Big Data Finance 2015

Big Data Finance conference returns for its third year chaired by Marco Avellaneda with a spectacular line-up of speakers, including Esteban Tabak, NYU Courant, Sayee Srinivasan, Chief Economist of CFTC, Alfred Galichon of MIT, Ivana Ruffini, Federal Reserve Bank of Chicago, and many others. Don't miss the early bird offer -- purchase your ticket today!

Program:
8:30 – 9:00 AM ET Breakfast

9:00 – 9:45 AM ET Estefan Tabak, NYU Courant. Professor of Mathematics, Chair of the Department of Mathematics. From samples, marginals and priors to joint distributions through optimal transport and maximum likelihood. Max Kuang and Esteban G. Tabak, Courant Institute

It is frequent in applications to seek a joint probability distribution among variables with abundant data at the level of individual or small groups of features but comparatively limited joint observations. When one has access to various marginal distributions and some joint samples, the estimation problem can be framed in terms of optimal transport and constrained maximum likelihood. We compare the two approaches and propose an effective methodology for maximal likelihood estimation that solves a relaxed dual unconstrained problem and uses a non-informative prior as a regularizer. For continuous features, optimal transport reappears in the form of a map that transforms the unknown distribution of the data into a known target, typically a multivariate normal, through a fluid-like flow in feature space.

9:45 – 10:00 AM ET Coffee Break

10:00 – 11:00 AM ET Panel, Latest Developments and Future Trends in Big Data Finance
Panelists:

• Sayee Srinivasan, Chief Economist, CFTC
• Marco Avellaneda, Professor, NYU Courant
• Dale Richards, Head, Data Strategy, First Derivatives, Advisory Board Member, Toronto Stock Exchange
• Pimm Fox, Bloomberg TV, Moderator

11:00 – 11:15 ET Coffee Break

11:15 – 12:00 Noon Marco Avellaneda, “Modeling Volatility Risk in the Equity Options Market: A Statistical Approach”

We describe a statistical approach for modeling the joint statistics of the fluctuations of the entire US Equity Options and Volatility market. The main application of this model is for building models for managing the risk of large option portfolios.
Using elementary techniques, such as PCA, we study the structure of the correlation matrix of implied volatilities of exchange-traded products and find a new characterization of assets via their implied volatilities. We show how the calculations of the large-scale correlation matrices for risk-factors (approximately 80K by 80K) can be greatly accelerated using big-data techniques such as the stochastic accelerated SVD method of Rokhlin, Szlam, Tygert (2009).

12:00 Noon – 1 PM ET Lunch

Big Data Techniques for Inferences in Finance

1 PM – 1:45 PM ET Alfred Galichon, “From marriage to option pricing: Optimal transport and its applications”

The celebrated problem of mass transportation, initially studied by Gaspard Monge two centuries ago, revisited by Kantorovich in the 1940s and rejuvenated over the last decade by Cedric Villani’s texts, has recently found a range of various applications to Economics and Finance, from predicting the odds of individuals on the marriage market, to computing model-free bounds on option prices. I will discuss several of these applications, as well as related computational challenges and algorithms.

1:45 – 2:30 PM ET Irene Aldridge, “Level 3 Data: Dynamics, Spoofing and Market Making”

Level 3 data in equities helps answer questions discussed in this talk:

• What are the dynamics away from the best bid and offer?
• Do limit-order book dynamics away from the top of the book influence short-term market direction?
• Using Big Data techniques to detect spoofing in equities.
• Improving inventory management in market making using level 3 data analyses

2:30 – 2:45 PM ET Coffee Break

Practical Applications of Big Data

2:45 – 3:30 PM ET Ivana Ruffini, “Data controls – issues arising from commingling of supervisory, internal and external data”

* In 2012, CME accused CFTC of illegally sharing market data with outside researchers who then used the information to publish academic papers about high-frequency trading. What are the rules that regulators have to abide by? What can regulators share between each other?
* Why is there not a discussion of creation of a common and global Trade Data Repository for all regulators to get the data from? Can the global markets be effectively regulated without access to reliable global markets data?
* Are we buying data or just purchasing a license to use the data over a particular period of time?
* Will we have to change all the reports, dashboards and metrics built on such data upon expiration of the contract?
* What are the rules about creation of derivative aggregate data that combines internal and external data?

3:30 – 3:45 PM ET Coffee Break

3:45 – 4:30 PM ET Dale Richards, “Future Directions of Big Data in Finance”

– Collecting, monetizing, combining, analyzing and deriving insight from new sources of Big Data; add a drop of water to a good glass of scotch to break the surface tension and release “value”
– Convergence of data types: pricing, trades, fundamental, corax, history and reference data
– Crowd sourcing & collaboration: models for building and sharing Big Data pools across the trade life cycle process through pre and post- trade, and risk management
– Time Series & Historical Data: emerging capabilities / opportunities to mutualize & outsource the management of large scale time series Big Data

4:30 – 4:45 PM ET Concluding Remarks, Marco Avellaneda

4:45 – 6:00 PM ET Cocktail Reception

Chair: Professor Marco Avellaneda, NYU Courant

Confirmed speakers include:

• Esteban G. Tabak, professor and chair or mathematics at NYU’s Courant Institute, earned his hydraulic engineering degree from the University of Buenos Aires and his Ph.D. in applied mathematics from MIT. He arrived at Courant 20 years ago, after a two-year postdoctoral fellowship at Princeton. His areas of research in applied mathematics include data science, optimization, fluid dynamics and atmosphere-ocean science. He has advised 26 graduate students and 3 postdoctoral fellows, and performed consulting work for NYC’s Department of Education, Axioma Inc., Morgan Stanley and Gradowczyk and associates.

• Ivana Ruffini, Federal Reserve Bank of Chicago. Ivana Ruffini is a Senior Policy Specialist in the Market Analytics Group at the Federal Reserve Bank of Chicago, where she contributes to the Federal Reserve’s position on public policy issues involving financial markets. Ruffini analyzes the impact and efficacy of regulations and customer protections on derivatives markets, supervisory oversight of exchange-traded and privately negotiated financial instruments, international competitiveness, financial market infrastructure, fragility and systemic risk. Prior to joining the Federal Reserve, Ruffini was active in the alternative investment space as a private equity investment professional and a derivatives trader. Her prior employers include Baird Capital Partners, One Equity Partners, and JP Morgan. Ruffini received a B.A. in mathematics from Denison University and an M.B.A. in finance and entrepreneurship from Kellogg School of Management, Northwestern University.

• Dale Richards is a successful entrepreneur and industry leader in the financial software
  and information industry. He currently heads Island 20 Ventures, a boutique management consultancy working with leaders in financial & energy markets technology, information products, big data, analytics and data management. He was most recently President for North America and Head of Global Data Strategy for First Derivatives (FD) building and implementing FD’s Big Data strategy for capital markets. Prior to FD, he sat on the Board of Reference Data Factory, and served as CEO & Founder of LakeFront Data Ventures, an Enterprise Data Management (EDM) strategy consultancy. With SunGard, Dale was Chief Data Officer & President of EDM. Dale was CEO FAME Information Services and founder / CEO of Benton Associates,
  software & data solutions for quantitative analytics. He serves on the Boards of LookBookHQ (content marketing & Big Data analytics), Datactics (Big Data quality & fuzzy logic analytics), and advisory boards of Datagenic (solutions for complex data management in Finance, Utilities, Oil & Gas and Public Sector) and TMX Datalinx.

• Pimm Fox, Bloomberg TV, panel moderator. Pimm Fox is the news anchor of Taking Stock, a program of business interviews and financial news analysis broadcast daily on Bloomberg Radio & Bloomberg Television, subsidiaries of Bloomberg L.P.. Together with guest representatives and financial experts he guides an in-depth discussion of industry and market trends. Prior to joining Bloomberg in 2006, Fox worked for the Dow Jones News Service in London, where he was in charge of financial services coverage for Europe, Middle East and Africa. He has also previously worked as the West Coast Bureau Chief and columnist for Computer World magazine and Business Editor of the San Francisco Chronicle. Fox has been a regularly featured guest on CNBC Europe, “Squawk Box”, as well as BBC News, BBC World Service and ITV News. His articles have appeared in Institutional Investor, Newsweek, The New York Times, The Wall Street Journal and Barron’s.

• Sayee Srinivasan, Chief Economist, CFTC, panelist. Dr. Sayee Srinivasan has been Chief Economist of Commodity Futures Trading Commission since December 2013. Dr. Srinivasan serves as Head of Product Strategy of Bombay Stock Exchange Limited (BSE Ltd.). Dr. Srinivasan served as Director of Research & Product Development for CME Group Inc. (Formerly Chicago Mercantile Exchange Holdings Inc.) since February 2007. He also played a key role in CME’s business development efforts in Asia, particularly India and China and previously served as Associate Director of Financial Product Development. Before joining CME in 2001, Dr. Srinivasan worked for OptiMark Technologies. He also held investment banking roles for DSP Financial Services and Banque Nationale de Paris, both in Mumbai. He has already made critical contributions on policy and rule development on issues pertaining to the market structure of futures and swaps markets. Prior to joining the commission, he worked with the Chicago Mercantile Exchange, the National Stock Exchange of India. Dr. Srinivasan earned a bachelor’s degree and master’s degree from the University of Bombay. He also earned Master’s and Ph.D. Degrees in Economics from University of Texas at Austin.

• Marco Avellaneda, Professor, NYU Courant, panelist, “Deploying eigenvalue decomposition in assessing optimal options pricing methodologies” Marco Avellaneda has previously worked at Banque Indosuez as consultant in FX derivatives, in fixed-income research at Morgan Stanley, as quant strategist at Gargolye Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management where he created the Nimbus Fund, and as Portfolio Manager for quant trading at the Galleon Group. He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo/Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage, high-frequency trading and price forecasting. He is a faculty member at the Courant Institute and is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance, among others and authored the textbook “Quantitative Modeling of Derivative Securities”. He was awarded the prize 2010 Quant of the Year by RISK Magazine.

• Alfred Galichon, MIT, “From marriage to option pricing: Optimal transport and its applications.” Alfred Galichon is a Professor of Economics at Sciences Po, Paris, and, in 2014-2015, a visiting professor of Economics at the Massachusetts Institute of Technology (MIT). Prior to Sciences Po, he taught at Ecole Polytechnique where he was a full professor, and he has also taught at Columbia University and at the University of Chicago, Booth School of Business. Prof. Galichon’s research interests range widely from theoretical to empirical questions and include Econometrics, Economic theory, and Quantitative Finance. His research is motivated by the desire to understand the decisions of economic agents – investment, insurance, marriage, transportation – using advanced quantitative methods, and has been published in journals such as the Journal of Political Economy, Econometrica, and the Review of Economic Studies. He is a member of several Editorial Boards including the Review of Economic Studies and Economic Theory. In 2012, he has been one of the recipients of the European Research Council (ERC) Grants awarded by the European Commission for his research on matching markets. In 2010 he was nominated for the best French young economist award by the Cercle des Economistes and Le Monde newspaper. In addition to his academic research, Prof. Galichon also has served as a consultant or a collaborator to various organizations including Goldman Sachs, EDF, Lafarge, and Air France. Alfred Galichon received his Ph.D. in Economics from Harvard University in 2007 and his B.Sc. from Ecole Polytechnique (X97) in 2000. He is a Chief Engineer of Corps des Mines (Ingénieur en chef des Mines) and a Research Fellow of the Center for Economic Policy Research (CEPR) and of the Institute for the Study of Labor (IZA).

• Irene Aldridge, ABLE Alpha Trading LTD., “Anatomy and Early Detection of Spoofing” Irene Aldridge is a quantitative portfolio manager, a recognized expert on the subjects of quantitative investing, microstructure and high-frequency trading (HFT) and a seasoned educator. Aldridge is the author of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems”, now in its second edition and translated into Chinese. Aldridge is currently Managing Director and Quantitative Portfolio Manager at ABLE Alpha Trading, LTD., where designs, implements and deploys proprietary trading strategies. Aldridge is also President of AbleMarkets.com, a suite of real-time and near-real-time products, including flash crash predictability feeds, market impact optimization, trading cost management, high-frequency participation in the markets, high-frequency portfolio optimization and trading sentiment indicators.