6 May 2019
We have planned for the following agenda:
Dr. Mark Higgins (Beacon): "Deep Hedging using Neural Networks in Beacon"
Abstract: The JPMorgan QR team invented "deep hedging": training neural networks to give optimal hedges for derivatives portfolios in the presence of transaction costs and unhedgeable risks. We applied that technique to hedging of natural gas storage facilities, implemented through Google TensorFlow in Beacon's Python-based quant platform. This talk describes the results as well as how we did the implementation.
Refinitiv Labs: tbd (data-driven finance, machine learning)
Dr. Yves Hilpisch (TPQ | TAIM): "AI-Powered Algorithmic Trading"
Abstract: The talk explores approaches to use AI, Machine Learning & Deep Learning for market prediction and algorithmic trading. It also discusses the importance of strategy deployment and the application of execution rules to optimize P&L. A demo of The AI Machine platform is given.
VI. Book Raffle & Signing (Python for Finance, 2nd ed., O'Reilly)