Laboratory for Financial and Risk Analytics seminar

The Laboratory for Financial and Risk Analytics seminar series takes place every other Monday at 16:00, at the Faculty of Electrical Engineering and Computing, in the Black Hall. Attendance is free and open, but registration is necessary. 

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Upcoming seminars

Monday, November 28, 2022 

Title: Technological challenges in high-frequency trading

Abstract: This talk will discuss the organization of HFT systems, from machine learning models to order submission, and comment on points where statistics or machine learning are used.

Presenter: Igor Sočec, Susquehanna International Group

Registration link:

Monday, December 12, 2022 

Title: TBA

Presenter: Jura Jurčević, Faculty of Economics and Business, University of Zagreb

Past seminars

Monday, November 14, 2022 

Title: Options market making and why options markets are becoming a major mover of markets

Abstract: Using options an individual investor can achieve leverage and a non-linear payout, but a growing options market can have a great impact on the underlying market as well. Market makers dynamically hedge their positions, which can lead to some extreme situations like the gamma squeezes seen last year or more benign, but more tradable situations around option expirations. With growing option volumes and shrinking tenors, options are becoming an important factor in the market and noone can ignore them any more.

Presenter: Goran Dubček, InterCapital Asset Management

Monday, October 17, 2022

Title: Goal-Based Portfolio Allocation – from analytical solutions to reinforcement learning

Abstract: Goal-based investing is wealth management focused on achieving a predefined goal (amount of wealth) within a predefined timeframe. The main characteristic of a goal-based portfolio is the tendency to be fairly risk-exposed in the beginning and decrease risk as the time limit approaches. The primal challenge is to find an optimal allocation strategy that both accumulates the wanted amount of wealth and secures it as the payoff nears. This talk will cover several traditional approaches to dealing with the issue in question. Moreover, the problem of optimising a goal-based portfolio requires sequential decision making and therefore can be implemented in a reinforcement learning framework. The talk will also discuss this machine learning technique as a potential candidate for finding an optimal allocation policy.

Presenter: Tessa Bauman, Laboratory for Financial and Risk Analytics, UNIZG-FER