Event Replay – Bloomberg Quant (BBQ) January

In this seminar chaired by Bruno Dupire (Bloomberg), he will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession. 5:30 PM Keynote: Bruno Dupire Bloomberg A Generic Framework for Statistical Arbitrage What determines the potential of a trade? What are the main ingredients? We propose a fairly general setting. After having defined the state variables relevant to the situation, one has to develop market scenarios for them, together with weights and identify the tradable instruments. Then any portfolio of them leads to a value for each scenario; the collection of them forms the histogram of the PnL and a risk measure gives a score to the histogram, hence to the portfolio. The score is then optimized over the portfolios. We address the issues of scenario generation, exploring the space of tradable instruments as including dynamic trading of the underlying makes it very vast and debate the choice of the risk measure. We retrieve classical arbitrage results and provide numerous examples: * Calendar spreads with stochastic rates * Triangular trades on FX, spot or derivatives * Replication of Variance swaps * SPX/VIX options * Statistical arbitrage in general * Choosing exponential utility as a risk measure has the benefits of covering maximizing expectation, mean variance and sub-replication, according to the values of the exponent. * Link with super-replication and bundles 6:30PM Lightning Talks • ShengQuan Zhou - Bloomberg The Q-variance Challenge • Fabrizio Dimino - Domyn Knowledge Graph for Financial Disclosures • Michael Isichenko - Bloomberg Chaos and the Arrow of Time • Anna Bogolubova - The Juilliard School Synesthesia - Defying Senses, Defying Science