Events

Lisa Goldberg and Jeffrey Bohn to speak at Swissquote Conference 2017 on FinTech

From the event website: Innovation in financial technology (FinTech) has transformed the financial services industry over the past decade and the technological changes are ongoing. Continuous pressure to innovate will shape customer behaviours, business models, and the long-term structure of the financial services industry. This unprecedented interplay between finance and technology offers great potential for developing new financial services business models and products. The 8th annual...

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

Factor models are used to predict the future returns of a portfolio with known positions in many assets. These simulations yield a distribution of future returns and various measures of the risk of the portfolio. Clients would often like to identify sources of risk in their portfolios, but this is difficult when factors influence the portfolio in nonlinear ways, such as when returns are measured on a log scale and when the portfolio contains nonlinear instruments. We develop a two-step method to partition risk among factors in a portfolio which accounts for these nonlinearities: first,...

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

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...

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...

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...