Opzione Trading Euan Sinclair

I Thalesians Immagini da eventi Thalesians da tutto il mondo nel corso degli ultimi 6 anni I Thalesians sono un think tank di professionisti dedicati, con un interesse per la finanza quantitativa, economia, matematica, fisica e informatica, non necessariamente in questo ordine. Blog vedere la nostra nuova Thalesians blog di lettura comprare il nostro nuovo libro. Trading Thalesians - Quello che il mondo antico può insegnarci circa il commercio di oggi (Palgrave Macmillan) da parte del co-fondatore Thalesians, Saeed Amen amp prefazione di fondatore, Paul Bilokon fondatore Il gruppo nasce nel settembre 2008, da Paul Bilokon (quindi un analista quantitativo a Lehman Brothers specializzata in cambi, e un ricercatore a tempo parziale presso l'Imperial college), e due suoi amici e colleghi: Matthew Dixon (quindi un analista quantitativo presso Deutsche Bank) e Saeed Amen (quindi uno stratega quantitativa a Lehman Brothers) . L'apertura di Level39 nel 2013 dal sindaco Boris Johnson I Thalesians sono anche ora membro di Level39 - più grande d'Europa acceleratore di tecnologia per le società finanziarie, di vendita al dettaglio, sicurezza informatica e future città tecnologia Eventi Research Consulting Eventi I Thalesians sono stati originariamente basato a Londra, Regno Unito . Nel gennaio 2011, l'organizzazione è diventata davvero globale quando Matthew Dixon ha portato negli Stati Uniti dove gestisce seminari Thalesians New York con New York leader Harvey Stein. Attila Agod è il leader di Budapest per i nostri seminari Thalesians Budapest. Siamo attualmente in fase di espansione nostri seminari a Praga e l'esecuzione di più laboratori. Research In fine del 2013, abbiamo iniziato pubblicato motivo di rottura note sulla strategia Quant. Il nostro sforzo è guidata da Saeed Amen, con quasi un decennio della sua esperienza, sia la creazione e la successiva negoziazione modelli di trading sistematico in FX maggiori banche di investimento. Visita ricerca di più. Consulenza Nel 2014, abbiamo iniziato a offrire servizi di consulenza su misura quant nei mercati, la firma del nostro primo cliente, un importante hedge fund statunitensi e RavenPack, un importante fornitore di notizie dei dati. I nostri servizi comprendono la creazione di modelli su misura sistematici di trading e altre analisi quant dei mercati finanziari, come ad esempio la copertura valutaria e l'analisi dei costi di transazione FX (TCA). Visita Consulting di più. La nostra filosofia Siamo il nome di Talete di Mileto (), un filosofo greco presocratico che ha vissuto in ca. 624 aC-ca. 546 aC. Talete era un matematico ed è familiare a molti studenti delle scuole secondarie di uno dei suoi teoremi di geometria. Ma più pertinenza per noi, è stato uno dei primi utenti di opzioni: Talete, così va la storia, a causa della sua povertà è stato insultato con l'inutilità della filosofia ma dalla sua conoscenza di astronomia che aveva osservato mentre era ancora inverno che ci sarebbe stato un grande raccolto di olive, così ha sollevato una piccola somma di denaro e pagato depositi circolari per l'insieme dei frantoi a Mileto e di Chio, che ha assunto ad un canone a partire da nessuno lo stava correndo su e quando la stagione è arrivata, ci fu un improvviso aumento della domanda per una serie di presse, allo stesso tempo, e da loro lasciando fuori su quali termini gli piacevano ha realizzato una grossa somma di denaro, in modo da dimostrare che è facile per i filosofi di essere ricchi se scegliere, ma non è questo che si preoccupano. Aristotele, Politica, 1259a. La morale di questo aneddoto è che è facile per i filosofi di essere ricchi se scelgono il famoso Mileto è andato avanti e ha dimostrato di essere. Noi, i Thalesians. Lo ammiro per questo. Ma abbiamo anche condividere molti dei suoi valori, per esempio la sua convinzione di base che un uomo felice è definito come uno,, (che è sano nel corpo, nell'anima e di risorse di natura facilmente insegnabile). Questo wiki è stato creato per servire come fonte di informazioni sulla finanza quantitativa, di sintetizzare i riferimenti a varie risorse correlate, e di fungere da punto di convergenza per i Thalesians. i nostri colleghi e collaboratori. E 'nato da Paolo Bilokons finanza wiki, che ha iniziato nel febbraio 2007. Noi crediamo che il segreto e la fedeltà sono importanti nel mondo della finanza. Ma abbiamo anche riconosciamo il potere della condivisione delle informazioni nelle società aperte. Lasciate che la vostra logica di business rimangono un segreto gelosamente custodito. Ma rilasciare tutto il resto nel pubblico dominio. Quello che va in giro, arriva intorno a questo in ultima analisi, risparmierò reinventare la ruota. Più dei nostri diffusori in occasione di eventi Thalesians nel corso degli ultimi 6 anni Prossime manifestazioni Mer, Feb 22: Saeed Amen Mer 29 Mar: TBD Mer 26 Apr: TBD mer 24 maggio: TBD Thalesians Seminario (Londra) 8212 Saeed Amen 8212 Utilizzo di Python per analizzare i mercati finanziari registrazione Un approccio popolare per modellare la dinamica ordine limite libro della migliore offerta e chiedere a livello-1 è quello di utilizzare in forma ridotta approssimazioni di diffusione. E 'ben noto che il più grande fattore che contribuisce al movimento dei prezzi è lo squilibrio delle migliori bid e ask. Indaghiamo i dati del livello-1 di ordine limite libri di un paniere di titoli e studiare l'evidenza numerica della deriva, la correlazione, la volatilità e la loro dipendenza dal squilibrio. Sulla base delle scoperte numeriche, sviluppiamo un modello discreto non parametrico per la dinamica della migliore offerta e chiedere. Questo modello può essere approssimato da un modello in forma ridotta con trattabilità analitica che può andare bene i dati empirici di correlazione, volatilità e la probabilità di movimento dei prezzi contemporaneamente. (Lavoro congiunto con Tzu-Wei Yang) Lingjiong Zhu cresciuto a Shanghai ed è andato a studiare in Inghilterra, dove ha ottenuto BA presso l'Università di Cambridge nel 2008. Si è poi trasferito negli Stati Uniti e ha ricevuto dottorato alla New York University nel 2013. dopo un periodo di Morgan Stanley, andò a lavorare presso l'Università del Minnesota come il Dunham Jackson Assistant professor prima di entrare alla facoltà alla Florida State University come assistente nel 2015. nel suo tempo libero, ama leggere, viaggiare e andare a mostre d'arte, musei e concerti di musica classica. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. IAQF-Thalesians Seminario (New York) 8212 Dr. Sebastiano Jaimungal algoritmi 8212 Trading con l'apprendimento in modelli alfa latenti Lunedi, 15 maggio, il 2017: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, segnali NY registrazione Alpha per le strategie di arbitraggio statistico sono spesso spinti da fattori latenti. Questo saggio analizza come il commercio in modo ottimale con i fattori latenti che causano i prezzi per saltare e diffusa. Inoltre, ci conto per l'effetto delle azioni commercianti sui prezzi indicati e sui prezzi che ricevono dalle negoziazioni. Sotto ipotesi abbastanza generali, si dimostra come l'operatore può conoscere la distribuzione a posteriori nel corso degli stati latenti, e in modo esplicito risolvere il problema latente di trading ottimale in modo on-line. Inoltre, abbiamo sviluppato un algoritmo di avanti-indietro sulla base di aspettative massimizzazione per calibrare un modello di puro salto ai dati storici, illustrare l'efficacia della strategia ottimale attraverso simulazioni e confrontare le strategie che ignorano l'apprendimento nei fattori latenti. (Lavoro congiunto con Philippe Casgrain, U. Toronto) Dr. Sebastiano Jaimungal è professore ordinario presso il Dipartimento di Scienze Statistiche presso l'Università di Toronto, dove è direttore del Master di programma di assicurazione finanziaria, insegna al Master di Matematica Finanza programma, e il corso di dottorato. Sebastian è l'attuale presidente (ed ex vice presidente direttore del programma) per SIAM Matematica finanziaria e Ingegneria (SIAGFMampE), è un co-autore del libro intitolato ad alta frequenza e Algorithmic Trading pubblicato dalla Cambridge University Press (2015), e atti il comitato di redazione per un certo numero di riviste accademiche e di settore tra cui: SIAM Journal on matematica finanziaria (SIFIN), l'International Journal of teorica e applicata Finanza (IJTAF), ad alta frequenza. Journal of Rischi e Argo. Sebastian è anche un membro del consiglio di fondazione della materie prime e mercati Energy Association. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Eventi recenti IAQF-Thalesians Seminario (New York) 8212 Dr. Alan Moreira 8212 Volatilità Managed Portfolio mercoledì 15 febbraio, 2017: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY registrazione gestito portafogli che prendono meno rischi quando la volatilità è alta di produrre grandi alfa, aumentano i rapporti Sharpe, e produrre grandi guadagni di utilità per gli investitori media-varianza. Documentiamo questo per il mercato, valore, quantità di moto, la redditività, rendimento del capitale e fattori di investimento, così come il commercio di valuta carry. tempistica volatilità aumenta indice di Sharpe perché i cambiamenti della volatilità non sono compensati dai cambiamenti proporzionali rendimenti attesi. La nostra strategia è contrario alla saggezza convenzionale, perché ci vuole relativamente meno rischi in recessione ma guadagna ancora rendimenti medi elevati. Questo esclude le spiegazioni tipiche risk-based ed è una sfida per i modelli strutturali di rendimenti attesi che variano nel tempo. Alan Moreira è Assistant Professor di Finanza presso la Yale University School of Management. Originario di Rio de Janeiro, in Brasile, ha ricevuto la sua laurea da Rio de Janeiro Università Federale (UFRJ) e il suo dottorato di ricerca in Economia Finanziaria presso l'Università di Chicago. Ricerca Dr. Moreiras indaga su come le forme di intermediazione finanziaria l'economia reale e le cause e le conseguenze delle fluttuazioni di incertezza. La sua ricerca è stata pubblicata nelle riviste top tra cui il Journal of Financial Economics e Journal of Finance. Oltre a insegnare Risk Management nel programma MBA presso la Yale School of Management, il Dr. Moreira insegna Asset Pricing a livello di dottorato. Nel suo tempo libero, si diverte in bicicletta, viaggiando, e appendere fuori la famiglia. Alan Moreira, assistente professore di Finanza, Yale School of Management 1 IAQF-Thalesians Seminari Il Seminario Serie IAQF-Thalesians è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Oskar Mencer 8212 multiscala Dataflow misurazioni del rischio su cloud ibrido di data e ora 19:30 il Mercoledì 25 Gennaio, 2017 Registrazione volatilità istantanea di rendimento logaritmica in lognormale modello SABR frazionale è guidato dalla elevamento a potenza di un moto browniano frazionario correlato . A causa della natura mista di guidare browniano e moti browniani frazionari, densità di probabilità per tali modelli sono meno noto in letteratura. Presentiamo in questo discorso una rappresentazione ponte per la densità congiunta del modello SABR frazionale lognormale in uno spazio di Fourier. Valutare la rappresentazione ponte lungo un percorso deterministico adeguatamente scelto produce uno stile Edgeworth dell'espansione della densità di probabilità per il modello SABR frazionata. Una generalizzazione diretta della rappresentazione di densità congiunta a più volte porta ad una derivazione euristica delle grandi deviazioni principali per la densità congiunta in poco tempo. Ravvicinamento delle volatilità implicita è facilmente ottenuto applicando la formula asintotica Laplace per la chiamata o prezzi messi a confronto e coefficienti. La presentazione si basa su un lavoro congiunto con Jiro Akahori e Xiaoming canzone. Tai-Ho Wang detiene una cattedra di matematica al Baruch College, City University di New York dal 2012. La sua ricerca nel campo della finanza quantitativa comprende asintotica volatilità implicita in poco tempo, i limiti liberi di arbitraggio statico sulle opzioni di basket, la liquidazione ottimale ed esecuzione in modelli impatto sul mercato , e recentemente la dinamica di informazione nel mercato finanziario. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. IAQF-Thalesians Seminario (New York) 8212 Dr. Hongzhong Zhang 8212 Intraday Market Making, con spese di pernottamento inventario Giovedi, 14 dicembre, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione La quota di market making condotto da negoziazione ad alta frequenza (HFT) le imprese è stato in costante aumento. Una caratteristica distintiva di HFTs è che essi commercio intraday, terminando la giornata piatta. Per far luce su l'economia del HFTs, e in deroga esistenti teorie di market making, abbiamo modellare un HFT che ha accesso a illimitato intraday di leva, ma deve finanziare alcun inventario di fine giornata ad un costo esogenamente determinato. Anche se i costi di inventario si verificano solo alla fine della giornata, che influenzino prezzo e liquidità infragiornaliera dinamiche. Questo dà luogo a un meccanismo di impatto prezzo endogena intraday. Col passare del tempo si avvicina alla fine della giornata di negoziazione, la sensibilità dei prezzi a livelli di inventario si intensifica, rendendo l'impatto dei prezzi più forte e allargamento spread denaro-lettera. Inoltre, lo squilibrio di ordini di compravendita può catalizzare escursioni e gocce di prezzi, anche in funzione della domanda e dell'offerta fissi. Empiricamente, abbiamo dimostrato che queste previsioni sono confermate nel mercato statunitense del Tesoro, dove gli spread bid-ask e l'impatto dei prezzi tendono a salire verso la fine della giornata. Inoltre, i movimenti dei prezzi sono negativamente correlati con cambiamenti nei livelli di inventario, come misurato dal volume degli scambi netto cumulato. (Lavoro congiunto con Tobias Adrian, Agostino Capponi, ed Erik Vogt) Hongzhong Zhang è un assistente professore alla Columbia University. La sua ricerca si concentra sulla vasta area di probabilità applicato con applicazioni in ingegneria, finanza e assicurazioni. In particolare, alcuni dei suoi attuali interessi di ricerca includono asintotica, prelievi, fermandosi ottimale, e la rilevazione di cambiamenti di regime. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Xmas Party (Londra) 8212 Iain Clark 8212 distribuzioni implicite da FX risk-Ristorni e previsioni per l'effetto della Brexit voto e l'elezione Trump Vorremmo invitarvi al nostro seminario Thalesians Natale a Londra, dove Iain Clark presenterà questa sarà seguita da nostra festa di Natale presso il Bar in GampTea l'hotel, Canary Wharf, dove saremo serve bevande e tartine. Il prezzo del biglietto include sia il parlare e il partito (prime bevande tartine). La selezione canape includerà alcuni dei seguenti: melanzane e hallumi avvolgono Brie e prosciutto di Parma Crudits brioche dito e hummus vetri di colpo aperto volto affumicato Bagel salmone mini hamburger di agnello samosa involtini primavera di gamberi conchiglie di patate data e ora 19:30 il Lunedi 12 Dicembre 2016 camera Ginger, seguito da tartine bevande amp a GampTea Bar, Marriott hotel, Canary Wharf, Londra, UK, Meetup di maggio 2016 è stato notato, in mezzo al pubblico QampA dopo una presentazione da parte del diffusore, che risk reversal GBPUSD sono stati espone molto insolito comportamento - vale a dire, estrema inclinazione in tenori brevi 'datato, ma sorrisi relativamente piatte in seguito. Si tratta di una firma di volatilità più insolito e il collegamento con l'imminente voto Brexit referendum è stato immediatamente fatto. L'oratore, come una questione di urgenza, data la natura di attualità del mercato pre-Brexit, eseguita un'analisi con il suo co-autore distribuzioni implicite per le aspettative del mercato per GBPUSD intorno alla data del referendum (23 giugno 2016), con le previsioni per punto da allora in poi. Il documento è stato caricato a SSRN (ssrnabstract2794888) il 13 giugno, in cui abbiamo identificato l'evidenza empirica nel skew di volatilità per una caduta in GBPUSD da 1,4390 alla gamma 1,10-1,30 in caso di un voto Leave - un movimento verso il basso del 0,14 per 0.34. L'analisi, insolitamente per la ricerca Quant, ha ricevuto una copertura nel FT e la Domenica Telegraph e in effetti le nostre previsioni sono state confermata quando il risultato del referendum è stato annunciato e la sterlina è sceso 1,50-1,33 - un movimento verso il basso del 0,17 - in una questione di ore. A seguito di questa analisi, abbiamo applicato i metodi simili a quelli del peso messicano citato rispetto al dollaro (USDMXN) immediatamente prima delle elezioni 2016 Stati Uniti e siamo stati in grado di prevedere svalutazione del peso in una gamma di 20-24 pesos al dollaro nel caso di vittoria Trump, che è stata confermata dagli eventi successivi. In questo discorso voglio passare attraverso la nostra analisi delle informazioni incorporate nel skew volatilità e la base per la nostra analisi predittiva. Iain J. Clark (MIMA cmath, MInstP CPhys, CStat, FRAS) ha oltre 14 anni di esperienza come Quant front office. Ha lavorato come capo della FX e materie prime analisi quantitativa a Standard Bank, come Capo della FX analisi quantitativa a Unicredit e alla Dresdner Kleinwort, ed a Lehman Brothers, BNP Paribas e JP Morgan. Iain ha un dottorato in matematica applicata da Queensland University e un Master in matematica finanziaria da Edimburgo e Heriot-Watt Università. I suoi principali interessi di ricerca sono opzioni esotiche, modelli stocastici per FX e materie prime, e metodi numerici per option pricing. Egli è un frequente contributore a conferenze di settore, corsi di formazione e relatore invitato in diverse università. Il suo primo libro Foreign Exchange di valutazione delle opzioni: Una guida praticanti è stato pubblicato nel novembre 2010 da Wiley Finanza e la sua seconda valutazione delle opzioni libro Commodity: Una guida praticanti è dovuto comparire nei primi mesi del 2014 (anche con Wiley Finance). Thalesians Seminario (Londra) 8212 Vlasios Voudouris 8212 machine learning flessibile per la finanza di data e ora 19:30 di Mercoledì 23 novembre 2016 in camera Ginger, il Marriott Hotel, Canary Wharf, Londra, UK. Meetup Con i cambiamenti rapidi progressi della tecnologia e la grande età dei dati di calcolo, il campo della scienza dei dati è costantemente in discussione. scienziati dati compito è quello di dare un senso alle grandi quantità di dati: per estrarre modelli e tendenze importanti, e capire quello che dice i dati. Le sfide nella possibilità di imparare i dati hanno portato a una rivoluzione nelle tecniche di apprendimento automatico. La suite di strumenti di GAMLSS nel nostro tentativo di imparare dai dati finanziari. GAMLSS è ora ampiamente utilizzato per l'analisi predittiva e la quantificazione del rischio (ad esempio, loss given default). A causa della flessibilità dei modelli GAMLSS, possiamo catturare le caratteristiche seguenti dati: Le caratteristiche pesanti dalla coda o chiari dalla coda della distribuzione dei dati. Ciò significa che la probabilità di eventi rari (per esempio un valore outlier) si verifica con probabilità maggiore o minore rispetto alla distribuzione normale. Inoltre, la probabilità di occorrenza di un valore anomalo potrebbe cambiare in funzione dei valori esplicativi. L'asimmetria della variabile di risposta, che potrebbe variare in funzione delle variabili esplicative. La relazione non lineare o liscia tra la variabile di destinazione e le variabili explanatorypredictor. Basato sul nostro libro regressione flessibile e Smoothing: Utilizzando GAMLSS in R, il discorso comprende un gran numero di esempi pratici (ad esempio le previsioni e la quantificazione del rischio) che riflettono la gamma di problemi affrontati da modelli GAMLSS. Questo significa anche che gli esempi forniscono una illustrazione pratica del processo di utilizzo di modelli GAMLSS per apprendimento automatico. Vlasios Voudouris è uno scienziato di dati con esperienza in analisi predittiva data-driven e quantificazione del rischio dei mercati finanziari. Il suo obiettivo primario è la ricerca su i) modelli di apprendimento automatico semi-parametriche ii) processi di selezione modello innovativo e iii) la diagnostica robuste per il trading sistematico e quantificazione del rischio. Egli è il co-autore del libro di regressione flessibile e Smoothing: Utilizzando GAMLSS in R e il software associato in R e Java. (Modelli additivi generalizzati per Location scala e forma) GAMLSS tratta di imparare dai dati che utilizzano semi-parametrico supervisionato algoritmi di apprendimento automatico. Inoltre, Vlasios sviluppato data-driven modelli basati su agenti per scenari di test di stress (con l'accento sulla mercati delle materie prime). I suoi modelli e strumenti sono utilizzati da una serie di organizzazioni. A titolo di due esempi specifici: 1) il FMI utilizzato GAMLSS per lo stress test del sistema finanziario degli Stati Uniti 2) Vlasios ei suoi colleghi hanno dimostrato una serie di modelli GAMLSS per la Banca d'Inghilterra (BoE). Utilizzando GAMLSS, Vlasios ha sviluppato un modello di trading sistematico per WTI Crude Oil (NYMEX). Vlasios ha conseguito un Ph. D. dalla Città, Università di Londra. IAQF-Thalesians Seminario (New York) 8212 Dr. Michael Imerman 8212 Approfondimenti da un'analisi Data-Driven del Volatility Risk Premium Giovedi, 17 novembre, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione Gran parte di questo discorso verrà dal lavoro congiunto che ho fatto con Jianqing Ventilatore a Princeton e Wei Dai ora a Dimensional Fund Advisors. Abbiamo deciso di fornire un'analisi puramente basata sui dati del premio per il rischio di volatilità, utilizzando strumenti di finanza ad alta frequenza e l'analisi dei Big Data. Noi sosteniamo che il premio per il rischio di volatilità, genericamente definito come la differenza tra la volatilità realizzata e implicita, può essere meglio compresa se visto come un bias valutato sistematicamente. Per prima cosa usiamo ultra-alta frequenza dei dati di transazione su SPDRs e un nuovo approccio per la stima della volatilità integrata sul dominio della frequenza per calcolare volatilità realizzata. Da che sottraiamo il VIX quotidiano, la nostra misura della volatilità implicita, per la costruzione di una serie storica del premio per il rischio di volatilità. Per identificare i fattori dietro il premio per il rischio di volatilità come un bias prezzo scomponiamo in grandezza e la direzione. Troviamo prove convincenti che l'entità della deviazione della volatilità realizzata dalla volatilità implicita rappresenta l'offerta e gli squilibri della domanda nel mercato per la copertura del rischio di coda. E 'difficile accettare definitivamente l'ipotesi che la direzione o il segno del premio per il rischio di volatilità riflette le aspettative circa i futuri livelli di volatilità. Tuttavia, l'evidenza supporta l'ipotesi che il segno del premio per il rischio di volatilità è indicativo di utili o perdite su un portafoglio di delta-copertura coerente con Bakshi e Kapadia (2003). Come qualcuno che è venuto da un background di modellazione finanziaria, ma ha sviluppato una predilezione per la scienza e l'analisi dei dati, io passare un po 'di tempo alla fine del mio discorso sui miei pensieri su come la scienza dei dati viene abbracciato (in un certo senso, e evitato in altri) da parte della comunità di finanza quantitativa. Michael B. Imerman è il Distinguished Professor Theodore A. Lauer degli investimenti e Assistant Professor presso il Dipartimento delle Finanze Perella alla Lehigh University. Dr. Imermans appuntamenti precedenti erano a Princeton nel Dipartimento Orfe e Rutgers Business School, da dove ha conseguito il dottorato di ricerca Prima di venire al mondo accademico, Imerman ha lavorato come analista presso Lehman Brothers sostenere le alte grado di credito e di credito trading desk derivato. A Lehigh, il professor Imerman insegna Derivati ​​e Risk Management, sia a livello universitari e laureati. La sua area di ricerca primario è in rischio di modellazione di credito con le applicazioni al settore bancario, la gestione del rischio, e la regolamentazione finanziaria. Più di recente è stato attivamente coinvolto nella integrazione di tecniche di scienze dati nella valutazione del rischio nel mercato dei mutui cartolarizzati. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Prof David Hand 8212 l'improbabilità Principio: Perché coincidenze, Miracoli, ed eventi rari capita tutti i giorni di data e ora Venditori registrazione di variance swap guadagnano variabili nel tempo premi per il rischio per la loro esposizione alla varianza realizzata, il livello della varianza tassi swap, e la pendenza della curva di varianza di swap. Per misurare il premio a termine varianza, si stima un modello termine-struttura dinamica che i prezzi variance swap attraverso gli Stati Uniti, Regno Unito, Europa e Giappone. Il modello si decompone alla curva swap di varianza in termine-strutture di premi al rischio e le quantità attese di rischio. Empiricamente, documentiamo una forte struttura fattore di tassi swap di varianza globali e scoprire che termine varianza premi sono negativamente correlati con la ricchezza del settore intermediario finanziario. I nostri risultati supportano l'ipotesi che gli intermediari finanziari sono l'investitore marginale nel mercato della varianza swap. Erik Vogt è un economista finanziario nella funzione Capital Markets della Federal Reserve Bank di New York. I suoi principali interessi di ricerca sono in asset pricing, econometria finanziaria, la volatilità e il rischio di liquidità, e dei dati ad alta frequenza attraverso una varietà di classi di attività, tra cui azioni, titoli del Tesoro, derivati ​​e obbligazioni societarie. Le sue ricerche sulla liquidità del mercato e broker-dealer ha ricevuto copertura mediatica a Bloomberg, Reuters e Yahoo Finance, tra gli altri, ed è stato anche citato in Senato degli Stati Uniti testimonianza davanti alla sottocommissione per titoli, assicurazioni e investimenti, e la sottocommissione per la politica economica , commissione bancaria, Housing, e dell'Urbanistica. Erik serve attivamente come arbitro per diverse riviste, tra cui la Review of Financial Studies, Journal of Econometrics, Journal of Empirical Finance, il Journal of Econometrics finanziaria e finanza quantitativa. Erik si è unito Fed di New York nel luglio 2014 e ha conseguito un Ph. D. e M. A. in Economia presso la Duke University e una Laurea in Matematica ed Economia presso la London School of Economics. Prima della scuola di specializzazione, ha lavorato come economista Associato presso la Federal Reserve Bank di Chicago. IAQF-Thalesians Seminari Il IAQF-Thalesians Seminar Series è uno sforzo congiunto da parte della IAQF (ex IAFE) e le Thalesians. L'obiettivo della serie è quello di fornire un forum per lo scambio di nuove idee e risultati relativi al campo della finanza quantitativa. Questo obiettivo si realizza seminari di hosting dove professionisti leader e accademici presenti nuovo lavoro, e seguito seminari con un ricevimento per agevolare ulteriormente l'interazione e discussione. La serie di seminari è limitata ai soli membri IAQF e Thalesians. Thalesians Seminario (Londra) 8212 Nick Baltas 8212 Multi-Asset Carry strategie di data e ora 19:30 di Mercoledì 28 Settembre 2016 in camera Ginger, il Marriott Hotel, Canary Wharf, Londra, UK. strategie di carry Meetup sono state principalmente studiate ed esplorato all'interno dei mercati valutari, dove, contrariamente a parità di tasso di interesse scoperto, prendendo in prestito da un paese a basso tasso di interesse e investire in un paese ad alto tasso di interesse storicamente ha consegnato rendimenti positivi e statisticamente significativi. Questa presentazione estende la nozione di portare a diverse classi di attività, cercando in mercati a termine delle materie prime, indici azionari e titoli di stato. Esploriamo la redditività delle varianti trasversali e serie temporali della strategia di carry all'interno di ogni classe di attivi, ma soprattutto indaghiamo i vantaggi di costruzione di una strategia di carry multi-asset dopo correttamente la contabilità per la struttura di covarianza di tutto l'universo. Nick Baltas è un direttore esecutivo del gruppo globale Quantitative Research presso UBS. I suoi interessi di ricerca includono le strategie sistematica multi-asset, costruzione del portafoglio, analisi dei rischi e la valutazione delle prestazioni. Nick si è unito UBS nel febbraio 2013 e da allora ha inoltre mantiene la visita delle cariche accademiche a Imperial College Business School e Queen Mary University di Londra. La sua ricerca è stata premiata con numerose borse di studio e premi e citato dalla stampa finanziaria. Prima del suo ruolo attuale, Nick trascorso due anni come docente di Finanza presso l'Imperial College Business School, quando ha ricevuto la Stella Maestro del premio di anno per entrambi gli anni in riconoscimento del suo insegnamento, e quasi un anno come risk manager in una Londra hedge fund azionari based. Ha conseguito un Deng in ingegneria elettrica e informatica presso l'Università Tecnica Nazionale di Atene, un Master in elaborazione dei segnali amp comunicazioni da Imperial College di Londra e un dottorato in finanza presso l'Imperial College Business School. IAQF-Thalesians Seminario (New York) 8212 Dr. Arun Verma 8212 arbitraggio statistico utilizzando notizie e sentimento sociale basato strategie di trading quant Giovedi, settembre 15, 2016: NYU Kimmel Center. Camera 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registrazione Per scoprire il valore incorporato in News amp dati Sentiment sociale, costruiamo tre tipi di strategie di trading azionario sulla base dei dati sentimento e mostrano che le strategie basate sul sentimento sovraperformare il corrispondente indici di riferimento in modo significativo. Arun Verma è entrato nel gruppo Bloomberg Quantitative Research nel 2003. Prima di questo, ha conseguito il dottorato di ricerca presso la Cornell University nel amplificatore informatica matematica applicata. A Bloomberg, il lavoro Dr. Vermas inizialmente focalizzata su modelli a volatilità stocastica per derivati ​​EquityFX e prezzi Esotici, per esempio Arbitrage free Volatility interpolation, Variance Swaps and VIX FuturesOptions pricing and Cross Currency Volatility Surface construction. More recently, he has enjoyed working at the intersection of such areas as data science, innovative quantitative techniques and interactive visualizations for help reveal embedded signals in financial data, e. g. building quant trading strategies for statistical arbitrage. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Scott Cogswell 8212 Initial Margin Model and Regulation for Uncleared Derivatives Date and Time 7:30 p. m. on Wednesday 20th July 2016 Meetup Deep Learning has experienced explosive growth over the last few years with applications in diverse areas such as biomedicine, language processing and self-driving cars. The goal of this talk is to give an introduction to Deep Learning from the perspective of learning patterns in sequences, with an emphasis on understanding the core principles behind the algorithms. We will review the latest advances in Recurrent Neural Networks and discuss applications of RNNs to learning patterns in market data. Steve Hutt is a consultant in Deep Learning and Financial Risk, currently working for CME Group. He has previously been head quant for credit at UBS and Morgan Stanley, and before that a mathematician doing stuff in an obscure branch of topology. IAQF-Thalesians Seminar (New York) 8212 Dr. Tobias Adrian 8212 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds Thursday, June 16, 2015: NYU Kimmel Center. Room 905907, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories where the time variation of the price of risk is a function of the level of the VIX. Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of Research and Statistics Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Feds financial stability policy and to its monetary policy briefings. Tobias Adrian holds a Ph. D. from MIT and a MSc from LSE. He has taught at MIT, Princeton University, and NYU. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (Zurich) 8212 Felix Zumstein - Python in Quantitative Finance Date and Time 7:00 p. m. on Thursday, 9 June, 2016 Examining the electronic trading business from a practitioners perspective. This business has undergone many changes in recent years due to the emergence of new hardware and software products, the development of new quantitative and computational techniques, and changes in market structure and regulations. A market maker needs to be agile in order to remain competitive. This synoptic talk briefly considers the various factors that come into a market makers business calculus. Paul A. Bilokon is Director at Deutsche Bank, where he runs the global credit and core quant teams, part of Markets Electronic Trading (MET) group. He is one of the pioneers of electronic trading in credit, including indices, single names, and cash, and has worked in e-trading, derivatives pricing, and quantitative finance at bulge bracket institutions, including Morgan Stanley, Lehman Brothers, Nomura, and Citigroup. His more than a decade-long career spans many asset classes: equities, FX spot and options, rates and credit. Paul was educated at Christ Church, Oxford, and Imperial College. The domain-theoretic framework for continuous-time stochastic processes, developed with Prof. Abbas Edalat, earned him a PhD degree and a prestigious LICS paper. Pauls other academic interests include stochastic filtering and machine learning. He is an expert developer in C, Java, Python, and kdbq, with a special interest in high performance scientific computing. His interests in philosophy and finance led him to formulate the vision for and found Thalesians, a think tank of dedicated professionals working in quant finance, economics, mathematics, physics and computer science, the focal point of a community with over 1,500 members worldwide. He serves as its CEO, and runs it with two of his friends and colleagues, Saeed Amen and Matthew Dixon, as fellow Directors. Dr. Bilokon is a joint winner of the Donald Davis Prize (2005), winner of the British Computing Society Award for the Student Making the Best Use of IT (World Leadership Forums SET award, 2005), Ward Foley Memorial Scholarship (2001), two University of London High Achiever Awards (in mathematics and physics, 1999) a Member of the British Computer Society, Institution of Engineering and Technology, and European Complex Systems Society Associate of the Securities and Investment Institute, and Royal College of Science and a frequent speaker at premier conferences such as Global Derivatives, alphascope, LICS, and Domains. IAQF-Thalesians Seminar (New York) 8212 Dr. Luis Seco 8212 Hedge funds: are negative fees in the horizon An option pricing perspective Thursday, May 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The growth of the hedge fund sector is creating a difficult environment for start-ups, which is creating a climate that favors innovative fee structures. In this talk we will review some of them, and will propose a costbenefit analysis using Black-Scholes option pricing which will show that in some situations, the manager will pay the investor. Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis amp Management, an asset management firm that provides hedge fund investment products that employ managed account structures to obtain unique transparency, analytics and liquidity services. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. ThalesiansQuant Finance Group Germany (Frankfurt) 8212 Thomas Wiecki 8212 Predicting out-of-sample performance and building multi-strategy portfolios using Random Forests Date and Time 7:30 p. m. on Wednesday 11th May 2016 PPI AG Office, Wilhelm-Leuschner-Strae 79, Frankfurt Am Main Meetup FREE event, kindly hosted by PPI Thanks for Jochen Papenbrock and Adrian Zymolka for organising and for PPI for hosting. The question of how predictive a backtest is of out-of-sample performance is at the heart of algorithmic trading. Using a unique dataset of 888 algorithmic trading strategies developed and backtested on the Quantopian platform with at least 6 months of out-of-sample performance, we study the prevalence and impact of backtest overfitting. Specifically, we find that commonly reported backtest evaluation metrics like the Sharpe ratio offer little value in predicting out of sample performance (R lt 0.025). However, we show that by training a Random Forest regressor on a variety of features that describe backtest behavior, out-of-sample performance can be predicted at a much higher accuracy (R 0.17) on hold-out data compared to using linear, univariate features. We then show that we can construct a multi-strategy portfolio based on predictions by the Random Forest which performed significantly better out-of-sample than other alternatives. Thomas Wiecki is the Data Science Lead at Quantopian focusing Bayesian models to evaluate trading algorithms. Previously, he was a Quantitative Researcher at Quantopian developing an open-source trading simulator as well as optimization methods for trading algorithms. Thomas holds a PhD from Brown University. Global Derivatives (Budapest - External Event) 8212 Speakers including Carr amp Hull 8212 Trading and risk management Thalesians Workshop Date and Time 9th - 13th May, 2016 Hotel Intercontinental, Budapest, Hungary To sign up You can register for this event and pay online at the Global Derivatives Europe website: icbi-derivativesFKN2466TH - Members of the Thalesians receive a 15 discount (click on the link to activate) The Worlds Largest Quant Finance Conference Join 500 Quants amp Traders From Around The World Over 130 Sessions Covering 5 Full Days Of Content 120 Expert Speakers Buy-Side Summit: Quantitative Investment amp Portfolio Strategies Fintech amp Disruptive Innovation Summit Unmissable speakers for 2016 Peter Carr, Global Head of Market Modelling, Morgan Stanley John Hull, Professor Of Derivatives amp Risk Management, University of Toronto Zoltan Eisler, Co-Head of Execution, Capital Fund Management Fabrizio Anfuso, Head of Collateralized Exposure Modelling, Credit Suisse Thalesians Workshop on ElectronicSystematic Trading at Global Derivatives The Thalesians will be running a workshop at Global Derivatives, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. Topics to be discussed include market microstructure and an interactive Python session on systematic trading strategies. Introduction to algorithmic trading and market microstructure models Foundations of linear filtering with applications Foundations of nonlinear filtering with applications How can we define beta in FX and how can we make it smarter Trading with Big Data: Creating systematic trading strategies in FX and fixed income, using new forms of data, with a focus on central bank communications, alpha capture amp news analytics Trading Strategy Focus: How to build a CTAtrend following fund Python amp PyThalesians: Going from systematic trading ideas to backtesting in Python (with tutorial) Author Talk: Trading Thalesians What the ancient world can teach us about trading today (Palgrave Macmillan) External: Emerging Quant Managers (Chicago) 8212 Euan Sinclair 8212 Systematic Vol Trading Date and Time 3:30 p. m. on Friday 6th May 2016 In this talk, we investigate whether we can improve the risk adjusted returns of a traditional, directional (CTA style) trend following strategy by employing systematic option trading strategies. We shall be looking at several markets including FX and equities. Jacob Bartram has extensive experience in trading at both banks and hedge funds. His background includes FX option and volatility trading, along with trading system design and development. He has presented at numerous industry conferences, including Global Derivatives and TradeTech FX. IAQF-Thalesians Seminar (New York) 8212 Dr. Lawrence R. Glosten 8212 Strategic Foundation for the Tail Expectation in Limit Order Book Markets Thursday, April 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration We analyze the strategic interactions of liquidity suppliers quoting on a limit order book. In an environment with noise traders and informed traders trading on news we show that there is an equilibrium that feature quoters using mixed strategies each offering the same quantity of shares at random prices (and, of course, random bid prices). These random prices with the associated quantities form the market quotes and the depth of book, or price schedule. There are equilibria with a smaller number of quoters quoting a larger number of shares and equilibria with a larger number of quoters quoting a smaller number of shares. Considering a sequence of equilibria with the number of quoters getting large, we establish that the stochastic equilibrium price schedule converges to the zero profit deterministic competitive price schedule. An offer (or bid) is characterized as the expectation of the future value conditional on the offer being picked off by a larger buy (or sell) order. Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before which he taught at the Kellogg Graduate School of Management at Northwestern University, and has held visiting appointments at the University of Chicago and the University of Minnesota. He has published articles on the microstructure and industrial organization of securities markets the relationship between venture capitalists and entrepreneurs evaluating the performance of portfolio managers asset pricing and more recently exploration of the law and economics of capital market regulation. His work on electronic exchanges in the Journal of Finance won a Smith Breeden Distinguished Paper Prize. He has served as an editor of the Review of Financial Studies, associate editor of the Journal of Finance and serves on several other editorial boards. He has been a consultant for the New York Stock Exchange, Justice Department, and SEC and has served on the NASDAQ Economic Advisory Board. He received his AB from Occidental College (1973) and his Ph. D. in managerial economics from Northwestern University (1980). IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robin Hanson 8212 Economics when robots rule the Earth (Book) Date and Time 7:30 p. m. on Monday, 21 March, 2016 Level39, One Canada Square, Canary Wharf, London, E14, UK Meetup FREE event - kindly sponsored by the Level39 - fintech accelerator - level39.co Full title: The Age of Em: Work, Love and Life when Robots Rule the Earth (Amazon pre-order book here ) Robots may one day rule the world, but what is a robot-ruled Earth like Many think the first truly smart robots will be brain emulations or ems. Scan a human brain, then run a model with the same connections on a fast computer, and you have a robot brain, but recognizably human. Train an em to do some job and copy it a million times: an army of workers is at your disposal. When they can be made cheaply, within perhaps a century, ems will displace humans in most jobs. In this new economic era, the world economy may double in size every few weeks. Some say we cant know the future, especially following such a disruptive new technology, but Professor Robin Hanson sets out to prove them wrong. Applying decades of expertise in physics, computer science, and economics, he uses standard theories to paint a detailed picture of a world dominated by ems. While human lives dont change greatly in the em era, em lives are as different from ours as our lives are from those of our farmer and forager ancestors. Ems make us question common assumptions of moral progress, because they reject many of the values we hold dear. Read about em mind speeds, body sizes, job training and career paths, energy use and cooling infrastructure, virtual reality, aging and retirement, death and immortality, security, wealth inequality, religion, teleportation, identity, cities, politics, law, war, status, friendship and love. This book shows you just how strange your descendants may be, though ems are no stranger than we would appear to our ancestors. To most ems, it seems good to be an em. Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. MathFinance 2016 (Frankfurt - External Event) 8212 Speakers including Wystup amp Dupire 8212 Quant event Date and Time 21-22st March 2016 Frankfurt School of Finance amp Management To sign up You can find out more about this event and register and pay online at the MathFinance website: mathfinanceconference. html In the past 16 years the MathFinance Conference became to one of the top quant events tailored to the European Finance Community. The conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics or finance in general. The Conference talks are given by both industry experts and top academics. A wide range of subjects is covered, from state-of-the-art approaches to key issues faced in industry and academia to IT implementation and pricing software. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. Many speakers who have also spoken at the Thalesians will be speaking, including Uwe Wystup and Attilio Meucci. Many other well known figures such as Bruno Dupire will also be addressing the conference. IAQF-Thalesians Seminar (New York) 8212 Dr. Alexander Lipton 8212 Modern Monetary Circuit Theory Tuesday, March 15, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. Both the Chicago Plan and the Free Banking Proposal are discussed. It is shown how in the process of money creation, banks become naturally interconnected. A novel Extended Structural Default Model describing the stability of the Interconnected Banking Network is proposed. The purpose of bank capital and liquidity is explained. A multi-period constrained optimization problem for a banks balance sheet is formulated and solved in a simple case. Both theoretical and practical aspects are covered. Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, Visiting Professor of Quantitative Finance at University of Oxford and Advisory Board member at the Oxford-Man Institute. Prior to his current role, he was a Managing Director, Co-head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Earlier, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. Liptons interests encompass all aspects of financial engineering, including large-scale bank balance sheet modeling and optimization, enterprise-wide holistic risk management and stress testing, CCPs, electronic trading, trading strategies, payment systems, theory of monetary circuit, as well as hydrodynamics, magnetohydrodynamics, and astrophysics. Lipton authored two books, and edited five books, including, most recently, Risk Quant of the Year Award, Risk Books, London, 2014, and The Oxford Handbook of Credit Derivatives, Oxford University Press, Oxford, 2011 (with Andrew Rennie). He published more than a hundred scientific papers on a variety of topics in applied mathematics and financial engineering. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Prof Jessica James 8212 FX Option Trading (Book) Date and Time 7:30 p. m. on Monday, 29 February, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Full title: FX Option Performance - An Analysis of the Value Delivered by FX Options Since the Start of the Market (The Wiley Finance Series) (Amazon book order here ) Get the little known yet crucial facts about FX options Daily turnover in FX options is an estimated U. S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesnt On average, do options result in profit, loss, or breaking even How can corporations more costeffectively hedge their exposure to emerging markets Are cheap outofthemoney options worth it Professor Jessica James is Senior Quantitative Researcher at Commerzbank in London. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), and Currency Management (Risk books). Her new book FX Option Performance was published in May 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board. IAQF-Thalesians Seminar (New York) 8212 Dr. Harry Mamaysky 8212 Does Unusual News Forecast Market Stress Meetup How to build a CTA - Creating a trend following fund (Saeed Amen) - In this talk we explain how to create trend following strategies which CTA-style funds typically follow. We shall also give a step by step demo of implementing an FX trend following strategy in PyThalesians - open source Python library for analysing markets - githubthalesianspythalesians Pair trading strategies (Delaney Granizo-Mackenzie) - Pairs trading is a form of mean reversion that has a distinct advantage in always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. Delaney Granizo-Mackenzie will review some general principles for pairs trading, and then dive into the statistics behind the strategy during this talk. What is cointegration How to test for cointegration What is pairs trading How to find cointegrated pairs How to generate a tradeable signal This talk is part of The Quantopian Lecture Series. All lecture materials can be found at: quantopianlectures. Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Delaney Granizo-Mackenzie is an engineer at Quantopian who focuses on how Quantopian can be used as a teaching tool. After studying computer science at Princeton, Delaney joined Quantopian in 2014. Since then he has led successful course integrations at MIT Sloan and Stanford, and is working with over 20 courses for this fall. Delaney is using his experience and feedback from professors to build a quantitative finance curriculum focusing on best statistical practices to be offered for free. Delaneys background includes 7 years of academic research at a bioinformatics lab, and a strong focus on statistics and machine learning. Thalesians Sance (Budapest) 8212 Robin Hanson amp Panel 8212 Economics when robots rule the Earth A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 29th January, 2016 7:00 p. m. - Welcome drinks, 8:00 p. m. - Robin Hanson presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 8th Thalesians Sance, Robin Hanson will present us a thought experiment about the life and economics of our society after the singularity. Robin is the author of the Age of Em - Work, Love and Life when Robots Rule the Earth (ageofem ). Members of the panel: - Attila Agod - Mark Horvath (Causality) - Saeed Amen (The Thalesians) Robin Dale Hanson is an associate professor of economics at George Mason University and a research associate at the Future of Humanity Institute of Oxford University. He is known as an expert on idea futures and markets, and he was involved in the creation of the Foresight Exchange and DARPAs FutureMAP project. He invented market scoring rules like LMSR (Logarithmic Market Scoring Rule)used by prediction markets such as Consensus Point (where Hanson is Chief Scientist), and has conducted research on signaling. Thalesians Seminar (London) 8212 Nick Firoozye 8212 Managing Uncertainty, Mitigating Risk (Book) Date and Time 7:30 p. m. on Wednesday, 20 January, 2016 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. Nick Firoozye is a Managing Director at Nomura International and heads a global team in cross-product derivatives research. He has many years of experience in a variety of research and trading roles in both buy-side and sell-side firms including Goldman Sachs, Deutsche Bank, Citadel, Sanford Bernstein and Lehman Brothers. Known for his work in Quantitative Strategy, Nicks area of expertise ranges from asset allocation models and macro-financial forecasting to systematic and RV trading. Previously, he was Head of European Rates Strategy, and covered the Eurozone crisis, rescue packages and possible break-up, working closely with the risk management and legal teams. Dr Firoozye was an Assistant Professor at the University of Illinois, and holds a PhD in Applied Mathematics from Courant Institute, New York University. He speaks and writes frequently on financial markets and economics issues. His team was recently awarded Global Capitals Derivatives Research House of 2015, and he was co-author of one of five papers shortlisted for the 2012 Wolfson Economics Prize on the breakup of the Eurozone. IAQF-Thalesians Seminar (New York) 8212 Dr. Nick Costanzino 8212 Pricing and Hedging Recovery Risk with Structural and Reduced Form Models Tuesday, January 12, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The fixed-income literature attempts to explain credit spreads though a decomposition into different risk premia. The most commonly analyzed risk premia are default and liquidity risk. Recovery risk has not received much attention most likely because of the pervasive practice of assuming constant recovery in most credit models. However, assuming a constant recovery has two major effects. The first is we have inconsistent pricing (if recovery is a known constant, what is the price of a recovery swap) and the second is over - or underpricing the default risk portion of the credit spread. In this talk I will present recent work on isolating the recovery risk premium in corporate bond and CDS spreads using both structural and hazard rate models. This allows us to isolate the recovery risk premium from the default risk premium, as well as provide a consistent pricing framework for all recovery linked products including bonds, CDS and recovery swaps. Finally, we discuss some trading opportunities that can be exploited using framework. Nick Costanzino received his PhD in Applied Mathematics in 2006 from Brown University in Providence R. I. His thesis combined tools from pseudodifferential operators and dynamical systems to prove multidimensional stability of certain nonlinear wave structures in fluids. He later moved to the Penn State University Math Department as a Chowla Assistant Professor where he was introduced to quantitative finance and helped developed their Mathematical Finance program. After a brief tenure at Wilfrid Laurier University in Canada he then moved to the finance industry working in various credit roles including risk manager for the CDS and corporate bond trading desk at Scotiabank. He is interested in all areas of quantitative finance, but particularly those which lead to improvements in understanding the credit and equity markets. Nick is currently in the Investment Analytics group at AIG in New York and is a member of RiskLab at the University of Toronto. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. External (London) 8212 International Conference on Computational Finance (ICCF2015) University of Greenwich Date and Time Registration We present a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4 over the period 1950-2012. I then test whether the systematic risk () of IML is priced in a multi-factor CAPM. The model allows for a conditional of IML that rises with observable funding illiquidity and adverse market conditions. The conditional IML is positively and significantly priced, and remains so after controlling for the beta of illiquidity shocks. Yakov Amihud is Ira Rennert Professor of Entrepreneurial Finance at the Stern School of Business, New York University. He is the coauthor of Market Liquidity: Asset Pricing, Risk and Crises (Cambridge University Press, 2013). His research focuses on the effects of asset liquidity on value and expected return, and on the design and evaluation of securities markets trading methods. On these topics, Amihud has done consulting work for the NYSE, AMEX, CBOE, CBOT, and other securities markets. He has published more than seventy research articles in professional journals and in books, and edited and co-edited five books on topics such as LBOs, bank MampAs, international finance, and securities market design. His research also includes the evaluation of corporate financial policies, mergers and acquisitions, initial public offerings, objectives of corporate managers, dividend policy, and law and finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians SeminarXmas Dinner (London) 8212 Matthew Dixon 8212 Machine Learning in Trading: Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi Date and Time 6.30p. m. on Monday, 14 December, 2015 La Tasca, West India Quay, Canary Wharf, London E14 4AE Meetup Talk amp Dinner We invite you to our 2015 Thalesians LDN Xmas seminar amp dinner by Matthew Dixon on Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi followed by dinner at La Tasca in Canary Wharf. The presentation begins at 6.30pm, followed by dinner at 7.30pm (menu below). On Arrival - A Glass of Sangra Tradicional To Start - Tabla Espanola (to share) - Traditional Spanish cured meats with mixed olives, Manchego cheese, bread and oil. Christmas Albndigas (Madrid) - Turkey amp pork meatballs, in a rich, sherry and cranberry sauce. Pulpo Gratin Y Queso GF (Galicia) - A medley of potatoes and octopus baked in a creamy lobster sauce and gratinated with Manchego cheese. Pollo Marbella GF (Malaga) - Chicken breast, cooked with chorizo in a white wine amp cream sauce. La Tasca House Green Salad GF V (Navarra) Patatas Bravas con Alioli (Espaa) - Fried potato, with spicy tomato sauce and roasted garlic mayonnaise. Paella de Carne GF (Valencia) - With chicken breast and chorizo. Paella Verduras GF V (Valencia) - With seasonal vegetables. To Finish - Churros - Doughnut twists, served with fresh strawberries and marshmallows, plus a rich chocolate sauce Deep neural networks (DNN) have demonstrated their power in areas such as vision (think Google image search) and speech recognition (think Siri). Some financial firms are beginning to apply these techniques to market data and other information important for trading and investing. But training DNNs (that is, setting them to work to develop models) is extremely compute intensive. In this talk, Matthew will describe a DNN model for predicting price movements from time series data, then explain techniques that enable this model to exploit the parallel computing capacity of the Intel Xeon Phi processor in conjunction with multi-core CPUs. Matthew Dixon is a Managing Director and Head of Americas at Thalesians Ltd. He is also an Assistant Professor of Finance in the Stuart Business School at the Illinois Institute of Technology. His research focuses on the application of advanced computational techniques to financial modeling and data analysis especially where high performance and scalability are critical for practical application. Matthews research is currently funded by Intel Corporation. He has contributed to the R package repository and published around twenty peer-reviewed technical articles. He has taught financial econometrics, derivatives, machine learning and text mining at the University of San Francisco and held visiting appointments in CSMath at Stanford University and UC Davis. Prior to joining academia, he has held industry appointments as a quant at banks such as Lehman Brothers, the Bank for International Settlements and fx Capital. He chairs the workshop on computational finance at the annual SuperComputing conference and serves on the program committee of HPC and on the editorial board of the Journal of Financial Innovation. Matthew holds a MEng in Civil Engineering from Imperial College London, a MSc in Parallel and Scientific Computation (with distinction) from the University of Reading, and a PhD in Applied Math from Imperial College London. He became a chartered financial risk manager in 2014. Thalesians Panel (London) 8212 CudmoreBurroughs amp more 8212 Global macro panel Registration The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the one-dimensional fractional partial differential equation method of Itkin, 2014 to the two - and three-dimensional cases. This method is unconditionally stable and of the second order of approximation in space and time in addition, for many popular Levy models it has linear complexity in each dimension. Marginal and joint survival probabilities for two and three banks with mutual liabilities are computed. The effects of mutual liabilities are discussed, and numerical examples are given to illustrate these effects. Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational molecular physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (London) 8212 Robert Carver 8212 Lessons from Systematic Trading Date and Time 7:30 p. m. on Wednesday, 21 October, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup Its my belief that successful systematic trading is not about finding some deep hidden source of alpha, but about avoiding stupid mistakes. In this talk I share some of the mistakes Ive made, and seen others make, whilst designing and managing systematic trading systems for both a multi billion hedge fund and a retail trading account. This is a wide ranging talk which provocatively questions many commonly held beliefs about the business of managing money systematically. Robert Carver is an independent systematic trader, and writer. He trades his own capital with a fully automated system of 40 futures markets, using a proprietary system written in python. Robert is the author of Systematic Trading, a forthcoming book to be published by Harriman House in October 2015. He regularly blogs on the subject of trading, finance and investment. Robert, who has bachelors and masters degrees in Economics, began his city career trading exotic derivative products for fx Capital. He then worked as a portfolio manager for AHL. one of the worlds largest systematic hedge funds before, during and after the global financial meltdown of 2008. Robert was responsible for the creation of AHLs fundamental cross asset global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. He retired from the industry in 2013. IAQF-Thalesians Seminar (New York) 8212 Dr. Dan Pirjol 8212 Can one price Eurodollar futures in the Black-Derman-Toy model Wednesday, October 14, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration Interest rates models with log-normally distributed rates in continuous time are known to display singular behavior. For example, Eurodollar futures prices are infinite in the Dothan and Black-Karasinski models, as shown in 1998 by Hogan and Weintraub. These singularities are usually assumed to disappear when the models are simulated in discrete time. Using a precise simulation of the BDT model, we demonstrate that this is true only for sufficiently low volatilities. Eurodollar futures prices explode for volatilities above a critical value. The explosion is due to contributions from a region in state space which corresponds to very large interest rates and is truncated off in usual simulation methods such as trees and finite difference methods. In the limit of a very small simulation time step the explosion appears for any volatility, and reproduces the Hogan-Weintraub singularity of the continuous time model. Dan Pirjol works in the Model Risk Group at JP Morgan, covering valuation models in commodities. Previously he was with Markit and Merrill Lynch in various roles in modeling and model risk, after doing research in theoretical high energy physics. He is interested in applications of methods from mathematical physics and probability to problems in mathematical finance. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Sance (Budapest) 8212 Taylor Spears amp Panel 8212 The Sociology of CVA A very special thanks to Attila Agod for organising this talk Our goal is to create a social convergence point for the quantitative financial professionals in Hungary with quarterly events Date and Time 7:00 p. m. on Fri 9th October, 2015 7:00 p. m. - Welcome drinks, 8:00 p. m. - Taylor Spears presentation 9:00 p. m. - Discussion panel 12.00 a. m. - Next pub Palack Borbr, Szent Gellrt sqr 3, Budapest Meetup At the 7th Thalesians Sance Taylor Spears from the Sociology Department of The University Edinburgh will introduce the evolution of Credit Valuation Adjustment (CVA) from a sociologists point of view. After Taylors talk a panel of practitioners will challenge his ideas. Members of the panel: - Andras Bohak (MSCI, Counterparty credit researcher) - Daniel Homolya (Mol Group, Financial risk management team lead) - Balazs Palosi-Nemeth (ING, Architect) - Gabor Salamon (Morgan Stanley, CVA team lead) Dr Taylor Spears is a research fellow in the Sociology of Financial Modelling at the School of Social and Political Science in the University of Edinburgh. Thalesians Seminar (New York) 8212 Creating trend following fund: How to build a CTA interactive Python PyThalesians demo Date and Time 6:00 p. m. on Thursday, 1 October, 2015 Shark Tank, Grind Broadway, 22nd Floor, 1412 Broadway, New York, NY Meetup In this talk, we shall be discussing CTAs and giving some background about the industry. We shall give a brief overview of the types of strategies CTAs use to trade markets, creating a generic proxy for a typical CTA fund. We shall also be discussing how CTA strategies can be used to improve the risk adjusted returns of long only equity and bond investors. Later, there will also be an interactive Python demo showing how to use the PyThalesians Python code library (partially open sourced on GitHub ). Amongst other things we shall investigate the properties of intraday FX volatility, where well be accessing live market data via Bloomberg and also creating customised plots using Matplotlib. Selected Bios Saeed is the founder of Cuemacro and is a co-founder of the Thalesians. Over the past decade, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. Independently, he is also a systematic FX trader, running a proprietary trading book trading liquid G10 FX, which has had a Sharpe ratio over 1.5 since 2013. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan). Thalesians Seminar (London) 8212 Stephen Pulman 8212 Multi-Dimensional Sentiment Analysis Date and Time 7:30 p. m. on Wednesday, 23 September, 2015 Ginger Room, Marriott Hotel, Canary Wharf, London, UK. Meetup All sentiment analysis systems can deliver positive negativeneutral classifications. But there are many other useful signals in text: emotion, intent, speculation, risk, etc. This talk will present a survey of the state of the art in recognising these other dimensions of sentiment in text and describe some practical applications in finance and elsewhere. Stephen Pulman is Professor of Computational Linguistics at the Department of Computer Science, Oxford University. He is a Professorial Fellow of Somerville College, Oxford, and a Fellow of the British Academy. He has also held visiting professorships at the Institut fr Maschinelle Sprachverarbeitung, University of Stuttgart and at Copenhagen Business School. He is a co-founder of TheySay Ltd. Previous positions include Professor of General Linguistics at Oxford University, Assistant Professor (Reader) at the University of Cambridge Computer Laboratory, and Director of SRI Internationals Cambridge. IAQF-Thalesians Seminar (New York) 8212 Dr. Agostino Capponi 8212 Arbitrage-Free Pricing of XVA Monday, September 21, 2015: NYU Kimmel Center. Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY Registration The recent financial crisis has highlighted the importance to account for counterparty risk and funding costs in the valuation of over-the-counter portfolios of derivatives. When managing their portfolios, traders face costs for maintaining the hedge of the position, posting collateral resources, and servicing their collateral requests. Due to the interdependencies between these operations, such costs cannot be separated and attributed to different business units (CVA, DVA and FVA desks). In this talk, we introduce a unified framework for computing the total costs, referred to as XVA, of an European style derivative transaction traded between two risky counterparties. We use no-arbitrage arguments to derive the nonlinear backward stochastic differential equations (BSDEs) associated with the portfolios which replicate long and short positions in the claim. This leads to defining buyers and sellers XVAs which in turn identify a no-arbitrage band. When borrowing and lending rates coincide, our framework recovers a generalized version of Piterbargs model. In this case, we provide a fully explicit expression for the uniquely determined price of XVA. When they differ, we derive the semi-linear partial differential equations (PDEs) associated with the non-linear BSDEs and show that they admit a unique classical solution. We use these solutions to conduct a numerical analysis showing high sensitivity of the no-arbitrage band and replicating strategies to funding spreads and collateral levels. Agostino Capponi is an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Institute for Data Science and Engineering. Agostino received his Master and Ph. D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. His main research interests are in the area of networks, with a special focus on systemic risk, contagion, and control. In the context of financial networks, the outcome of his research contributes to a better understanding of risk management practices, and to assess the impact of regulatory policies aimed at controlling financial markets. He has been awarded a grant from the Institute for New Economic Thinking for his research on dynamic contagion mechanisms. His work on systemic risk dynamics under central clearing done in collaboration with the Department of Treasury has obtained press coverage from major organizations such as Bloomberg and Reuters. His research has been published in top-tier journals of Financial Mathematics, Operations Research, and Engineering. His work has also been published in leading practitioner journals and invited book chapters. Agostino holds a world patent for a target tracking methodology in military networks. IAQF-Thalesians Seminars The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. 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. The seminar series is limited to IAQF and Thalesians members only. Thalesians Seminar (San Francisco) 8212 Steven Pav - Portfolio Inference and Portfolio Overfit Date and Time amp Schedule 6:00 p. m. on Thursday, 10 September, 2015 6pm: Reception in Julias Lounge 7pm: Talk in the Members Lounge 8pm: NetworkingOur Knowledge Financial Caps on Liability in Construction Contracts At a time when those in the construction industry are murmuring about green shoots and a possible upturn in activity, the terms of construction contracts and in particular the allocation of risk between parties are coming into sharp focus. There is a balance to be struck between the legitimate interests that contractors and consultants have in protecting their business and the employers expectations that it will have recourse to its construction team for mistakes. Where this balance sits between the parties will depend upon the sector, the project, and the financial climate. Given the margins construction firms are operating with, increasing numbers of claims and the growing influence of international organisations (who may own a growing number of consultancy firms and have a different approach to risk), when negotiating contracts, one of the points often discussed between parties is the inclusion of financial caps on liability in construction contracts and appointments. Points for Consideration The three aspects to consider with regards to a financial cap are: (i) the level, (ii) the basis (each and every claim or in the aggregate) and (iii) the exclusions. Often parties focus on the level of the cap whereas focusing on the basis and the exclusions may allow a compromise to be reached more quickly. Caps on liability may be expressed in different ways for example as a lump sum, as a multiple of fees or by reference to the level of PI insurance maintained. On this last point, an employer should be wary of this. If the relevant party fails to maintain its PI insurance or lowers the level then the level of the cap may diminish significantly. Parties often set a cap at the level of and on the same basis as the professional indemnity insurance to be maintained under the contract or appointment. Whilst this may be sensible it is worth reiterating that these are separate and distinct clauses. An obligation to maintain a certain level of professional indemnity insurance does not, in itself, act in any way to limit a partys liability. An employer may wish to exclude the following from the cap on liability: wilful default or abandonment, litigation costs and insurance monies. It may, for example, be more cost effective for a contractor to choose to walk away and pay the amount its liability is capped at than complete the project and face other losses. It should also be noted that liability for personal injury or death caused by negligence cannot be capped. It important to check whether a cap on liability covers all related contracts or whether it is stand alone. For example, if there is a cap in an appointment which is then re-stated in collateral warranties granted pursuant to the appointment, the granters may find that they are providing a fresh cap on liability to each counterparty (rather than there being one cap on liability that applies to the whole project). Current Market Practice Our experience of the current market is that engineering firms (in particular the larger practices) will often seek a financial cap on liability: often based upon a multiple of their fee (indeed this is envisaged in the Association of Consulting Engineers standard terms and conditions. Clients (and their funders) will generally resist this but may accept a cap on liability set at the level of, and importantly, on the same basis as the required professional indemnity insurance. Whilst it is understandable that consultants feel they should not be exposed to a huge liability for a modest fee, it is difficult to persuade a client that the party designing the foundations and structure of, for example, a 20million office building will have a maximum liability of, for example, 3million if it falls down. Obviously, it is not just engineers seeking caps on liability - other professions will also press for limitations on liability. Market practice for contractors will largely depend upon the sector: broadly speaking, contracts for construction projects based on SBCCJCT standard building contracts do not tend to include an overall cap on liability and the SBCCJCT standard building contracts only contain provision for express caps on liability in relation loss of use, loss of profit and other consequential losses flowing from design defects. Liquidated damages for delay may also act as a limit on liability for the contractor. For more complex projects (particularly large scale public sector projects or engineering and infrastructure projects), then it is more common see a an overall limit on liability at, for example, the Contract Price or a percentage of the Contract Price but subject to certain exclusions for example those mentioned above. The actual percentage is likely to depend upon the contract value and the contractors balance sheet: what can it bear The NEC3 contract for example has option X18 which contains an overall cap on liability subject to limited exclusions (e. g. liquidated damages, loss to the Employers property, which is a separate cap). Any limitation on liability should be carefully considered and assessed based on where the risks of the project lie and who is best placed to take responsibility for them, whether it is acceptable to cap or limit liability for any of those risks and, what insurances would best assist all parties from the effects of those risks if the worst should happen. Our lead story this week comes out of Australia. To get timber framing and larger timber building systems recognised, adopted and being used in Australia, FWPA has been leading the charge. They, with support from industry, undertook the research and then secured some significant changes for timber use in the National Construction Code. As weve reported, from 1 May this year, the NCC changes have enabled timber buildings of up to eight storeys to be constructed without the need for expensive alternative solutions to gain approval. Numerous high-rise timber buildings have been constructed (with many more on the drawing board), particularly around Melbourne and Sydney. Now, extension of the research and working actively with Australian builders, architects and engineers is going to be tackled with a commitment from the industry and Government of AU1.5 million over the next three years. Its going to fund a specialist team of design, engineering, construction and development specialists. Theyll be working alongside project teams to provide them with all of the necessary technical input for timber building systems. A pilot programme is being started in Melbourne with smaller activity initially, planned in and around Brisbane. Instead of waiting for recent changes in design and building practices and material specifications to slowly filter down to the market, the Australians have taken it upon themselves to try and emulate the success that the US WoodWorks Programme has experienced. The objective of the initiative is very simply to reduce the uptake time of the recent changes to the NCC and of course, to generate greater sales volumes for timber products. Congratulations to FWPA and the companies involved in this industry co-ordinated initiative. Congratulations also go to six NZ scientists who have been recognised for their efforts in the NZ forestry sector at the 2016 Forest Science Awards this week. Further information of the award recipients and their work are detailed below. Further wood processing options are also being looked at for Australia with a recent announcement by OneFortyOne Plantations (owned by Australian and international superannuation or pension funds with harvesting rights to the Green Triangle plantation estate of South Australia) that theyll be undertaking a feasibility study for the construction and operation of a new AU150 million particle board mill (see story below). Its expected the study will be completed by mid-2017 and if approved, a new mill could be up and operational around 2019. Finally, in wood harvesting, a series of programmes for the industry are being planned by FIEA along with industry at the moment for 2017. Following on from the huge turnout (it was in fact the largest gathering of forest contractors, harvest planners and key equipment suppliers seen in NZ) at the first steep slope harvesting event in this region in 2015, an event for B. C logging contractors in Vancouver at the beginning of this year was run. Another North American programme on Steep Slope Logging is being planned for Kelso, WA, USA on 20-21 April 2017 . HarvestTECH 2017 is also being planned to run in Rotorua, New Zealand on 20-21 June 2017 . Further details will follow but at this stage, because of the considerable amount of early interest from some of the key players, expressions of interest to present at the wood harvesting event are now being sought. Details and further information on this wood harvesting event can be found in the story below. Enjoy this weeks read. New mid-rise timber advisors to get market moving To accelerate the uptake of timber framing and massive timber building systems in mid-rise projects in accordance with the recent changes to the National Construction Code, the new WoodSolutions team of design, engineering, construction and development specialists has started a pilot program in Melbourne, complemented by a smaller-scale activity in Brisbane. Earlier this year, a series of workshops, facilitated by Forest and Wood Products Australia (FWPA) and attended by senior industry representatives, saw Jennifer Cover, Executive Director of the United States WoodWorks program (woodworks. org) outline the structure and achievements of the US wood field force advisors. Based on their considerable success, a similar model was developed for trial in the Australian market. Extensive consultation with industry and potential sponsors outlined the scope and operations of the new Technical Field Force Pilot Project, with funds in excess of AU1.5 million over three years being committed from a large number of industry sponsors including key gold sponsors who are AKD, Australian Sustainable Hardwoods, Bowens, Hyne Timber, Meyer Timber, Parkside Timber, Tillings, Timberlink, Timber Queensland, XLAM and Wesbeam with matching contributions from the Australian Government via FWPA. This is an exciting development for our industry, said Ric Sinclair, FWPAs managing director, first, we undertook the research, secured the code change to allow market access and now we have a dedicated program to encourage uptake of the research by the building community. Our high calibre professional team is focussed on market extension, and we know from research that it is important to get involved in the early stages of projects to ensure adoption. With extensive experience in property development, construction, timber engineering and architecture, the WoodSolutions team of Program Development Managers are ideally placed to liaise with development, design and construction professionals, providing generic information and advice on making the most of the cost, time and other advantages of timber building systems. Melbourne-based Gerry Neylan, a construction, planning and property specialist and WoodSolutions team member, said this was a great opportunity to engage with the marketplace about constructing new projects more quickly, quietly and safely while also addressing issues such as social responsibility and sustainability. Sentiments that were echoed by Brisbane-based Stefan Gerber, a timber engineer, who added that after only a few weeks he is already finding many designers and engineers are highly interested in discovering more about new opportunities with timber. Typically, the outputs of research, even following a building code change of this order, we would expect changes in design and building practices and material specifications to take many years to flow through the market, explained Mr Sinclair, this new program will substantially reduce the uptake time and generate greater sales volumes for timber products. The challenge for our industry is to ensure that the whole supply chain is knowledgeable, prepared and able to meet the increased demand. If you would like to know more about the pilot program and the benefits of becoming a financial supporter, please email Ric Sinclair at ric. sinclairfwpa. au. NZ innovators recognised at Forest Science Awards Scientists are scanning our pine forests from the sky to learn more about tree growth and are peering under the roots to find beneficial microbes. Now they have been rewarded for their efforts by appreciative forest owners. At the 2016 Forest Science Awards dinner held in Napier on Wednesday evening four Canterbury and two Rotorua-based scientists were awarded for the innovation they are bringing to the NZ Forestry sector. The award winners were Steve Pawson, Scion, Rotorua Robert Hill, Lincoln Bio Protection, Canterbury Euan Mason, Canterbury University School of Forestry Ian Hinton, Timberlands, Rotorua Keith Raymond, Future Forests Research, Rotorua and Brionny Hooper, Scion, Christchurch. Forest Owners Association research manager Russell Dale says the science awards were initiated in 2011 to recognise the extremely important contributions scientists and innovators make to the profitability and sustainability of forestry. In forest growing, everything we do is underpinned by research and successful innovation. We benefit today from the research investments made by both government and industry in the past. Since 2014, when a commodity levy on logs was introduced, Im pleased to say research investment has increased. By innovating and investing in our future, we will stay ahead of the competition and all things being equal, forest owners will prosper and New Zealand as a country will reap many rewards. Steve Pawson was recognised for doing an outstanding job in communicating and engaging with the industry in his search for alternatives to methyl bromide, the gas used to fumigate export logs and lumber. This has involved NZ-wide surveys to define the periods when forests are free of the insect pests that pose export biosecurity risks. Robert Hill was awarded for his innovative and sustainable approaches to boosting tree growth and health, through the use of beneficial root fungi. This work was also recognised in the prestigious 2016 Kiwinet Innovation Awards, where Hill was runner-up. Euan Mason . was recognised with the science of international quality award went for his work that is widely published in international journals. With levy funding assistance he is working with a group of New Zealand companies to apply growth modelling techniques to NZ forests, says Dale. His work has the potential to result in a step change in forest management and profitability. Ian Hinton was awarded for his participation on behalf of all forest growers in industry-good research and its implementation. He is a member of the Forest Research Committee and has recently been appointed chair of the Biosecurity Research Committee. Dale says Hinton has been instrumental in the application of new technologies to site assessment, inventory management and improved productivity. Among these is LiDAR an aerial radar system that penetrates the foliage, enabling forests to be measured and monitored remotely. The fifth award went to Keith Raymond for his contribution to the Future Forests Research steepland harvesting research team. Dale says the steepland harvesting programme is highly regarded and widely promoted by MPI and the government as an example of a Primary Growth Partnership success story. The programme has been a catalyst for a new wave of innovation in harvesting and has led to a step change in industry practice. Mechanisation has increased from 23 of the harvest in 2009 to 54 today a period that has coincided with a halving of serious harm injuries. A new award this year was for young scientists, with Brionny Hooper the inaugural winner. Dale says that the 18 months Hooper has been in the forest industry she has been very successful at building relationships at all levels of the industry. HarvestTECH 2017 Early Expressions of Interest HarvestTECH 2017 20-21 June 2017. Mark the dates into your diary. The first inaugural harvesting event for local forestry contractors ran two years ago, June 2015. The event SOLD OUT Well over 400 attended the event in Rotorua, New Zealand. It was in fact the largest gathering of forestry managers, forest owners, harvest planners and harvesting contractors in one place at one time. In addition to New Zealand contractors, a very strong contingent of North American and Australian contractors rolled up to Rotorua for the event. For the many of you who attended, youll remember the focus for the 2015 event was on innovations around steep slope harvesting. With the huge amount of interest generated from the North American forestry companies and contractors in Rotorua in 2015, steep slope logging was expanded and run for loggers in the Pacific North West in Vancouver, Canada in March of this year. Its also being run for North American loggers in Kelso, Washington, USA on 20 April 2017. Further details on the second international event on steep slope logging can be found here . Two years on, logging steeper terrain will again be covered in Rotorua on 20-21 June 2017. A lot has been done in this space by local engineers and contractors in the last two years. The HarvestTECH 2017 programme though will be expanded to cover new technologies and operating practices in small wood lot harvesting, harvest planning, advances in the mechanisation and automation of harvesting operations, issues around attracting the right people into the industry and those attending will get an insight into some truly innovative harvesting operations from the air and from deep under water. The practical use of data collected from harvesting operations, improving data exchange and communications in more remote locations, eliminating log sorts and landing sizes and international developments in new harvesting equipment are also going to be built into HarvestTECH 2017. Its anticipated that site tours and field visits could also this time be built into next years programme. Watch this space for further updates. With already a huge amount of interest to those we have spoken to already in this mid-2017 event, were looking for early expressions of interest from contractors, researchers and equipment suppliers who may be interested in presenting at this major event. In 2015 we essentially ran out of room within the allocated time to take all of those wishing to participate. If interested in presenting, please get back to brent. apthorpfiea. org. nz before Friday 4 November . Information relating to exhibiting and sponsoring HarvestTECH 2017 will follow in the next couple of months. New CEO announced for Timberlands Timberlands Limited the managers of the Kaingaroa Forest Partnership have announced the appointment of Robert Green as CEO of Timberlands Ltd commencing January 2017. Robert has over 20 years of experience in the forest industry. He is currently CEO at VicForests in Australia where he is responsible for the sustainable harvest, regrowing and commercial sale of timber from Victorias public forests on behalf of the Victorian Government. Robert will be taking over from retiring CEO, David Balfour in January 2017. Nathan Trushell will be stepping in as acting CEO of VicForests while the board begin the formal recruitment process for the new CEO. SE Australian particle board feasibility study The Board of OneFortyOne Plantations (OFO) has agreed to a feasibility study for the construction and operation of a new particle board mill for the Green Triangle region of south east South Australia. The decision follows a rigorous independent assessment commissioned by the company, and builds on a previous study undertaken by the Association of Green Triangle Growers (AGTG) in 2014. The feasibility study will investigate the business and investment case for the greenfield project on land leased by OFO at Tarpeena. It is expected the study will be completed by mid-2017. If a decision is made to proceed with the project, it could lead to a significant capital investment of around AU150 million to build the new particle board mill to supply domestic and export markets. The new mill could be operational around 2019. Chief Executive Officer Linda Sewell said the feasibility study reflected the companys positive view about the long term future for the forestry and wood products industry in the Green Triangle. Since the closure of a regional pulp mill in 2011 there has been interest from the industry in effective ways to utilise low end fibre and forest residues already available in the region. The announcement of the feasibility study will enable OFO to discuss the proposal in more detail with government and industry stakeholders to help inform the assessment of its viability. OFO will continue its normal business based around its existing forestry operations in the Green Triangle while the feasibility study is carried out. NZ timber industry upbeat despite challenges Challenges facing the NZ timber industry are real and significant but the industry is generally in a good demand cycle and sentiment is positive says New Zealand Timber Industry Federation (NZTIF) president, John McVicar. The NZTIF has just held its two-day conference in Queenstown where delegates were feeling relatively positive, largely due to a strong domestic construction industry, especially in Auckland. Demand for timber in New Zealand hasnt been this good for decades the NZTIF says. However, the upside was tempered with a number of very real challenges facing the industry. Despite industry consolidation, competition is fierce and pricing remains under pressure. Insufficient log supply is also a major issue for many mills in some regions, compliance is becoming more onerous, and exporters are facing a high NZ dollar. Accordingly, profitability is still volatile and marginal for a number of sawmills. Log supply shortages, largely driven by log exports to China, are chronic in some regions, such as Canterbury and Northland, and there didnt appear to be any change to this in the immediate future. The log shortages due to export demand, dairy conversions, and wind storms has reduced the forest resource available to local mills and pushed log prices up significantly. These cost increases were yet to be fully passed on and recovered in the market. However, during the conference there was speculation that, long term, NZ sawmillers may get some relief from competition for logs as Chinese sawmilling becomes more costly and NZ mills become more competitive. Theres also an increasing demand in China for a higher quality radiata pine products that are hard to produce from the well weathered and sapstained imported NZ logs. With these two factors at play, it may in time end up being a better option to process more logs in NZ rather log export says the Federation. Many of the delegates at the conference were large exporters struggling with the strong NZ dollar. Without further meaningful and fast cuts to the OCR the NZTIF was not expecting the NZD to weaken anytime soon. Exports to most markets were hard to make work with the exception of some relatively small very high grade niche markets. It is only the strong local market, driven by record high immigration, that is providing some stability, at a time when many export markets for sawn timber were marginal. Other challenges the timber industry face is the added level of compliance around health and safety legislation and the knock on effect that was having in terms of increased costs and lost productivity. However, the timber industry had been pro-active and dealing with the requirements of this legislation well in advance. Despite the many sawmill closures there was still new investment going into the industry, more so in areas where log supply was not constrained, and the overall annual sawn timber production for the country had actually increased. More incentives for NZ forest planting The New Zealand government is considering measures to further encourage more forestry planting as it examines whether locally grown forests will be cheaper than buying foreign carbon credits to meet its climate change targets. Climate Change Minister Paula Bennett told the Climate Change and Business Conference in Auckland that how to get more trees in the ground is a key part of its work on the supply of carbon credits into the countrys emissions trading scheme in the 2020s. Earlier this month, the government ratified the new global climate change deal agreed at the annual global conference in Paris last year, ahead of this years global meeting in Marrakech, Morocco, in December. The early ratification was motivated by a need to be at the negotiating table when rules are set for the treatment of plantation forestry and land use change, details of which will help determine how difficult it will be for New Zealand to meet its obligations under the Paris agreement. New Zealand committed to cut its greenhouse gas emissions 30 percent below 2005 levels by 2030, using a combination of local emissions reductions, storing carbon in forests, and buying international carbon credits. Forestry is so important because its currently our most important source of domestic emission removals, said Bennett. It can deliver at scale. If forestry is cheaper than purchasing international units, and we think it might be, there is a strong economic case for planting more trees. For example: investing in 10,000 hectares of forestry in 2018 will deliver 3.1 million tonnes of abatement over the 2020s, of the 235 million in total we need to reach our 2030 target. This could reduce the number of units well need to purchase internationally. A key focus of the ETS review is looking at how to promote more planting by ensuring there is a good price incentive to plant trees, but we are looking wider than this. Among forestry policy changes under consideration were how to make the New Zealand ETS more attractive to foresters. We know that forests (and foresters) come in all shapes and sizes, so its a matter of understanding what mix of approaches fit best, she said. This includes looking at how forestry is accounted for in the New Zealand ETS, and how to reduce some of the administrative and compliance costs faced by both foresters and the government. More Projected wall of wood reopens rail line The Napier-Wairoa rail line on the East Coast of New Zealand is set to reopen, with an agreement between KiwiRail and Napier Port signed last week. Napier Port is offering a freight service to log exporters starting in the final quarter of next year, with the final go-ahead subject to KiwiRails charge for making the track fully operational. The Napier-Gisborne line was mothballed in 2012 after damage to the track north of Wairoa and declining revenues. KiwiRail chief executive Peter Reidy said reopening the track would boost business growth in the region. We had always signalled that the line could reopen in the future, as long as there was sufficient freight volume available to support rail operations and the necessary investment in infrastructure was made. Sufficient freight volume is thanks to what many describe as a wall of wood on the East Coast, thanks to a planting frenzy in the 1990s when log prices spiked. Harvest volumes have been estimated to nearly double for a decade. Hawkes Bay regional councillor and chair of the Hawkes Bay Regional Transport Committee, Alan Dick, said the announcement was the best Hawkes Bay good news story for a very long time. He said financial support from regional council and was essential to the commercial arrangement. Whatever the cost, the justification is clear and two fold safety from avoidance of heavy traffic congestion on SH 2, as the massive new log harvests start from next year and, economic development opportunities and options for Wairoa and the northern part of our region, Mr Dick said. Napier Port CEO Garth Cowie said it was vital the region had the ability to transport logs in a reliable, efficient and environmentally friendly manner. The Wairoa log service will initially run over the weekend, with two trains each Saturday and Sunday. Forest Management NZ manages more than 11,000 ha in the Wairoa District. Forest Manager and joint CEO Steve Bell said he was delighted at the news which presented greater options. Napier Port is one of the largest international ports in central New Zealand. It processed more than 4 million tonnes of cargo in 2015 and volumes keep growing, necessitating a planned new wharf that can accommodate larger ships. Major prize for CT log Scanning The 2016 Marcus Wallenberg Prize is awarded to Alexander Katsevich and Federico Giudiceandrea for the development of a CT scanner for whole tree logs. The laureates received their diploma from the hands of His Majesty the King of Sweden at a ceremony in Stockholm, Sweden, on Monday 10 October 2016. A high speed X-ray based online scanning machine was built due to the findings of Professor Alexander Katsevich, University of Central Florida, USA, and Federico Giudiceandrea, CEO at Microtec, Brixen, Italy. They are awarded the 2016 Marcus Wallenberg Prize of AU304,728 (SEK 2 million) for the discovery. The introduction of this new technology marks the beginning of a new era for the sawmill industry. The ground breaking research and innovative implementation have opened new horizons, facilitating further optimization of the sawing process, says Marcus Wallenberg, chairman of the board of the Marcus Wallenberg Prize. Computed tomography, CT, is nowadays invaluable to diagnostic imaging in medicine. The method has also been introduced to many areas of industry. Computed tomography, CT, is an imaging technology that produces three-dimensional, 3D, representations of objects, based on multiple scans of the object from different directions with penetrating X-ray radiation. In most modern industrial and medical CT scanners the X-ray is emitted from the source in a cone beam geometry, and the images will be reconstructed when the object is moved through the beam. Either the object or the detector is turning in spirals through the process. The algorithms, or data calculations, to obtain the 3D-pictures are approximate in their nature but reliable for small cone angles. Wider cone angles result however in blurring images. The breakthrough by Alexander Katsevich was to find an exact analytical reconstruction algorithm, which is known today as Katsevichs Algorithm. The algorithm was subsequently further refined not only to solve the cone-beam problem but also to be better suited for situations where fast movement of tree logs is necessary. Federico Giudiceandrea collaborated with Alexander Katsevich in implementing the Katsevich Algorithm with the applications of CT scanning and was ultimately successful in building a prototype, which no one thought would be possible. It has been further developed and marketed worldwide. Wood industries in Chile, the US, Germany and France have invested in CT scanners to make the most of the round wood resource. The log scanner has an outstanding capacity compared to other CT-scanners. It has a band speed of 120 meters per minute, to keep pace with modern sawing lines. The best medical scanner has a band speed of 3 meters per minute. In modern sawmills where 3D scanning of the log is used, around 10 to 15 percent increase in value of the output can be derived. A potential increase of 20 to 25 percent is possible if all the advantages of having access to the internal features of the timber are realized. An investment in this kind of equipment is likely to have a payback time of not much more than a year for an average-sized sawmill. Grading has been the only realistic way to keep quality within desired limits. The CT log scanner however enables a way of controlling the quality of the output from a log by directing the sawing pattern. This creates new possibilities for wood as an engineering material, says Carl Johan Johansson, former member of the Selection Committee of the Marcus Wallenberg Prize. Photo: From left to right, Federico Giudiceandrea and Alexander Katsevich co-recipients of the 2016 Marcus Wallenberg Prize, together with H. M. King Carl XVI Gustaf of Sweden. Photo: MWP. org . Tasmanian logging moratorium under threat Tasmania may rekindle its bitter forest wars by ending a moratorium on logging in 400,000 ha of native forests protected under a 2012 forestry peace deal reports the Australian this week. The Hodgman Liberal state government this week flagged the moratorium, in place until April 2020, may need to be prematurely scrapped to meet logging contracts. This would almost certainly spark a return to protests in the states long-disputed native forests, as well as market campaigns against a Tasmanian timber industry recovering from collapse. It would also make it fair less likely that the state-owned Forestry Tasmania would be successful in attempts to secure top-flight Forest Stewardship Council certification, seen as key to accessing premium markets. However, state Resources Minister Guy Barnett told state parliament that he had been advised by the state-owned logging company that the moratorium may need to be ended before April 2020 to meet its obligations. I will be considering whether or not the currently legislated date, 2020, is appropriate, Mr Barnett said. Innovation and infrastructure still holding back NZ New Zealands national infrastructure and capacity to innovate stand out as two factors that continue to drag on the countrys international competitiveness, even as it rose three places in the ranks from last year and 10 places better than in 201213, as judged in an annual survey by the World Economic Forum. From 16th place in the 201516 Global Competitiveness Report, New Zealand rose to 13th, nine places ahead of Australia at 22nd, and 15 places ahead of the countrys other major trading partner, China, on 28th. Switzerland topped the WEF global competitiveness rankings, followed by Singapore and the United States in an annual survey that has become a benchmark for judging relative competitiveness. As in past years, New Zealand ranks strongest in the quality of its public institutions and legal system, suffers inevitably from having a small domestic market, and continues to lag on measures relating to the capacity of companies to innovate successfully and the quality of public infrastructure, despite the strides made in improving national ultra-fast broadband connectivity. Inefficient government bureaucracy and an inadequately educated workforce are the other two of the top four factors holding back New Zealands competitiveness, as judged by poll results from a range of New Zealand company executives. The annual survey seeks the views of corporate and other senior executives from 138 countries to derive its rankings. The country scored best on the absence of corruption, low inflation, open financial markets and stable government. Other major trading partners, the United Kingdom, Japan and Hong Kong ranked 7th, 8th and 9th respectively. Other areas to rank especially poorly for New Zealand were the state of industry cluster development, at 47th, and government procurement of advanced technology, at 44th. Areas of strength included local supplier quality, at 12th and labour market efficiency on a ranking of sixth, while higher education and goods market efficiency, were both ranked 10th in the world. Passing of Australian timber industry identity It is with much sadness we announce the passing of one of our Australian timber industry stalwarts after a battle with cancer. Max Wilson Vale was a timber man for over 55 years and will be remembered by many of the people he came into contact with in the 80s and 90s then finally doing his own thing when he took over the timber business of M K Spence Son up at Silvan in the Dandenongs. After 10 years Max sold up to take things a little easier and then joined the TMA Timber Advisory Service (now the TimberHub) as an advisor in 2005 until he retired a few months ago. He also loved his golf, taking the dog for a walk and watching his beloved Essendon AFL team. Max was also a long standing and active member of Melbourne Hoo Hoo Club 217. Max will be remembered for his no-nonsense, informal but very knowledgeable approach to looking after visitors, phone enquiries to the Timber Centre showroom. Many a young timber employee will have felt Maxs question Are you listening to me now, young fella Our thoughts and prayers are with Pam, Amanda, Dean and family. Farewell Max diggedadiggedadiggeda . Eric Siegers, Executive Director, Timber Merchants Association (TMA) Scion Annual Report released On Wednesday, New Zealand Crown research institute Scion released its annual report. In addition to a number of major science solutions generated and partnerships set up over the year, the companys financial results were very positive. Revenue grew 4.6 per cent to NZ49.6m and net profit after tax of 1.8m yielded a pre-reinvestment return on equity of 7.8 per cent. Scions win at the KiwiNet Research Commercialisation Awards on 30 June for a partnership to commercialise a new wood reinforced plastic product that could be used in cars, appliances and a range of consumer products finished the year on a high note. Scions complete Annual Report can be downloaded from scionresearchannualreports Forest Enterprises licensed for MIS One of New Zealands leading forest investment and management companies has been licensed. On 3 October, Forest Enterprises Limited was licensed under the Financial Markets Conduct Act 2013 to manage Managed Investment Schemes (excluding managed funds) which are primarily invested in forestry assets. Managing Director Steve Wilton describes the licence as a milestone for the company. He says Forest Enterprises was, on 5 October, one of just two forestry investment specialists that had been licensed out of a total of 51 licensed MIS managers. Most of the others are managers of managed funds. Licensing of MIS managers is part of a package of reforms designed to lift industry standards, improve confidence in markets, and improve outcomes for consumers and investors. Forest Enterprises is based in Masterton, where it was established in 1972. It manages 61 forest investments for than 7500 investors, 95 percent of whom are from outside of the Wairarapa, including 7 percent from overseas. Our investment schemes have always been and remain regulated financial products. Whats different is that Forest Enterprises as the manager is now also licensed and is therefore subject to a similar robust compliance regime as the managers of other types of investment, he says. Mr Wilton says the licence is very timely given the increased interest in forestry investment as the returns from other investment options have fallen away. Being licensed is pivotal to realising our plans which include the release of a number of new forestry investments from 2017. Many of these new investments will be in the second rotation of forests planted by the company for investors 25 to 30 years ago. Buy and Sell . and one to end the week on. the punter A punter was at the races playing the ponies and all but losing his shirt. He noticed a priest step on to the track and bless the forehead of one of the horses lining up for the fourth race. Lo and behold, the horse a longshot won the race. Next race the priest again blessed one of the starters. The punter made a beeline for a betting window and placed a small bet on the horse and it won. He did the same on the next one and the next one all afternoon as the priest blessed the winners. Before the last the priest blessed an old nag that was 1001 but this time he blessed its eyes, ears and hoofs and even sprayed holy water over it. The punter made a quick dash to the ATM, withdrew all his savings and bet every cent he had on the old nag. He watched dumbfounded as the old nag pulled up and couldnt even finish the race. In a state of shock, he went to the priest and demanded, Father What happened All day long you blessed horses and they all won. Then in the last race, the horse you blessed never even had a chance. Now, thanks to you Ive lost every cent of my savings. The priest nodded wisely and with sympathy. You are not Catholic, are you, my son No, Im an atheist. There you are, said the priest. You couldnt tell the difference between a blessing and last rites. And one more to finsh your week on. Paddie was driving home in Dads new car and got caught in a hailstorm. The car was covered with dents, so he took it straight to the repair shop and asked Shamus the panel beater if could he fix it. Shamus told Paddie all he had to do was take it home and blow into the exhaust pipe really hard and all the dents would pop out. So, Paddie went home and blew into the exhaust. Nothing happened. He blew harder but still nothing happened. Then Shauna came out, looked puzzled and said, What are you doing Paddie explained what Shamus had told him. Shauna rolled her eyes. Aww, you silly coot, she said. Thats not gonna work. You gotta roll up the windows first. And on that note, enjoy your weekend. Spring has sprung so get out and make the most of that warmer weather. Cheers. Brent Apthorp Editor, Friday Offcuts PO Box 904 Level Two, 2 Dowling Street Dunedin, New Zealand Ph: 64 3 470 1902 Fax: 64 3 470 1904 Web page: fridayoffcuts This weeks extended issue, along with back issues, can be viewed at fridayoffcuts We welcome comments and contributions on Friday Offcuts. For details on advertising for positions within the forest products industry or for products and services, either within the weekly newsletter or on this web page, please contact us.