Market-generator models

Market-generator models

Market-generator models “live demo”

This session will hear from Blanka Horvath, finance lecturer at King’s College London and co-winner of Risk.net’s ‘Rising star in quant finance’ award, Alexei Kondratyev, head of the data analytics group at Standard Chartered Bank, and his colleague Christian Schwarz, executive director in the same team. They will introduce a technique to generate synthetic market data that preserves the statistical properties of the original data and look at the impact of Covid 19. 

  • The Market Generator - retraining the generative models on the time series that include recent market stress. 
  • Did we learn anything new? Did the models live up to the expectations?
  • Data Anonymisation – generating synthetic data from the models trained on the medical datasets (as in our recent paper). 
  • New use cases that gain importance following the COVID-19 crisis.


WATCH ON DEMAND

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Christian Schwarz

Executive director, data analytics group

Standard Chartered Bank

Christian leads the innovation efforts within the Data Science and Innovation team at Standard Chartered. He currently focuses on synthetic data generation, measurement of uncertainty and Reinforcement Learning as part of his development of algorithmic trading signals and engines. He also applies evolutionary algorithms to the non-linear optimisation of RWA relief via loan securitisation.

Previously, he spent 3 years as senior Credit Strategist and Head of Quant Research at Mizuho International leading the Machine Learning Algo market making project for corporate bonds.Christian also spent 10 years at Credit Suisse where he was most recently Senior Credit Strategist. Prior to that, he held positions within Interest Rate and FX Controlling at HVB Group.

Christian has a diploma in Financial Mathematics from Technische Universität München.There are 3 things about Machine Learning and AI that keep him up at night: The maths behind, the commercial opportunities and the impact on society.

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Oleksiy Kondratyev

Visiting professor

Imperial College London

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Blanka Horvath

Associate professor in mathematical and computational finance

University of Oxford

Dr Blanka Horvath is an associate professor in mathematical and computational finance at the University of Oxford. Blanka’s current research interests evolve around a new generation of option pricing models (Rough Stochastic Volatility models), and their asymptotic and numerical properties. Prior to her current appointment, she was at ETH Zurich, specialising in functional analytic and numerical properties of SABR-type stochastic models. Blanka holds a PhD in Mathematical Finance from ETH Zurich, a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

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Mauro Cesa

Quantitative finance editor

Risk.net

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.