CDAR

Thursday, April 19, 2018

John Wu, LBL: Could Probability of Informed Trading Predict Market Volatility?

Thursday, April 12, 2018

Ulrike Malmendier, UC Berkeley: The Long-lasting Effects of Propaganda on Financial Risk-Taking

Thursday, April 5, 2018

Rupal Kamdar, UC Berkeley: The Securitization and Solicited Refinancing Channel of Monetary Policy

Thursday, March 22, 2018

Nick Gunther, UC Berkeley: The Financing Rate Implied by Equity Futures

Thursday, March 15, 2018

Alec Kercheval, Florida State University: A Credit Risk Framework With Jumps and Stochastic Volatility

Thursday, March 8, 2018

Ananth Madhavan, Blackrock: Factor Strategies: Crowding, Capacity and Sources of Active Returns

Thursday, March 1, 2018

Kyong Shik Eom, UC Berkeley: The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

Thursday, February 22, 2018

Jose Menchero, Bloomberg: Solving the "Curse of Dimensionality" Problem in Multi-Asset-Class Risk Models

Thursday, February 15, 2018

Jeffrey Bohn, Swiss Re: Digitally-driven change in the insurance industry—disruption or transformation?

Thursday, February 8, 2018

Lisa Goldberg, John Arabadjis, and Jeff Bohn to speak at Stanford's AI in Fintech Forum

Thursday, February 1, 2018

Markus Pelger, Stanford: Interpretable proximate factors for large dimensions

Thursday, January 25, 2018

Mariana Olvera-Cravioto, UC Berkeley: PageRank on directed complex networks

Thursday, January 18, 2018

Matthias Weber, Swiss Re: Concrete examples of trend analyses and forward-looking modelling in Swiss Re's underwriting

Tuesday, November 28, 2017

Nick Gunther, UC Berkeley: The Futures Financing Rate

Tuesday, November 14, 2017

John Arabadjis, State Street: Investor Behavior and Market Dynamics

Tuesday, November 7, 2017

Mathieu Rosenbaum, École Polytechnique: Rough Heston model: Pricing, hedging and microstructural foundations

Tuesday, October 24, 2017

Samim Ghamami, UC Berkeley and US Treasury Office of Financial Research: Submodular Risk Allocation

Tuesday, October 17, 2017

David Bailey, UC Davis: Backtest overfitting, stock fund design and forecast performance

Tuesday, October 10, 2017

Alexander N D'amour, UC Berkeley: Advances in Basketball Analytics Using Player Tracking Data

Tuesday, October 3, 2017

Kellie Ottoboni, UC Berkeley: Nonparametric Risk Attribution for Factor Models of Portfolios

Tuesday, September 26, 2017

Ben Gum, AXA Rosenberg: Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

Tuesday, September 19, 2017

Sveinn Olafsson, UC Santa Barbara: Change-point detection for stochastic processes

Tuesday, September 12, 2017

Jeremy Evnine, Evnine & Associates: Social Finance and the Postmodern Portfolio: Theory and Practice

Tuesday, September 5, 2017

Bob Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

Tuesday, August 29, 2017

Michael Ohlrogge, Stanford: Bank Capital and Risk Taking: A Loan Level Analysis

Tuesday, July 25, 2017

Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”

Tuesday, April 18, 2017

James Lewis, State Street Global Advisors: Systematic Long/Short Factor Portfolios

Tuesday, April 11, 2017

Alex Papanicolaou, UC Berkeley: Minimum Conditional Expected Drawdown Portfolios

Tuesday, April 4, 2017

Farzad Pourbabaee, UC Berkeley: Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation

Tuesday, March 21, 2017

This week, the seminar defers to the BSTARS Conference March 23, 2017

Tuesday, March 14, 2017

Carl-Fredrik Arndt, Two Sigma: Dynamics for the Top Eigenvalue and Eigenvector of Empirical Correlation Matrices of Financial Data

Tuesday, March 7, 2017

Peter Shepard, MSCI: Second Order Risk

Tuesday, February 28, 2017

Terrence Hendershott, Haas School of Business: Relationship Trading in OTC Markets

Tuesday, February 21, 2017

Paul Kaplan, Morningstar: A Popularity Asset Pricing Model

Tuesday, February 14, 2017

Adair Morse, Haas School of Business: A Popularity Asset Pricing Model

Tuesday, February 7, 2017

Kellie Ottoboni, UC Berkeley: "Simple Random Sampling: Not So Simple"

Tuesday, January 31, 2017

Arnav Sheth, Saint Mary's College of California: Leveraging Herd Behavior in Foreign Exchange Markets

Tuesday, January 24, 2017

Markus Pelger, Stanford University: Estimating Latent Asset-Pricing Factors

Tuesday, January 17, 2017

Lisa Goldberg, Pete Hand and Alan Cummings, UC Berkeley & Aperio Group: The Tax-Loss Harvesting Life Cycle