SPECIAL Seminar: Xiaowu Dai, UC Berkeley: Multi-Layer Kernel Machines: A Fast and Accurate Approach for Large-Scale Supervised Learning (Biostat Seminar Series)
Monday, February 10th @ 9:00-10:00 AM (Berkeley Way West, RM 5400)
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.
Tuesday, January 28th @ 11:00-12:30 PM (1011 Evans Hall)
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).
Tuesday, February 4th @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Amanda Glazer, UC Berkeley: Hot or Not? A Nonparametric Formulation of the Hot Hand in Baseball
Tuesday, February 11th @ 11:00-12:30 PM (1011 Evans Hall)
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
SEM217: Dangxing Chen, UC Berkeley: Nonparametric prediction of portfolio return volatility and its extension to the longer horizon
Tuesday, February 18th @ 11:00-12:30 PM (1011 Evans Hall)
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.
Tuesday, February 25th @ 11:00-12:30PM (1011 Evans Hall)
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.
Tuesday, March 3rd @ 11:00-12:30 PM (ONLINE)
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).
Tuesday, March 10th @ 11:00-12:30 PM (ONLINE)
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.
Tuesday, April 14th @ 11:00-12:00 PM (ONLINE)
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