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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