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April 20 at 4 pm (CEST). Nino Antulov-Fantulin, Complexity and Machine Learning with Financial applications, May 7, 2021
April 20 at 4 pm (CEST). Presenters: Nino Antulov-Fantulin (ETH Zurich) Title: Complexity and Machine Learning with Financial applications Abstract: Complexity science studies systems and problems that are composed of…
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April 15 at 4 pm (CEST). Blanka Horvath and Issa Zacharia, An Optimal Transport Approach to Market Regime Clustering, May 7, 2021
April 15 at 4 pm (CEST). Presenters: Blanka Horvath and Issa Zacharia (King’s College London) Title: An Optimal Transport Approach to Market Regime Clustering Abstract: The problem of rapid and…
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April 8 at 6 pm (CEST). Andrea Barbon, Brokers and Order Flow Leakage: Evidence from Fire Sales, May 7, 2021
April 8 at 6 pm (CEST). Presenters: Andrea Barbon (University of St. Gallen) Title: Brokers and Order Flow Leakage: Evidence from Fire Sales Abstract: Using trade‐level data, we study whether…
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Mehdi Tomas and Michael Benzaquen, Cross-Impact modeling on derivative markets, March 16, 2021
March 16 at 4 pm (CEST). Presenters: Mehdi Tomas and Michael Benzaquen (CFM and Ecole Polytechnique) Title: Cross-Impact modeling on derivative markets Abstract: Impact modeling on derivatives is challenging on…
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Michele Vodret and Iacopo Mastromatteo, Understanding the relation between trades and price changes is of paramount importance for practitioners, yet challenging for theoreticians., March 2, 2021
March 2 at 5 pm (CEST). Presenters: Michele Vodret and Iacopo Mastromatteo. (CFM and Ecole Polytechnique) Title: Understanding the relation between trades and price changes is of paramount importance for…