Fall 2017

SEM217: Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”

Tuesday, July 25th @ 11:00-12:30 PM (1011 Evans Hall)

Addressing a “Tough Engineering Problem”

Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management

Abstract: Triggered by the introduction of ever-stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the world. As a result of this massive shift of retirement risks...

SEM217: Michael Ohlrogge, Stanford: Bank Capital and Risk Taking: A Loan Level Analysis

Tuesday, August 29th @ 11:00-12:30 PM (639 Evans Hall)

Bank Capital and Risk-Taking: A Loan Level Analysis

Michael Ohlrogge, Stanford

I examine whether low capital levels incentivize banks to systematically originate and hold riskier loans. I construct a novel data set consisting of 1.8 million small business and home mortgage loans, matched to the specific banks that originated them and the capital levels of those banks at the time of origination, and verified to be held on bank...

SEM217: Robert Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

Tuesday, September 5th @ 11:00-12:30 PM (639 Evans Hall)

Sparse Low-Rank Dictionary Learning

Robert Anderson, UC Berkeley

Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone. We describe progress on a variant called Sparse Low-Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the...

SEM217: Jeremy Evnine, Evnine & Associates: Social Finance and the Postmodern Portfolio: Theory and Practice

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

Social Finance and the Postmodern Portfolio: Theory and Practice

Jeremy Evnine, Evnine & Associates

We formulate the portfolio construction problem as a mean/variance problem which includes a linear term representing an investor’s preference for expected “social return”, in addition to her expected “financial return” of the classical theory. By making various assumptions, we are able to exploit the heterogeneous...

SEM217: Ben Gum, AXA Rosenberg: Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

Tuesday, September 26th @ 11:00-12:30 PM (639 Evans Hall)

Machine Learning and Alternative Data in Fundamental-based Quantitative Equity

Ben Gum, AXA Rosenberg

We begin with a survey of machine learning techniques and applications outside of finance. Then we discuss our use of Machine Learning techniques at Rosenberg. Finally, we explore some alternative data sources.

SEM217: Nick Gunther, UC Berkeley: The Futures Financing Rate

Tuesday, November 28th @ 11:00-12:30 PM (639 Evans Hall)

The Futures Financing Rate

Nick Gunther, UC Berkeley

We estimate the financing rate implicit in equity index futures (“FIR”) by comparing the prices of the near and next contracts and adjusting for expected dividends and convexity. We provide a direct estimate of the FIR volatility, along with...

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...