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EDINBURGH UK QWAFAFEW Thurs 11 April 2019 – Dan di Bartolomeo, “Incorporating Text News Analytics into Risk Assessments”

April 11 @ 6:00 pm - 9:00 pm

| Free

https://www.eventbrite.co.uk/e/incorporation-of-text-news-analytics-in-risk-assessment-tickets-58657816107

 

APR 11

Incorporation of Text News Analytics in Risk Assessment

Description

Incorporation of Text News Analytics in Risk Assessment

Presented by: Dan diBartolomeo 

Time: doors opening at 6pm with the presentation starting at 6.15pm Sharpe

Cost: Free (drinks and canapés sponsored by Northfield)

Location

Lulu

125b George St

Edinburgh

EH2 4JN

United Kingdom

Date And Time

Thu, 11 April 2019

18:00 – 21:00 BST

Abstract
Analytical models in finance all share some basic concepts. Financial market participants observe some period of past events they deem relevant, build a statistical model of the observed data, and then make the heroic assumption that events in the future will be like those in the past. While almost every financial institution has extensive risk modeling systems in place (as often mandated by regulators) the Global Financial Crisis has shown that such systems are frequently grossly inadequate. What is missing from nearly all models is an explicit recognition of how the present is different from the past, and therefore how the short term future is also likely to be different from the past. By defining “news” explicitly as the information set that informs us of the differences between past and present, we can condition our estimates of the distribution of future outcomes more robustly. Building upon the methods in diBartolomeo, Mitra, and Mitra (2009), and Kyle, Obizhaeva, Sinha and Tuzun (2012), we have introduced a new approach to using quantified news flows and related sentiment scores in the prediction of asset portfolio risk. This process has been in commercial delivery to institutional investors since December 2017. The process can operate in real time, and addresses tens of thousands of global companies, sovereign issuers and financial institutions (for counterparty risk).

Dan diBartolomeo – President and founder, Northfield

Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations include IAQF and CQA, and is past president of the Boston Economic Club. His publication record includes thirty books, book chapters and research journal articles. In January of 2018, he became co-editor of the Journal of Asset Management. Dan spent numerous years as a Visiting Professor at Brunel University. In 2010 he was given the “Tech 40” award by Institutional Investor magazine in recognition of his role in the discovery of the Madoff hedge fund fraud. He has also been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.

What is QWAFAFEW?

QWAFAFEW (Quantative Work Alliance for Applied Finance, Education, and Wisdom) is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). With existing chapters in Boston, New York, Chicago, Denver, Pittsburgh, Princeton, San Francisco, Washington DC, Hartford, and Philadelphia. The Edinburgh chapter is the first in Europe.

The group was formed a number of years ago to provide a venue for quantitative researchers to discuss their evolving work with peers. Our membership includes a wide variety of interests and levels of responsibility. The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry. All share a common interest in quantitative solutions to understanding investment markets. Join QWAFAFEW-Europe LinkedInGroup or the North American LinkedIn Group to keep up with the latest developments.

Why join QWAFAFEW?

As the quantitative investment community in Edinburgh has grown QWAFAFEW organization provides a forum for discussing relevant topics, exchanging ideas and networking with peers in an informal setting. QWAFAFEW is a non-profit group created and managed by members of the quantitative community.

Please join us and feel free to invite friends and colleagues. For more information contact Matt Monach (matt.monach@aberdeenstandard.com)

Thank you to our sponsor!

Details

Date:
April 11
Time:
6:00 pm - 9:00 pm
Cost:
Free

Organizer

Matt Monach