Quantitative Finance: The Empirical Frontier
Channel: Berkeley Institute for Data Science (BIDS)
Date: 26/02/2016

BIDS Data Science Lecture Series | February 26, 2016 | 1:10-2:30 p.m. | 190 Doe Library, UC Berkeley

Speakers: Jeffrey R. Bohn, Chief Science Officer, State Street Global Exchange, GX Labs; Shota Ishii, Managing Director, Head of Business and Research Strategic Initiatives, State Street Global Exchange, GX Labs

The convergence of high-performance computing technologies, advances in data science, and increased data availability is materially impacting finance, as other domains. This discussion will survey the development of quantitative finance and the issue of characterizing asset returns and risks. In this context, we will explore the limitations of  traditional mean-variance approaches and how to address these limitations for multi-asset class portfolios through the use of factor modeling and stochastic simulations boosted by high-performance computing. We introduce specific experimental architectures and approaches as well as data visualization techniques developed to provide a contemporary empirical framework for financial portfolio modeling.