Upload
others
View
1
Download
0
Embed Size (px)
Citation preview
Introduction Shift in QF αF Algorithm Data and AI Assessment
Introduction
Christopher Ting
http://cting.x10host.com/CUHKSZ/CUHKSZ.html
http://www.mysmu.edu/faculty/christophert/k: [email protected]
June 25, 2018
Christopher Ting Topic 1 June 25, 2018 1/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Broad Lesson Plan
1 Introduction
2 Shift in QF
3 αF
4 Algorithm
5 Data and AI
6 Assessment
Christopher Ting Topic 1 June 25, 2018 2/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Shift in QF
Z Risk-neutral pricing and hedging (structuring) have matured.
Z High-frequency algo trading (dynamics of limit-order book)
Z Quantitative investment & trading
Z Quantitative risk management (XVA, multi-curve approach)
Z Machine learning, AIReading: AI Adoption Across Capital Market (May 2018)
Reading: Goldman Sachs Equity Research (November 14, 2016)
Statistics is the study of algorithms for data analysis.Rudolf Beran
Z Research Scientists at Renaissance TechnologiesUse machine-learning, applied mathematics, and techniques frommodern statistics to develop and refine models of the financialmarkets and to develop trading algorithms based on thosemodels.
Christopher Ting Topic 1 June 25, 2018 3/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
αlgorithmicF inance
practical
algorithms
data
Python, R
prototypingStatistical
mmmtamingrisks
theoretical,mathematical
Christopher Ting Topic 1 June 25, 2018 4/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
What is an Algorithm?
Z Merriam-Webstera set of steps that are followed in order to solve a mathematicalproblem or to complete a computer process
Z Cambridgea set of mathematical instructions or rules that, especially if given to acomputer, will help to calculate an answer to a problem
Z Oxforda set of rules that must be followed when solving a particular problem
Z Longmana set of instructions that are followed in a fixed order and used forsolving a mathematical problem, making a computer program etc
Z WordWeb Onlineprecise rule (or set of rules) specifying how to solve some problem
Christopher Ting Topic 1 June 25, 2018 5/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Origin of Algorithm
Z Algorithm (Algoritmi) is a Latinisation of al-Khwarizmi (c. 780–c.850).
Z He was a Persian (modern Khiva, Uzbekistan) mathematician,astronomer, and geographer.
Z He invented two algorithmic operations: al-jabr (completion) andal-muqabala (balancing).
Source: http://jeff560.tripod.com/stamps.html
Christopher Ting Topic 1 June 25, 2018 6/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Al-Khwarizm’s Solution of x2 + 10x = 39
Step 1 Step 2 Step 3x× x x2 + 10x Completion of Square
x2 x2
52 × x
52 × x
52 × x
52 × x 39
254
254
254
254
The completed square’s area is 4× 25/4 + 39 = 64. Each side of thesquare is therefore 8. But each side is of length 5/2 + x+ 5/2 sox+ 5 = 8, giving x = 3 as a solution.
Christopher Ting Topic 1 June 25, 2018 7/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Algorithms for Data Analysis
Christopher Ting Topic 1 June 25, 2018 8/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Machine Learning with Python
Christopher Ting Topic 1 June 25, 2018 9/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Black-Box Algorithm
...
......
I1
I2
I3
In
H1
Hn
O1
On
Inputlayer
Hiddenlayer
Ouputlayer
Christopher Ting Topic 1 June 25, 2018 10/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
New Developments
αlgorithmicF inance
FinancialMarkets
BayesianData
Analysis
StateSpace
Analysis
DeepLearning
FinancialTechnologies
Christopher Ting Topic 1 June 25, 2018 11/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Assessment
\ Class Activity: 10%F Ask questions enthusiastically.F Respond to questions with insightful comments.F Class handout
\ Mini-Project: 15%� Presentation on Session 14 (5%)� Project Report (10%)
\ Homework Assignments: 15%
\ Mid-Term Test in Class: 15%
\ Final Exam: 45%
Christopher Ting Topic 1 June 25, 2018 12/13
Introduction Shift in QF αF Algorithm Data and AI Assessment
Grace versus Grade
Learningto learn
Grow
Research
Apply
Communicate
Enjoy
Christopher Ting Topic 1 June 25, 2018 13/13