6:00 PM Seminar Begins

7:30 PM Reception

Hybrid Event:

Fordham University

McNally Amphitheater

140 West 62nd Street

New York, NY 10023

Free Registration!

For Virtual Attendees: Please select Virtual instead of member type upon registration.

Abstract:

Topological Data Analysis (TDA) has emerged as a powerful methodology in time-series analysis and signal processing. TDA is able to provide detailed descriptions of complex data which complements statistical methods. Recent applications include detection of critical transitions in financial time series, particularly of financial bubbles. The methodology relies on time-delay coordinate embedding, which is used to construct, from the time-series, a point-cloud in some space. The dynamics on the point-cloud unveils patterns in the time-series. Most of the evidence so far on the adeptness of TDA to detect financial bubbles has been empirical. We present, for the first time, a heuristic argument for why TDA can detect financial bubbles. We use models from economics that assert that the time series exhibit certain oscillatory patterns when approaching a tipping point. These oscillations determine holes in the point-clouds, which can be quantified by TDA. When approaching the tipping point of a bubble, there are significant changes in the nature of the oscillations, and consequently in the TDA output. These changes can be captured via persistence homology and yield early warning signals. As an application, we illustrate this approach on a sample of positive and negative bubbles in the Bitcoin price.

Bio:

Marian Gidea is a professor of mathematics at Yeshiva University in New York City. He held previous appointments at the Mathematical Sciences Research Institute in Berkeley, the Institute for Advanced Study in Princeton, Centre de Recerca Matemàtica in Barcelona, Northeastern Illinois University, Northwestern University, and Loyola University Chicago. He also served at the National Science Foundation as a program director in the Mathematical Sciences Division. His research interests include Dynamical Systems, Topological Data Analysis, and Financial Mathematics.

Financial Engineer of the Year:

Leif Andersen

IAQF Innovation Award:

Rachel Schutt

Award Dinner Information

Wednesday, June 5, 2024

The Yale Club

New York City

6:30pm Cocktails  7:30pm Dinner 

Corporate sponsorships including tables of ten are available 

Individual seats are available for $600

For more information please contact the 

IAQF office at 646-736-0705 or info@iaqf.org

About This Year's Award Recipients:

IAQF congratulates Leif Andersen, the Global Co-Head of the Quantitative Strategies & Data Group (QSDG) at Bank of America, and an Adjunct Professor at NYU’s Courant Institute for Mathematical Sciences and at Carnegie Mellon University’s Department of Mathematical Services, as the 2023 IAQF/Northfield Financial Engineer of the Year (FEOY). A Managing Director and head of Bank of America’s quant team for nearly 22 years, Andersen has grown the team from a small group of mathematical modelers to hundreds of quants, strats, data scientists, and software engineers. Prior to joining BofA, he worked for 9 years at General Re Financial Products (GRFP), an innovative AAA-rated derivatives dealer based in NYC, where he collaborated with luminaries such as Jesper Andreasen, Rupert Brotherton-Ratcliffe, and Antoine Savine.

IAQF congratulates Dr. Rachel Schutt, Managing Director and Co-Head of BlackRock AI Labs, as the winner of the 2023 IAQF Innovation Award sponsored by Berkeley SkyDeck Fund. Dr. Rachel Schutt, Managing Director and Tech Fellow, is the Co-Head of BlackRock AI Labs along with Professor Stephen Boyd. AI Labs is a central hub to formalize data science efforts and leverage artificial intelligence to solve high priority problems across the firm while driving consistent standards, best practices, and expanding BlackRock's data science community. Previously Rachel was the Chief Data Scientist of News Corp. There she established the company's first data science team for Dow Jones, the Wall Street Journal, and other media brands. Rachel was named a World Economic Forum Young Global Leader in 2015 and is on the 2014 Crain's New York Business 40 under 40 list.

The annual IAQF/Northfield FEOY Award, established in 1993, recognizes individual contributions to the advancement of quantitative finance. A nominating committee of approximately 60 people consisting of all the IAQF governing boards submits nominations, which are reviewed in a two-step process by a selection committee of 25 members. The selection committee includes the IAQF board of directors and senior fellows and was chaired by Dr. Paul Glasserman, an IAQF senior fellow and 2020 FEOY award winner.