Minisymposia

The conference will open on Thursday August 31 morning with two minisymposia:

Machine Learning and Applications to Finance

Organiser: Paul Bilokon, Thalesians Ltd

Venue: Clore Lecture Theatre, Ground Floor, Huxley Building

9:25 : Introduction by Paul BILOKON (Thalesians)
9:30 - 10:00: Advances in Deep Learning and Applications to Market Data by Steven Hutt, Cognifi Ltd
10:00 - 10:30: Electronic Market Making with Deep Learners by Matthew Dixon, Illinois Institute of Technology
10:30 - 11:00 Coffee Break (Maths Common Room, Level 5, Huxley Building)
11:00 - 11:30: Algorithmic Trading, High Frequency Trading and Stochastic Filtering by Paul Bilokon, Thalesians Ltd
11:30 - 12:00: Trading Strategies within the Edges of No-arbitrage by Jason Ricci, Morgan Stanley

Organiser: Blanka Horvath, Imperial College London

Venue: Room 503, Level 5, Huxley Building

9:25 : Introduction by Blanka Horvath, Imperial College London
9:30 - 9:50 High frequency asymptotic statistics for rough volatility models by Masaaki Fukasawa, Osaka University
9:50 - 10:10 A discrete-time stochastic volatility framework for pricing options with realized measures by Giulia Livieri, Scuola Normale Superiore
10:10 - 10:30 Exactly solvable cases in the SABR model by Alexander Antonov, Numerix LLC
10:30 - 11:00 Coffee Break (Maths Common Room, Level 5, Huxley Building)
11:00 - 11:20 Statistical inference for fractional models by Mark Podolskij, Aarhus University
11:20 - 11:40 Singularities, invariance theorem and fractional stochastic volatility models by Nicolas Marie, Université Paris 10 and ESME Sudria
11:40 - 12:00 On the relationship between implied volatilities and volatility swaps: a Malliavin calculus approach by Elisa Alòs, Universitat Pompeu Fabra
12:00 - 12:20 Functional central limit theorems for rough volatily models by Aitor Muguruza, Imperial College London

For further information and abstracts, please click here.