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Events / Thalesian Series / Past Seminars

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.

2024 Seminars

February 6, 2024: Skin in the Game: Risk Analysis of Central Counterparties.

A talk by Dr. Samim Ghamami.

Video

Presentation Materials Unavailable


January 9, 2024: Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy.

A talk by Dr. Pawel Polak.

Video

Presentation Materials

2023 Seminars

December 5, 2023: Leveraging Deep Learning for Multimodal Data Analysis in Credit Risk Assessment

A talk by Dr. Cristián Bravo

Video Unavailable

Presentation Materials


December 5, 2023: Leveraging Deep Learning for Multimodal Data Analysis in Credit Risk Assessment

A talk by Dr. Cristián Bravo

Video Unavailable

Presentation Materials

November 14, 2023: The Economics of Automated Market Making and Decentralized Exchanges

A talk by Ciamac Moallemi

Video Unavailable

Presentation Materials

October 3, 2023: Credible Decentralized Exchange Design via Verifiable Sequencing Rules

A talk by Dr. Matheus Venturyne Xavier Ferreira

Video

Presentation Materials

September 12, 2023: The Bias of Simple Bid-Ask Spread Estimators

A talk by Dr. Pedro Tremacoldi-Rossi

Video

Presentation Materials

June 13, 2023: Social Ties, Co-movements, and Predictable Returns

A talk by Lin Peng

Video

Presentation Materials


May 9, 2023: Common Pricing of Decentralized Risk: A New Linear Option Pricing Model

A talk by Liuren Wu

Video

Presentation Materials

April 18, 2023: Rethinking the Value and Emission Implications of Green Bonds

A talk by Shivaram Rajgopal

Video

Presentation Materials


March 22, 2023: Combining Reinforcement Learning and Inverse Reinforcement Learning for Optimal Asset Allocation

A talk by Igor Halperin

Video

Presentation Materials


February 14, 2023: Where Market Making Meets Market Microstructure

A talk by Sasha Stoikov

Video

Presentation Materials


January 24, 2023: Equity Alpha Signals From High Frequency Option Data

A talk by Peng Cheng

Video

Presentation Materials


2022 Seminars


December 13, 2022: Financial Inclusion and Alternate Credit Scoring: Role of Big Data and Machine Learning in Fintech

A talk by Sudip Gupta 


November 17, 2022: Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

A talk by Nicholas Westray


October 24, 2022: Optimal Turnover, Liquidity, and Autocorrelation

A talk by Gordon Ritter

Video

Presentation Materials

June 28, 2022: Differentially Private Call Auctions and Market Impact

A talk by Michael Kearns

Video

Presentation Materials






May 23, 2022: Drawdown Beta and Portfolio Optimization

A talk by Stan Uryasev

Presentation Materials Part 1

Presentation Materials Part 2

Video


April 12, 2022: Climate Change: Opportunity and Risk


A talk by Jan W. Dash

Presentation Materials

Video


March 8, 2022: Multi-Asset Option Market Simulation


A talk by Magnus Wiese

Presentation Materials

Video Unavailable


February 8, 2022: Quantifying the Impact of Impact Investing

A talk by Ruixun Zhang

Presentation Materials

Video


January 10, 2022: Deep Learning for Equity Time Series Prediction

A talk by Miquel Noguer i Alonso PhD

Presentation Materials

Video


2021 Seminars


November 17, 2021: The Tax-Smart Approach for Measuring and Maximizing After-Tax Performance 

A talk by Andrew Kalotay

Presentation Materials

Video


October 18, 2021: The Adoption of Blockchain-Based Decentralized Exchanges

A talk by Agostino Capponi

Presentation Materials

Video


September 7, 2021: Cleaning Corporate Governance

A talk by Eric Talley

Video

June 7, 2021: A Class of Mesh-free Algorithms for Finance, Machine Learning, and Fluid Dynamics

A talk by Philippe G. LeFloch and Jean-Marc Mercier

Presentation Materials

Video


May 10, 2021: Coins for Bombs: Detecting Terrorist Attack Funding with Cryptocurrencies

A talk by Daniel Rabetti

Presentation Materials

Video


April 19, 2021: Modular Machine Learning: The Best of Both Worlds?

A talk by Joseph Simonian

Video


March 8, 2021: A Joint Model of Failures and Credit Ratings

A talk by Rainer Hirk

Presentation Materials

Video

February 8, 2021: A Bayesian Network Approach

A talk by Ioannis Anagnostou

Presentation Materials

Video


January 11, 2021: Machine Learning Hedge Strategy with Deep Gaussian Process Regression

A talk  by Yoshihiro Tawada

Presentation Materials

No Video Available


2020 Seminars


December 14, 2020: A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

A talk by Elliott Ash

Presentation Materials

Video

November 30, 2020: Human vs. Machine: Underwriting Decisions in Finance

A talk by Mark Jansen PhD

Presentation Materials

Video

October 29, 2020: Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk

A talk by Dr. Michael Imerman

Presentation Materials

Video

September 29, 2020: Seeking the Self Amidst Covid’s Cytokine Cyclones

A talk by Bud Mishra

Presentation Materials

Video

June 16, 2020: Greedy Online Classification of Persistent Market States
A talk by Petter Kolm
Presentation Materials

No Video Available


May 5, 2020: Deep Hedging
A talk by Josef Teichmann
Presentation Materials

Video

April 6, 2020: Weaning Ourselves Off LIBOR
A talk by Jonathan Schachter
Presentation Materials

Video


March 2, 2020: Deeply Learning Derivatives
A talk by Ryan Ferguson

No Video Available


February 3, 2020: Portfolio Selection Using The Distribution Builder
A talk by Stephan Sturm
Presentation Materials

No Video Available

January 7, 2020: PCA for Implied Volatility Surfaces
A Talk by Andrew Papanicolaou 

No Video Available



2019 Seminars

December 10, 2019: Machine Learning for Stock Selection
A Talk by Keywan Rasekhschaffe 

Presentation Materials


November 5, 2019: Big Data & AI Strategies: Machine Learning & Alternative Data Approach to Investing
A Talk by Rajesh T. Krishnamachari 
Presentation Materials

October 16, 2019: Systematic Strategies and Machine Learning
A Talk by Kevin Noel
Presentation Materials

September 10, 2019: Time Series Forecasting with a Learning Algorithm
A Talk by Dr. Ricardo A. Collado
Presentation Materials

June 11, 2019: Blockchain Analytics for Intraday Financial Risk Modeling
A Talk by Matthew Dixon
Presentation Materials

May 7, 2019: Options Portfolio Selection
A Talk by Paolo Guasoni
Presentation Materials

April 8, 2019: Financial Applications of Machine Learning
A Talk by Terry Benzschawel
Presentation Materials

March 12, 2019: Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees 
A Talk by Dmitriy Muraveyev


February 12, 2019: Semiparametric Estimation of a Credit Rating Model
A Talk by Yixiao Jiang
Presentation Materials

January 15, 2019: Agency MBS Prepayment Modeling Using Neural Networks
A Talk by Joy Zhang

Presentation Materials


To view Thalesians Seminars from 2018 and prior please click here.


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