Machine Learning in Finance Workshop 2022

Workshop program

8.15 – 9.00 
Registration

9.00 
Introduction

9.00 – 9.45
Distributionally Robust End-to-End Portfolio Construction
Garud N. Iyengar (Columbia University)

9.45 – 10.30
Corporate Climate Assessment: An Applied NLP-clustering Approach
Giuseppe Bonavolonta (European Investment Bank) & Oleg Reichmann (European Central Bank)

10.30 – 11.00
Break

11.00 – 11.45
A Word is Worth a Thousand Dollars: Adversarial Attack on Tweets Fools Stock Prediction
Dakuo Wang (IBM Research & MIT-IBM Watson AI Lab)

11.45 – 12.30
Iterated and exponentially weighted moving principal component analysis
Paul Bilokon (Imperial College)

12.30 – 13.45
Lunch (A boxed lunch will be provided)

13.45 – 14.30
Machine Learning in Exotic Derivatives Trading and Hedging
Amal Moussa (Goldman Sachs)

14.30 – 15.15
Deep Learning Statistical Arbitrage
Markus Pelger (Stanford)

15.15 – 15.30
Break

15.30 – 16.15
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
Stefan Zohren (Oxford-Man Institute of Quantitative Finance)

16.15 – 17.00
Thematic Sentiment from Bloomberg News Topic Codes
Ivailo Dimov (CTO Quant Research Solutions, Bloomberg)

17.00-18.00
Closing Remarks & Wine Reception