Introduction Shift in QF αF Algorithm Data and AI Assessment Introduction Christopher Ting http://cting.x10host.com/CUHKSZ/CUHKSZ.html http://www.mysmu.edu/faculty/christophert/ k: [email protected]June 25, 2018 Christopher Ting Topic 1 June 25, 2018 1/13
This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript
Introduction Shift in QF αF Algorithm Data and AI Assessment
Introduction Shift in QF αF Algorithm Data and AI Assessment
Broad Lesson Plan
1 Introduction
2 Shift in QF
3 αF
4 Algorithm
5 Data and AI
6 Assessment
Christopher Ting Topic 1 June 25, 2018 2/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Shift in QF
Z Risk-neutral pricing and hedging (structuring) have matured.
Z High-frequency algo trading (dynamics of limit-order book)
Z Quantitative investment & trading
Z Quantitative risk management (XVA, multi-curve approach)
Z Machine learning, AIReading: AI Adoption Across Capital Market (May 2018)
Reading: Goldman Sachs Equity Research (November 14, 2016)
Statistics is the study of algorithms for data analysis.Rudolf Beran
Z Research Scientists at Renaissance TechnologiesUse machine-learning, applied mathematics, and techniques frommodern statistics to develop and refine models of the financialmarkets and to develop trading algorithms based on thosemodels.
Introduction Shift in QF αF Algorithm Data and AI Assessment
Al-Khwarizm’s Solution of x2 + 10x = 39
Step 1 Step 2 Step 3x× x x2 + 10x Completion of Square
x2 x2
52 × x
52 × x
52 × x
52 × x 39
254
254
254
254
The completed square’s area is 4× 25/4 + 39 = 64. Each side of thesquare is therefore 8. But each side is of length 5/2 + x+ 5/2 sox+ 5 = 8, giving x = 3 as a solution.
Christopher Ting Topic 1 June 25, 2018 7/13
Introduction Shift in QF αF Algorithm Data and AI Assessment