Events

Lisa Goldberg to be a panelist at the "Wealth Management Series: Commoditization of Long Only Equities"

The "Wealth Management Series: Commoditization of Long Only Equities" is presented by CFA Society of San Francisco. Lisa Goldberg, PhD, Director of Research, Aperio Group Lisa Goldberg is Aperio’s Director of Research. She has a joint appointment in Statistics and Economics at the University of California, Berkeley, where she serves as Co-Director of the Consortium for Data Analytics in Risk (CDAR). Prior to joining Aperio, Lisa was Executive Director of Research at MSCI, where she oversaw research supporting asset managers, pension funds, endowments, and sovereign wealth funds, with an...

Lisa Goldberg and Jeffrey Bohn to give talk, "Should ESG be Embedded as a Risk Factor in Multi-Factor Models?" at the CFA Fourth Annual Sustainable Investing Conference

CDAR co-director Lisa Goldberg and CDAR Affiliated Researcher/Board Member Jeffrey Bohn to give talk, "Should ESG be Embedded as a Risk Factor in Multi-Factor Models?" Talk abstract: Are new factors required to adequately describe co-movement of ESG securities, now that they comprise an established and rapidly growing market segment? To date, most commercial risk model providers have been slow to add ESG factors in their equity models. Is this due to lack of data? And what should investors understand about the current state of “ESG” as a factor – is this an alpha play right now, as many...

AFTLab Seminar: Lisa Goldberg

Do Steph Curry and Klay Thompson Have Hot Hands?

The Splash Brothers, Steph Curry, and Klay Thompson, are great shooters but they are not streak shooters. Only rarely do they show signs of a hot hand. This counter-intuitive result is based on an empirical analysis of field goal and free throw data from the 82 regular season games and 17 post season games played by the Golden State Warriors in 2016–2017. Inspired by the iconic but flawed 1985 hot-hand study by Thomas Gilovich, Robert Vallone and Amos Tversky, as well as Josh Miller and Adam Sanjurjo’s 2015 fascinating correction to that...

Dr. Kyong Shik Eom will give a lecture at the Korea Exchange

The lecture is titled “Changes in the Regulatory and Technological Environments for Capital Markets in the U.S. and Europe: Lessons for Korea.”

Start date: 2017-10-11 00:00:00 End date: 2017-10-11 23:59:59 Venue: Korea Exchange (KRX)

Dr. Kyong Shik Eom will give a lecture at the Korea Securities Association

The lecture is titled “Changes in the Regulatory and Technological Environments for Capital Markets in the U.S. and Europe: Lessons for Korea.”

Start date: 2017-10-13 00:00:00 End date: 2017-10-13 23:59:59

Dr. Kyong Shik Eom will give a lecture at The Graduate School of Business at Korea University

The lecture is titled “Changes in the Regulatory and Technological Environments for Capital Markets in the U.S. and Europe: Lessons for Korea.”

Start date: 2017-10-10 00:00:00 End date: 2017-10-10 23:59:59 Venue: Korea University Address: 145 Anam-ro, Anam-dong, Seongbuk-gu, Seoul, Korea, Republic Of

CDAR Co-Director Lisa Goldberg to give lecture: "Do Steph Curry and Klay Thompson Have Hot Hands?"

Abstract: The Splash Brothers, Steph Curry, and Klay Thompson, are great shooters but they are not streak shooters. Only rarely do they show signs of a hot hand. This counter-intuitive result is based on an empirical analysis of field goal and free throw data from the 82 regular season games and 17 post season games played by the Golden State Warriors in 2016–2017. Inspired by the iconic but flawed 1985 hot-hand study by Thomas Gilovich, Robert Vallone and Amos Tversky, as well as Josh Miller and Adam Sanjurjo’s 2015 fascinating correction to that study, we continue the dialog about how...

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

Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. There are two main formulations of such problems: A Bayesian approach where the change-point is assumed to be random, and a min-max approach under which the change-point is assumed to be fixed but unknown. In both cases, a deep connection has been established to variations of the widely used CUSUM procedure, but results for processes with jumps are still scarce, while the practical importance of such processes has escalated. In...

John Arabadjis, State Street: Investor Behavior and Market Dynamics

The Market is a consensual hallucination that commands attention by wielding its Invisible Hand. In this talk we will examine the ways that Adam Smith’s 250-year-old appendage makes itself felt – positioning, trading, and hurting herding – and their implications for the investment process.

Start date: 2017-11-14 11:00:00 End date: 2017-11-14 12:30:00 Venue: 639 Evans Hall at UC Berkeley Address: 639 Evans Hall, Berkeley, CA, 94720

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

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to the risk management of derivatives. Using an original link between nearly unstable Hawkes processes and rough volatility models, we explain in this talk how to price and hedge options in the rough version of the Heston...