Spring 2023 - Montreal Time Series Meetup

We are calling all Time Series enthusiasts! Borealis AI and Moov AI present the Spring 2023 installment of our time series talks.

You're invited to our IN-PERSON meetup on April 20th from 5:30 pm - 8:00 pm ET. Join us at Ivado Lab’s Office for networking, refreshments, and exciting research discussions.

You'll hear from two industry practitioners working at the forefront of Time Series research and business applications. There will be plenty of Q&A time where you can pick our speaker's brains.

Our Speakers:
Saeed Marzban, Ph.D., Financial engineering, Senior Consultant, EY

• Bio: Saeed holds a Ph.D. in financial engineering and is a Senior Consultant for Ernst & Young. His research focuses on option pricing, hedging, and portfolio management using Reinforcement Learning methods. At EY, Saeed works with various industries, particularly banks in Canada and the US, to migrate their data analytics and machine learning models, along with ETL processes, to the cloud.
• Talk: WaveCorr: Deep Reinforcement Learning with Permutation Invariant Policy Networks for Portfolio Management
• Talk Abstract: The problem of portfolio management represents an important and challenging class of dynamic decision-making problems, where rebalancing decisions need to be made over time with the consideration of many factors, such as investors’ preferences, trading environment, and market conditions. In this paper, we present a new portfolio policy network architecture for deep reinforcement learning that can exploit more effectively cross-asset dependency information and achieve better performance than state-of-the-art architectures. In doing so, we introduce a new form of permutation invariance property for policy networks and derive a general theory for verifying its applicability. Our portfolio policy network, named WaveCorr, is the first convolutional neural network architecture that preserves this invariance property when treating asset correlation information. Finally, in a set of experiments conducted using data from both Canadian (TSX) and American stock markets (S&P 500), WaveCorr consistently outperforms other architectures with an impressive 3%-25% absolute improvement in terms of average annual return and up to more than 200% relative improvement in average Sharpe ratio.
  We also measured an improvement of a factor of up to 5 in the stability of performance under random choices of initial asset ordering and weights.

Edith Viau, FINARTCIALIST

• Bio: After studying mathematics and finance, Edith became obsessed with markets and how they work and shape us. Started as a sound art project aiming at sonifying public data related to finance, FINARTCIALIST is articulated in different mediums, mainly digital.
• Talk: Artistic data sonification
• Talk Abstract: Data sonification is the process of creating meaning from data through sound. This talk will focus on data sonification projects that evolved from the finartcialist art project that I have been working on since 2016.

Event Agenda:
*all times are in EST

• 5:30 pm - 6:00 pm - Sign in, Grab a name tag, refreshments + Network
• 6:00 pm - 6:05 pm - Welcome / Opening Remarks
• 6:05 pm - 6:35 pm - Talk by Edith Viau + Q&A
• NETWORKING BREAK
• 6:55 pm - 7:25 pm - Saeed Marzban + Q&A

Location:
The Spring edition of the meetup will be taking place at IVADO Labs. IVADO labs is a leading AI solution provider with a mission to take advanced AI technologies out of the lab and apply them in the real world.

Address: Ivado Labs at 6795 Rue Marconi, Suite 200, Montreal, QC H2S 3J9.