Organizer: Peter Forsyth Jr.
The reading group is on hiatus this term.
Co-organizer: Martin
Modified format: 20 minute talk. 10 minutes of discussion.
Book: Advances in Financial Machine Learning
| Date | Presenter | Topic | Slides (Optional) |
|---|---|---|---|
| 3 October 2023 | Martin | Chapters 1-2: Financial ML as a distinct subject. Financial data structures. | Slides |
| 10 October 2023 | Martin | Chapters 3,4: Labelling. Sample weights. | Slides |
| 24 Octover 2023 | Tristan | Chapters 6, 8: Ensemble methods. Feature importance. | Slides |
| 31 October 2023 | Alex | Chapters 7, 9: Cross-validation in finance. Hyper-parameter tuning with cross-validation. | Slides |
| 7 November 2023 | Serena | Chapters 11, 14: Backtesting 1/3. The dangers of backtesting. Backtest statistics. | Slides |
| 21 November 2023 | Eric | Chapters 10, 12, 13. | Slides |
| 28 November 2023 | Alexey | Chapters 15, 16 | Slides |
| 5 December 2023 | Cynthia | Chapters 17, 18, 19: Useful features: Structural breaks. Entropy features. Microstructural features. | Slides |
| 12 December 2023 | Kry | Chapter 5: Fractionaly Differentiated Features | Slides |
Theme: Large Language Models
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 4 July 2023 | Organization | Webex | ||
| 18 July 2023 | Wenjie Zi | Introduction to LLMs | Webex | Slides |
| 15 August 2023 | Peter Forsyth | Generative AI at Work | Webex | Slides |
| 29 August 2023 | Hanieh, Jacey, Lorne | Taming the Jargon: How LLMs transform financial conversations into insights | Webex | |
| 12 September 2023 | Eric Jiawei He | Paper 1, Paper 2 | Webex | Slides |
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 7 February 2023 | Organization | Webex | ||
| 21 February 2023 | Raquel Aoki | Intro to Causality for ML Finance | Webex | Slides |
| 7 March 2023 | Tristan Sylvain | Scaleformer Iterative Multi-scale Refining Transformers for Time Series Forecasting | Webex | Slides |
| 21 March 2023 | Andrew Na | GANS for Volatility Surfaces | Webex | Slides |
| 4 April 2023 | Francis Duplessis | Next Generation Language Models and an open discussion of their uses in finance | Webex | Slides |
| 18 April 2023 | Marc Andre Chen and Mohammed Shirazi | Determining an Optimal Dynamic Allocation/ Decumulation Strategy Using NNs | Webex | Slides |
Topic: Open
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 27 September 2022 | Organization | Webex | ||
| 11 October 2022 | Yuying Li | Optimal dynamic allocation without dynamic programming | Webex | Slides |
| 25 October 2022 | Mohamed Ahmed | Monotone neural networks | Webex | Slides |
| 8 November 2022 | Chendi | Investment under high inflation | Webex | Slides |
| 22 November 2022 | Frédéric Godin | Bridging the gap between reinforcement learning and extreme value theory (Abstract) | Webex | Slides |
| 13 December 2022 | Peter | ML for credit | Webex | Slides |
Topic: Deep Hedging
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 7 June 2022 | Organization | Webex | ||
| 21 June 2022 | Finhub | Deep theta and gamma hedging | Webex | Slides |
| 5 July 2022 | Frédéric Godin | Equal risk option pricing with deep reinforcement learning | Webex | Slides |
| 19 July 2022 | Peter | Transaction costs in deep hedging | Webex | Slides Video |
| 2 August 2022 | Alexey | Robust deep hedging | Webex | Slides |
| 16 August 2022 | Martin | Do differentiable simulators give better policy gradients? | Webex | Slides |
Topic: The Retail investor
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 25 January 2022 | Organization | Webex | ||
| 8 February 2022 | Peter | Defined Contribution Pension Plans | Webex | Slides Video |
| 22 February 2022 | Francis | Neural Portfolio Optimization | Webex | Slides |
| 8 March 2022 | Muhammed | Tontines | Webex | Slides |
| 22 March 2022 | Alexey | Annuties | Webex | Slides |
| 5 April 2022 | Dan | Goal-based Wealth Management | Webex | Slides |
| 19 April 2022 | Graham | The retail landscape: asset managers, taxes & the investor life cycle | Webex | Slides |
- https://www.tandfonline.com/doi/abs/10.1080/1351847X.2016.1151805
- https://www.nber.org/papers/w9116
- https://pure.hw.ac.uk/ws/files/42550851/STAR_decumulation.pdf
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3302111
- Retirement Income Sufficicency through personalized glidepaths
- https://epubs.siam.org/doi/abs/10.1137/19M1274924
- https://www.nber.org/papers/w29559
- https://link.springer.com/article/10.1007/s00780-021-00467-2
- https://cs.uwaterloo.ca/~paforsyt/Stochastic_Benchmark.pdf
- https://scholar.google.com/citations?view_op=view_citation&hl=en&user=-zRu4foAAAAJ&sortby=pubdate&citation_for_view=-zRu4foAAAAJ:e5wmG9Sq2KIC
- https://scholar.google.com/citations?view_op=view_citation&hl=en&user=-zRu4foAAAAJ&sortby=pubdate&citation_for_view=-zRu4foAAAAJ:O3NaXMp0MMsC
Topic: Generation of Synthetic Financial Data
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 14 September 2021 | Organization | Webex | ||
| 28 September 2021 | Chendi | Bootstrap Methods in Quantiative Finance | Webex | Slides |
| 12 October 2021 | Dan | Quant GANS | Webex | Slides |
| 26 October 2021 | Talk by John Hull | See link | ||
| 2 November 2021 | Ben | Evaluation of Deep Generative Models | Webex | Slides |
| 9 November 2021 | Anderson | VAE for Volatility Surfaces | Webex | Slides |
| 23 November 2021 | Marc | Clustering Market Regimes Using the Wasserstein Distance | Webex | Slides |
| 7 December 2021 | Qinglan | Generating Realistic Stock Market Order Streams | Webex | Slides |
Text: Griewank, Andreas, and Andrea Walther. Evaluating derivatives: principles and techniques of algorithmic differentiation. Society for Industrial and Applied Mathematics, 2008.
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 25 May 2021 | Organization | Zoom | ||
| 1 June 2021 | Peter | Chapter 1-2 | Zoom | Slides Video |
| 15 June 2021 | Francis | Chapter 3 | Zoom | Slides |
| 29 June 2021 | Dan | Chapter 4 | Zoom | Slides |
| 13 July 2021 | Shenghao | Chapter 5 | Zoom | Slides |
| 27 July 2021 | Chendi | Luca Capriotti, "Fast Greeks by algorithmic differentiation" Journal of Computational Finance Vol 14 (2011) 3-35 | Zoom | Slides |
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 26 January 2021 | Organization | |||
| 9 February 2021 | Dan | Autoregressive Convolutional Neural Networks for Asynchronous Time Series | Zoom | Slides |
| 23 February 2021 | Michael | A neural network-based framework for financial model calibration | Zoom | Slides |
| 23 March 2021 | Chendi | The Market Generator | Zoom | Slides |
| 6 April 2021 | Francis | The Deep Parametric PDE Method: Application to Option Pricing | Zoom | Slides |
| 13 April 2021 | Ashish | TF Quant Finance | Zoom |
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 6 October 2020 | Andrew | A summary of Machine learning in Option Pricing on arxiv | Zoom | Slides Table |
| 20 October 2020 | Chendi | A summary of Machine learning in Wealth Management on arxiv | Zoom | Slides |
| 3 November 2020 | Pablo | AlphaPorfolio for Investment and economically Interpretable AI | Zoom | Slides |
| 17 November 2020 | Peter | Neural Importance Sampling | Zoom | Slides |
| 1 December 2020 | Pieter | Factor Investing: a Short Overview of the Research Over the Last 10 Years | Zoom | Slides |
| Date | Presenter | Topic | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 9 June 2020 | Giuseppe | Smooth Market Games | Zoom | Slides |
| 23 June 2020 | Francis | Empirical Asset Pricing via Machine Learning | Zoom | Slides |
| 7 July 2020 | Irene | Deep Learning for Portfolio Optimisation | Zoom | Slides |
| 21 July 2020 | Andrew | A mean-field analysis of two-player zero-sum games | Zoom | Slides |
| 4 August 2020 | Chendi | Data-driven approach to asset allocation with tax | Zoom | Slides |
| 18 August 2020 | Pieter | Factor Investing | Zoom | Slides |
| Date | Topic | Presenter | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 13 January 2020 | Organization | N/A | University of Waterloo (DC2102) | |
| 27 January 2020 | Option Data Augmentation Using the SABR model and LVF | Nick | Unveristy of Waterloo (DC2310) | Slides |
| 10 February 2020 | Stochastic Portfolio Theory: A Machine Learning Perspective | Chendi | University of Waterloo (DC2310) | Slides |
| 24 February 2020 | Meta-learning for Optimization | Pascal | Borealis AI | Slides |
| 9 March 2020 | The Distribution of Terminal Wealth Under Dynamic Mean-Variance Optimal Investment Strategies | Pieter | University of Waterloo (DC2310) | Slides |
| 23 March 2020 | A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options | Peter | Zoom | Slides |
| 6 April 2020 | Option pricing with residual networks (paper) | Andrew | Zoom | Slides |
| Date | Topic | Presenter | Location (May change) | Slides (Optional) |
|---|---|---|---|---|
| 10 September 2019 | Organization | N/A | University of Waterloo (DC2102) | |
| 24 September 2019 | Deep Hedging | Ad Tayal | Borealis AI | Slides |
| 8 October 2019 | Data-Driven Model for Hedging (Paper1, Paper2, Paper3) | Ke Nian | University of Waterloo (DC1304) | Slides |
| 22 October 2019 | Option Pricing with Machine Learning (Paper1, Paper2) | Peter | Borealis AI | Slides |
| 5 November 2019 | A Neural Network Approach to Optimal Asset Allocation With Stochastic Benchmark Targets | Chendi | University of Waterloo (DC1304) | Slides |
| 12 November 2019 | Universal features of price formation in financial markets: perspectives from Deep Learning | Dan | University of Waterloo (DC3317) | Slides |
| 19 November 2019 | Neural Network Optimal Asset Allocation: Put Writing and Trend Following Strategy | Bo | University of Waterloo (DC3317) | Slides |
| 26 November 2019 | Stock Movement Prediction from Tweets and Historical Prices | Kshitij | Borealis AI | Slides |
| 3 December 2019 | Generative Adversarial Nets for Financial Trading Strategies (Paper) | Andrew | University of Waterloo (DC3317) (Special time: 11:00am) | Slides |
| 10 December 2019 | Machine Learning for XVA (Paper) | Jakub | University of Waterloo (DC3317) | |
| 17 December 2019 | Enhancing Time Series Momentum Strategies Using Deep Neural Networks and Optimal Trend Following Trading Rules | Irene | Borealis AI | Slides |
12:00 Noon.
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Select an interesting paper applying machine learning techniques to finance. Email Peter the name of your paper one week in advance.
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Present a summary of the paper.
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Be sure to include necessary background. It is preferable to spend time explaining things you think are obvious than to risk the audience not understanding your presentation