Seminar Archive

Seminars with available recordings are compiled in our Seminar Library.

Autumn 2017 - Spring 2018

May 4, 2018Patricia Ning, UC Santa BarbaraMultivariate Bayesian Structural Time Series Model and its Applications on Finance
February 6, 2018Marvin Cheng & Peter Filipovic, Starbucks TreasuryApproach to Risk Management
November 27, 2017Michael W. Mahoney, ICSI & UC Berkeley Dept. of StatisticsSecond Order Machine Learning
November 9, 2017Erik Lehr, Empirical Wealth Management & Geir Watland, Viking Financial ConsultingCAIA Association and Life after CFRM
October 20, 2017John Guerard, PhD, McKinley Capital ManagementInvesting in Global Markets: Big Data and Applications of Robust Regression

Autumn 2016 - Spring 2017

May 24, 2017Prof. Thomas Gilbert, UWWhy are University Endowments Large and Risky?
May 17, 2017Alex Lu, KavoutInvestment Discovery and Stock Trading Powered by AI
May 10, 2017Bryson Hadley, English Capital PartnersUntitled
May 3, 2017Ivan Popivanov, MicrosoftDeep Learning, the Cognitive Toolkit, and Applications in Finance
April 12, 2017Doug Martin, UW Applied MathRobust Statistics for Quantitative Finance: Part 1
March 7, 2017Paul Bouchey, ParametricVolatility Harvesting in Theory and Practice
February 28, 2017Bahman Angoshtari, University of MichiganOptimal investment to minimize the probability of drawdown
February 21, 2017Ryan Donnelly, Swiss Finance InstituteEnhancing Trading Strategies with Order Book Signals
February 7, 2017Weston Barger, UW Applied MathApproximate pricing of European and Barrier claims in a local-stochastic volatility setting
January 31, 2017Jing Tao, UW EconomicsA simple semiparametric estimator for random coefficients Logit demand models
January 24, 2017Sasha Aravkin, UW Applied MathRobust Statistics and Learning via Optimization
January 17, 2017Anthony Sanford, UW EconomicsRecovery Theorem with a Multivariate Markov Chain
October 21, 2016Tim Leung, UW Applied MathIntroduction to ETFs
October 14, 2016Jonathan Brogaard, University of WashingtonRisk and Return in High-Frequency Trading

Spring 2016

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

Winter 2016

March 11, 2016Leonard Wong, UWGeometry and Optimization of Relative Arbitrage
March 3, 2016Ronnie Sircar, Princeton UniversityFracking, Renewables, and Mean Field Games
February 26, 2016Mary Pugh, Pugh Capital ManagementBond Market Fundamentals and Quantitative Dynamics
February 19, 2016Tim Leung, Columbia UniversityOptimal Multiple Stopping Problems Under Mean-Reverting Dynamics
February 12, 2016Sergey Nadtochiy, University of MichiganEndogenous Formation of Limit Order Books: the Effects of Trading Frequency
February 5, 2016Mike Ludkovski, UC Santa BarbaraSimulation Design for Stochastic Control: from American Options to Epidemics Detection
January 29, 2016Wan-Jung Hsu, University of WashingtonPredicting and Capitalizing on Two Types of Stock Bear Markets in the U.S.
January 22, 2016Alex Schied, University of MannheimMarket Impact Games
January 15, 2016Jason Malinowski, Seattle City Employees' Retirement SystemPublic Pension Investing

Autumn 2015

December 4, 2015Thomas K. Philips, BNP ParibasRobust Risk Budgeting
December 3, 2015Terry Rockafellar, Boeing (part of the UW Applied Math Boeing Distinguished Colloquia series)Risk and Reliability in Stochastic Optimization​
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
November 13, 2015Eric Zivot, UWPrice Discovery Share: An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds
November 6, 2015Doug Martin, UWParametric and Non-Parametric Expected Shortfall
October 30, 2015Sanjiv Das, Santa Clara UniversityModeling Systemic Risk Using Networks
October 29, 2015Sanjiv Das, Santa Clara UniversityText and Context – Language Analytics for Finance
October 23, 2015Russell Rhoads, Chicago Board Options ExchangeAspects of VIX
October 16, 2015Guy Yollin, University of WashingtonLaTeX, LyX, and knitr