Bloomberg Quant (BBQ) Seminar Series – October 2021
In this virtual session chaired by Bruno Dupire, Alexander Lipton will present his research (joint work with Artur Sepp), followed by several “lightning talks” of five minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
_______________
Keynote Alexander Lipton
Co-Founder & CTO, Sila;
Professor and Dean’s Fellow, Hebrew University of Jerusalem;
Connection Science Fellow, MIT
How We Should Reorganize Forex Trading Utilizing Blockchains
The time has come to reorganize forex trading and market-making. We argue that decentralized finance (DeFi) is ideally suited for this task and present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. Furthermore, we develop an innovative approach for generating fair exchange rates for on-chain assets consistent with traditional off-chain markets. Finally, we illustrate the efficacy of our approach on realized FX rates for G-10 currencies.
_______________
Agenda
5:30 pm - Keynote: Alexander Lipton, Sila, Hebrew University of Jerusalem, and MIT
6:10 pm - Lightning talks: A lightning talk is a very short presentation lasting only five minutes. Several ones will be delivered in a single session by different speakers in quick succession.
Petter Kolm (NYU Courant Institute of Mathematical Sciences)
High-frequency Alpha with Deep Learning
Philip Lasser (The Juilliard School)
Organic Structure of the Music of JS Bach: The A Minor 2-part Invention
Guixin Liu (Bloomberg)
Instrumental Variables and Causation
Stanislav Uryasev (Stony Brook University)
Drawdown Beta and Portfolio Optimization
Speakers
Bruno Dupire
Head of Quantitative Research
Bloomberg
Bruno Dupire is head of Quantitative Research at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He is running the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Alexander Lipton
Co-Founder & CTO
Sila
Co-Founder and CTO of Sila, Partner at Numeraire, Advisor to Abu Dhabi Investment Authority, Visiting Professor and Dean’s Fellow at Hebrew University of Jerusalem, and Connection Science Fellow at MIT. Alex is an advisor to several fintech companies worldwide. Previously, he was Co-Head of the Global Quantitative Group at Bank of America. Earlier, he was a senior manager at Citadel, Credit Suisse, Deutsche Bank, and Bankers Trust. In parallel, Alex held visiting professorships at EPFL, NYU, Oxford, and Imperial College. Before becoming a banker, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos. In 2000 Alex received the Inaugural Quant of the Year Award and in 2021 the Buy-side Quant of the Year Award by Risk Magazine. Alex authored/edited 11 books and more than a hundred scientific papers on topics stretching from thermonuclear fusion and astrophysics to monetary circuits. Alex is an Associate Editor of several journals and a frequent keynote speaker at international conferences.