Machine Learning in Finance Workshop 2017

The workshop is organized by:
 

The Data Science Institute (DSI) at Columbia University and Bloomberg LP are pleased to announce a workshop on "Machine Learning in Finance".  The workshop will be held at Columbia University under the auspices of the Financial and Business Analytics Center, one of the constituent centers in the DSI, and the Center for Financial Engineering.

Date: Friday April 21, 2017
Location: 417 International Affairs Building, Columbia University, 420 W. 118th Street, New York, NY 10027. (Map)

Workshop Program

The following is a tentative schedule.
 
8.15 - 9.00 Registration
 
9.00 - 9.15 Introduction
 
9.15 - 9.55 Markus Pelger (Stanford, Management Science and Engineering)
    Title: Estimating Latent Asset Pricing Factors from Large-Dimensional Data
    Slides
 
9.55 - 10.35 Andrew Gelman (Columbia, Statistics and Political Science)
    Title: What Can We Learn from Data?
 
10.35 - 11.15 Michael Kearns (U Penn, Computer and Information Science)
    Title: Trading Without Regret

11.15 - 11.45 Break
 
11.45 - 12.25 Bruno Dupire (Bloomberg)
    Title: Understanding What the Machine Understands
 
12.25 - 13.05 Jonathan Larkin (Quantopian)
    Title: Herding Robotic Cats: Constructing a Single Portfolio from Hundreds of Thousands of Autonomous Strategies
 
13.05 - 14.05 Lunch (A boxed lunch will be provided)
 
14.05 - 14.45 Stefano Pasquali (BlackRock)
    Title: Unified liquidity risk management framework. Where and why use machine learning?
 
14.45 - 15.25 Harry Mamaysky (Columbia, Graduate School of Business)
    Title: How News and Its Context Drive Risk and Returns Around the World
    Slides

15.25 - 15.45 Break
 
15.45 - 16.25 Mayur Thakur (Goldman Sachs)
    Title: Surveillance Development: A Case Study
 
16.25 - 17.05 Roberto Rigobon (MIT, Sloan)
    Title: The Billion Prices Project: Using Small Data to Improve Big Data
    Slides
 
17.10 Wine reception
 

Registration

Online registration is available here.
Early registration is available until April 4th after which regular registration rates will apply. The early (regular) registration rates are:

Corporate delegates: $100 ($150)
Non-Columbia students*: $30 ($40)
Columbia students*: $20 ($30)
 
*Those availing of student rates will be required to show valid student ID at the event.
Please contact Martin Haugh <mh2078@columbia.edu> for further details.
 
**Deadline to request a refund is Wednesday, April 19, 2017 at 12PM noon.


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