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.
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.
Managing director, global head of data analytics, CCIB
Standard Chartered Bank
In his role as Managing Director and Global Head of Data Analytics, Alexei is responsible for providing data analytics services to Corporate, Commercial and Institutional Banking division of Standard Chartered Bank.
He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.
Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.
He was the recipient of the 2019 Quant of the Year award from Risk magazine.
Lecturer in financial mathematics
King's College London
Dr Blanka Horvath is a Lecturer at the Department of Mathematics, King's College London. 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.
Quantitative finance editor
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.