Bloomberg Quant (BBQ) Seminar Series – June 2023
In this seminar chaired by Bruno Dupire, Ali Hirsa, Professor and Director of the Columbia Center for Artificial Intelligence in Business Analytics and Financial Technology and Director of the Financial Engineering Program in the Industrial Engineering & Operations Research Department at Columbia University, will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.
5:30 PM
Keynote: Ali Hirsa
Professor and Director
AI Advancements in Asset Management: Under the Hood
Global assets under management are projected to reach $145 trillion by 2025. These assets encompass a wide range of liquidity, tradability, and nuances. They have various durations and are traded on exchanges or by appointment, involving different currencies, frequencies, holding periods, protocols, regulatory aspects, etc. all of which generate a vast pool of information. Harnessing AI-based decision processes enable simultaneous analysis of diverse datasets, models, viewpoints, visuals, and more. This facilitates continuous evaluation of historical and predicted performance within each stage of the investment life cycle, guided by defined or suggested objective functions. However, achieving meaningful AI implementations in nonstationary markets demands more than a simplistic “data in, miracles out” approach. It requires meticulous tuning, enhancements, and occasionally rethinking approaches. We aim to delve deeper and present some of our proposed advancements in leveraging AI techniques across the various asset management processes, including signal generation, security selection, product development, asset allocation, portfolio construction, asset planning, and risk management.
6:30 PM
Lightning Talks
Arturo Cifuentes | Clapes UC, Catholic University of Chile
Investing in Picasso: What Have We Learned?
Sandrine Foldvari | Bloomberg
GAMLSS Applied to Medical and Financial Data
Michael Lipkin | NYU Tandon School of Engineering, FRE
Time Scales and Biotech Trading
David Shimko | NYU Tandon School of Engineering
Simplified Option Pricing
Speakers
Bruno Dupire
Global Head of Quantitative Research, CTO Office
Bloomberg
Bruno Dupire is the Global Head of Quantitative Research, CTO Office 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 runs and organizes the Bloomberg Quant (BBQ) seminar, the largest monthly event of this kind.
Ali Hirsa
Professor and Director
Columbia University
Ali Hirsa is a Professor and director of the Columbia Center for Artificial Intelligence in Business Analytics and Financial Technology and director of the Financial Engineering Program in the Industrial Engineering & Operations Research Department at Columbia University. He is also Chief Scientific Officer at ASK2.ai and Managing Partner at Sauma Capital, LLC, a New York Hedge Fund. Previously he was a Partner and Head of Analytical Trading Strategy at Caspian Capital Management, LLC. Prior to joining Caspian, Ali worked in a variety of quantitative positions at Morgan Stanley, Banc of America Securities, and Prudential Securities. Ali was also a Fellow at Courant Institute of New York University in the Mathematics of Finance Program from 2004 to 2014. Ali is the author of “Computational Methods in Finance,” Chapman & Hall/CRC 2012, co-author of “An Introduction to Mathematics of Financial Derivatives,” third edition, Academic Press with Salih Neftci, and the editor-in-chief of the Journal of Investment Strategies. He is a frequent speaker at academic and practitioner conferences. Ali received his Ph.D. in Applied Mathematics from the University of Maryland at College Park under the supervision of Professors Howard C. Elman and Dilip B. Madan.