Events

SEM217: Alexander N D'amour, UC Berkeley: Advances in Basketball Analytics Using Player Tracking Data

Tuesday, October 10th @ 11:00-12:30 PM (639 Evans Hall)

Advances in Basketball Analytics Using Player Tracking Data

Alexander N D'amour, UC Berkeley

In the 2013-2014 season, the National Basketball League, in conjunction with STATS LLC, implemented a league-wide program to collect player-tracking data for all NBA games. The data feed now provides 25-FPS records of all players' XY coordinates on the court, as well as XYZ coordinates for the ball. This data source has opened up new...

SEM217: David Bailey, UC Davis: Backtest overfitting, stock fund design and forecast performance

Tuesday, October 17th @ 11:00-12:30 PM (639 Evans Hall)

Backtest overfitting, stock fund design and forecast performance

David Bailey, UC Davis

Backtest overfitting means the usage of backtests (historical market data) to construct an investment strategy, fund or portfolio, when the number of variations explored exceeds limits of statistical reliability. We show that backtest overfitting is inevitable when computer programs are employed to explore millions or even billions of...

SEM217: Samim Ghamami, UC Berkeley and US Treasury Office of Financial Research: Submodular Risk Allocation

Tuesday, October 24th @ 11:00-12:30 PM (639 Evans Hall)

Submodular Risk Allocation

Samim Ghamami, UC Berkeley and US Treasury Office of Financial Research

We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a...

SEM217: Mathieu Rosenbaum, École Polytechnique: Rough Heston model: Pricing, hedging and microstructural foundations

Tuesday, November 7th @ 11:00-12:30 PM (639 Evans Hall)

Rough Heston model: Pricing, hedging and microstructural foundations

Mathieu Rosenbaum, École Polytechnique

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with a 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...

SEM217: John Arabadjis, State Street: Investor Behavior and Market Dynamics

Tuesday, November 14th @ 11:00-12:30 PM (639 Evans Hall)

Investor Behavior and Market Dynamics

John Arabadjis, State Street

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.

SEM217: Sveinn Olafsson, UC Santa Barbara: Change-point detection for stochastic processes

Tuesday, September 19th @ 11:00-12:30 PM (639 Evans Hall)

Change-point detection for stochastic processes

Sveinn Olafsson, UC Santa Barbara

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...

SEM217: Kellie Ottoboni, UC Berkeley: Nonparametric Risk Attribution for Factor Models of Portfolios

Tuesday, October 3rd @ 11:00-12:30 PM (639 Evans Hall)

Nonparametric Risk Attribution for Factor Models of Portfolios

Kellie Ottoboni, UC Berkeley

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...

SEM217: Montserrat Guillen, University of Barcelona: Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Tuesday, August 28th @ 11:00-12:30 PM

Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Montserrat Guillen, University of Barcelona

Many automobile insurance companies offer the possibility to monitor driving habits and distance driven by means of telematics devices installed in the vehicles. This provides a novel source of data that can be analysed to calculate personalised tariffs. For instance, drivers who accumulate a lot of miles should...

SEM217: Dangxing Chen, UC Berkeley: Predicting Portfolio Return Volatility at Median Horizons

Tuesday, October 2nd @ 11:00-12:30 PM

Predicting Portfolio Return Volatility at Median Horizons

Dangxing Chen, UC Berkeley

Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-...

SEM217: Ben Gum, AXA Rosenberg: A Deep Learning Investigation of One-Month Momentum

Tuesday, September 25th @ 11:00-12:30 PM

A Deep Learning Investigation of One-Month Momentum

Ben Gum, AXA Rosenberg

The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing...