Seminar: Prof. Blanka Horvath (Oxford): Detecting Regime Shifts in Fin. Markets

PLEASE NOTE THAT THIS IN-PERSON EVENT WILL START ON WEDNESDAY, 24 MAY, 2023, AT 6:30 PM BST (LONDON TIME) (1.30 PM EDT (NEW YORK TIME)) at G-Research offices.

This event is sponsored by G-Research (Silver Sponsor), First Derivatives plc (Bronze Sponsor) and KX, Inc. (Bronze Sponsor).

This event is hosted by G-Research, Europe's leading quantitative finance research firm: We hire the brightest minds in the world to tackle some of the biggest questions in finance. We pair this expertise with machine learning, big data, and some of the most advanced technology available to predict movements in financial markets.

Venue: G-Research, Whittington House, 19-30 Alfred Place, London, WC1E 7EA
Arrival time of 18:00 (London) and talk starts at 18:30 (London).
Seminar will last between 1 to 1.5 hours, followed by networking / food / drinks.

FULL TITLE: Detecting Regime Shifts in Financial Markets

ABSTRACT

The problem of rapid and automated detection of distinct market regimes is a topic of great interest to financial mathematicians and practitioners alike. In this talk we outline two methods: an unsupervised learning algorithm for clustering financial time series into a suitable number of temporal segments (market regimes), and an on-line regime detection algorithm that can serve as an early indicator of changes in market conditions that may have a relevance for (automated) investment decisions. (Joint work with Zacharia Issa.)

BIOGRAPHY

Blanka Horvath is Associate Professor in Mathematical and Computational Finance at the University of Oxford, Associate Member of the Oxford MAN Institute, Member of the DataSig Research Group, and Visiting Researcher at The Alan Turing Institute. Blanka holds a PhD in Financial Mathematics from ETH Zurich, a postgraduate degree (Diplom) in Mathematics from the University of Bonn, and an MSc in Economics from The University of Hong Kong. In her research she lays a particular emphasis on the applicability and maintains close collaborations with the industry, including: JP Morgan, Deutsche Bank, Zeliade Systems, and AXA. In 2020, Blanka Horvath, Aitor Muguruza, and Mehdi Tomas received a Risk Award for developing new machine learning techniques for bringing rough volatility models to life.