Event Archive

Materials from past events, including slides, recordings, handouts, abstracts, and other documents, are available for your reference below.

CFRM General Information

Microsoft Seminar Archives

Seminars with available recordings are compiled in our Seminar Library.  For talks without recordings, abstracts are available below.  Manuscripts, slides, sample code, and other materials may be available upon request.

Autumn 2015

October 16, 2015Guy Yollin, University of WashingtonLaTeX, LyX, and knitr
October 23, 2015Russell Rhoads, Chicago Board Options ExchangeAspects of VIX
October 29, 2015Sanjiv Das, Santa Clara UniversityText and Context – Language Analytics for Finance

Additional materials: Slides | R-Code | Recording (requires UW NetID)
October 30, 2015Sanjiv Das, Santa Clara UniversityModeling Systemic Risk Using Networks

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November 6, 2015Doug Martin, UWParametric and Non-Parametric Expected Shortfall
November 13, 2015Eric Zivot, UWPrice Discovery Share: An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds

Additional materials: Slides | Recording
November 20, 2015Apurv Jain, Microsoft and Alec Balasecu, Simon Fraser UniversityFinancial Bubbles and their Magic, Why Don’t We Learn? Asset Price as a Heroic Journey in the Financial Markets ​
December 3, 2015 Terry Rockafellar, Boeing (part of the UW Applied Math Boeing Distinguished Colloquia series)Risk and Reliability in Stochastic Optimization​
December 4, 2015Thomas K. Philips, BNP ParibasRobust Risk Budgeting

Winter 2016

January 15Jason Malinowski, Seattle City Employees' Retirement SystemPublic Pension Investing
January 22Alex Schied, University of Mannheim Market Impact Games
January 29Wan-Jung Hsu, University of WashingtonPredicting and Capitalizing on Two Types of Stock Bear Markets in the U.S.
February 5Mike Ludkovski, UC Santa BarbaraSimulation Design for Stochastic Control: from American Options to Epidemics Detection
February 12Sergey Nadtochiy, University of MichiganEndogenous Formation of Limit Order Books: the Effects of Trading Frequency
February 19Tim Leung, Columbia UniversityOptimal Multiple Stopping Problems Under Mean-Reverting Dynamics
February 26Mary Pugh, Pugh Capital ManagementBond Market Fundamentals and Quantitative Dynamics
March 3Ronnie Sircar, Princeton UniversityFracking, Renewables, and Mean Field Games
March 11Leonard Wong, UWGeometry and Optimization of Relative Arbitrage

Spring 2016

April 29, 2016Jonathan Brogaard, University of WashingtonPrice Discovery without Trading: Evidence from Limit OrdersPCAR 3954:00 PST
May 6, 2016David Carino, FTSE and Russell Investments (ret.)Attribution LinkingPCAR 3954:00 PST
May 13, 2016Blair Hull, Ketchum TradingMarket Timing, Big Data and Machine LearningPCAR 3954:00 PST
June 3, 2016Mark Kritzman, Windham Capital ManagementEstimation Errors in Portfolio ConstructionPCAR 3954:00 PST