• Registered: 2007-10-30
  • Posts: 310

Topic: Columbia Seminar Series in NYC

Short notice but I will probably attend:

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Michael Lipkin at the Financial
Engineering Practitioners Seminar.

Sponsored by:
- D E Shaw & Co.
- Guzman & Company
- ISE
- Murex
- Prisma Capital Partners

The Financial Engineering Practitioners Seminar meets on Monday evenings
from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments.
The seminars are open to the public and we welcome attendees from industry
and academia.

See the fall seminar schedule at:

http://www.ieor.columbia.edu/seminars/f … 09/fall/in
dex.html


For directions to the seminar please see below:

The Financial Engineering Practitioners Seminar is held at 412 Schapiro
CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter
through campus at 116th Street and then walk north. Davis Auditorium is
located in the Schapiro Center towards the north end of the Morningside
campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

-----------------------------------------

Hard-To-Borrow Stocks, Volatility and Bubble Dynamics: A Challenge to Jarrow
+ Protter?

Date: 09-08-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Michael Lipkin, American Stock Exchange & Columbia University
(IEOR)
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

Stocks which are difficult to short have special dynamics which alter their
pricing and lead to bubble-like behavior. Unlike other models which paste on
pricing, we interlink both price and dynamics and extract predictive
quantities. Our model leads to a tantalizing conjecture that many bubbles
have extended equilibrium, and thus tractable, behavior.

BIO

Mike Lipkin has been an options market maker for the past 16 years on the
American Stock Exchange. He has also done research in derivatives, producing
with M. Avellaneda a generally accepted theory of the pinning of optionable
stocks on expirations. Current research involves take-overs, earnings and
special announcements, all topics covered in the course, Experimental
Finance, he co-developed and teaches here with Sacha Stanton.




____________________________________________________________________________
___________________________________________________________________________
Donella Crosgnach
Graduate Student Services Coordinator
Industrial Engineering and Operations Research Columbia University 500 West
120th Street, Rm 309 New York, NY 10027
(212) 854-8468
http://www.ieor.columbia.edu

"Because money won is twice as sweet as money earned."
  • Registered: 2007-10-30
  • Posts: 310

Re: Columbia Seminar Series in NYC

August 2007 Quantitative Equity Turbulence: An Unknown Unknown Becomes A
Known Unknown

Date: 09-15-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Brian Hayes, LBAIM Investment Team
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

Hedge funds that use quantitative models to buy and sell stocks (quant
equity funds) endured a turbulent August 2007, with many funds experiencing
large losses. We study the holdings of a set of quant equity funds to gain
insight into this event. We also provide an update on quant equity holdings
and performance in the year following August 2007.

BIO

Dr. Hayes is the Manager of Quantitative Research and the Co-Head of
Quantitative and Directional Strategy Research on the LBAIM Investment Team.
From 2002 to 2004, he worked at Kingdon Capital Management where he served
as both quantitative analyst and fundamental analyst. Between 2000 and 2002,
he was an Associate in the Equity Portfolio Strategy group at Sanford C.
Bernstein. Before entering the financial services field, Dr. Hayes was an
Assistant Professor of Mathematics at Stevens Institute of Technology,
having previously held postdoctoral positions at Duke University and the
University of Southern California. He received a BS in physics from Caltech
in 1989 and a PhD in mathematics from the Courant Institute at NYU in 1994.
His thesis was on nonlinear hyperbolic partial differential equations.



____________________________________________________________________________
___________________________________________________________________________
Donella Crosgnach
Graduate Student Services Coordinator
Industrial Engineering and Operations Research Columbia University 500 West
120th Street, Rm 309 New York, NY 10027
(212) 854-8468
http://www.ieor.columbia.edu

"Because money won is twice as sweet as money earned."
  • From: Nazareth
  • Registered: 2006-12-22
  • Posts: 4,566

Re: Columbia Seminar Series in NYC

The quant model est kaput!

All your arb are belong to us.

riskarb's Website

  • Registered: 2007-10-30
  • Posts: 310

Re: Columbia Seminar Series in NYC

Lol, tell me about it! Most of this sh*t is a practice in curve-fitting. Best funds are probably doing a lot of market-making with better execution/algo's. There is some money on the table in the old arbs if your not looking to get rich and make some beer money.

"Because money won is twice as sweet as money earned."
  • Registered: 2007-10-30
  • Posts: 310

Re: Columbia Seminar Series in NYC

New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY … e_Finance/

on Wednesday, November 19th, 2008, 5:30 PM-7:30 PM.

for a presentation by

ROBERT ENGLE,

on

WHY IS FINANCIAL MARKET VOLATILITY SO HIGH?


http://www.cfe.columbia.edu/seminars/NY … e_Finance/

Taking risk to achieve return is the central feature of finance.
Volatility is a way to measure risk and when it is changing over time the
task is especially challenging.  Measures of volatility are presented using
up to date information on US Equity markets, bond markets, credit markets
and exchange rates.  Similar measures are shown for international equities.
The economic causes of volatility are discussed in the light of new research
in a cross country study.  These are applied to the current economic scene.
Long run risks are then discussed from the same perspective.   Two long run
risks are discussed - climate change and unfunded pension funds.  Some
policy suggestions are made to reduce these risks and benefit society today
as well as in the future.

VENUE: Park Avenue Plaza, 55 East 52nd Street, 11th floor.

* About the speaker:

Robert Engle, the Michael Armellino Professor of Finance at New York
University Stern School of Business, was awarded the 2003 Nobel Prize in
Economics for his research on the concept of autoregressive conditional
heteroskedasticity (ARCH). He developed this method for statistical modeling
of time-varying volatility and demonstrated that these techniques accurately
capture the properties of many time series. Professor Engle shared the prize
with Clive W. J. Granger of the University of California at San Diego.

Professor Engle is an expert in time series analysis with a long-standing
interest in the analysis of financial markets. His ARCH model and its
generalizations have become indispensable tools not only for researchers,
but also for analysts of financial markets, who use them in asset pricing
and in evaluating portfolio risk. His research has also produced such
innovative statistical methods as cointegration, common features,
autoregressive conditional duration (ACD), CAViaR and now dynamic
conditional correlation (DCC) models.

"Because money won is twice as sweet as money earned."
  • Registered: 2009-04-19
  • Posts: 90

Re: Columbia Seminar Series in NYC

http://www.smh.com.au/business/wall-str … -fmai.html

Professional amateur
  • From: San Francisco
  • Registered: 2009-03-26
  • Posts: 49

Re: Columbia Seminar Series in NYC

The curve is crowded.

Get some.

saber's Website