From Bloomberg Labs, a recap of Quantitative Finance Strategies by Gary Kazantsev and Bjorn Flesaker

(Last Updated On: September 2, 2014)

From Bloomberg Labs, a recap of Quantitative Finance Strategies by Gary Kazantsev and Bjorn Flesaker

As described by Sholom so thanks to him for sending!


Bloomberg Quant Seminar recap:
August 2014: Gary Kazantsev and Bjorn Flesaker
August 28, 2014 at 5:00 PM
The presentations were very good. Here are a few takeaways.
Lecture 1: Gary couldn’t make it so instead they had fellow Bloomberg consultant Ivailo Dimov who spoke on ‘Gaussian processes and Machine Learning’
Machine Learning with linear regression techniques results
in a linear extrapolation model that a 4 year old could probably draw with crayon.
Use cross validation techniques to try to predict the future error
percentage. The covariance in the model does NOT tell you anything about the error.
Adding more dimensions to the problem makes the solution set more linear. In the most extreme case you get an infinite dimensional hyperplane.
Lecture 2: ‘Positive Interest Rates’
A lot of SDEs with very complicated functional parameters.
Modeling the volatility of different currencies.
Nice lecture, but I didn’t see anything really useful for trading in it.

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