Main Conference Day 2 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
Main Conference Day 2 (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
QuantMinds Arora Ballroom
- Rama Cont - Professor of Mathematics and Chair of Mathematical Finance, University of Oxford
- Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi
- Chandni Bhan - Global Chief Risk Officer, Wise
The financial and strategic implications of the lack of diversity in both the workplace and the wider industry.
- Diana Ribeiro - Quant Director, Citi
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Leila Korbosli - Quantitative Analyst Director, UBS
- Wafaa Schiefler - Executive Director – Commodities Quantitative Researcher, JP Morgan Chase
- Leon Tatevossian - Adjunct Professor, New York University
- Jesper Andreasen - Head of Quantitative Analytics, Verition Fund Management
- Laura Ballotta - Professor of Mathematical Finance, Bayes Business School (formerly Cass)
- Barney Rowe - Senior Quantitative Analyst, Fidelity International
- Matthias Arnsdorf - Global Head of XVA & Counterparty Credit Risk Modelling, JP Morgan Chase
- Youssef Elouerkhaoui - Managing Director, Global Head of Markets Quantitative Analysis, Citigroup
- Vladimir Piterbarg - Managing Director, Head of Quantitative Analytics & Development, NatWest Markets
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
- Raphaël Douady - Research Professor, University of Paris 1 Pantheon Sorbonne
- Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
- Leila Korbosli - Quantitative Analyst Director, UBS
- Uwe Naumann - Professor Of Computer Science, RWTH Aachen University
Speed dating mentorship programme between entry-level and senior quants, open for anyone to join
- Uwe Naumann - Professor Of Computer Science, RWTH Aachen University
- Andrea Macrina - Professor of Mathematics, University College London
- Leon Tatevossian - Adjunct Professor, New York University
- Carol Alexander - Professor, University of Sussex
- Leon Tatevossian - Adjunct Professor, New York University
This paper presents the development and implementation of a novel Deep Distributional Reinforcement Learning (DDRL) approach in the field of quantitative finance: the Distributional Soft Actor-Critic (DSAC) with an LSTM embedding. The model is built to further stabilize the performance of the widely used deep reinforcement learning model Soft Actor Critic (SAC) and is compared against traditional baselines such as Hierarchical Risk Parity, Minimum Variance Portfolio, DJIA and equal weight portfolio. The results show increased returns with less risk associated and stability over Soft Actor Critic and traditional baselines both in random path validation and backtest with daily frequency. The distributional component allows the model to incorporate an inherent sense of risk. The embedding enhances the temporal-dependency awareness and the observation space is composed of multiple features based upon past returns. Thus, this paper opens the door to further research in the use of deep distributional reinforcement learning models in the context of finance.
Riverview Foyer, 2nd floor
What do firms want?
What do quants want?
Riverview Foyer, 2nd floor
- Fabio Mercurio - Global Head of Quant Analytics, Bloomberg L.P.
What are the criteria for validating our models?
Riverview Foyer, 2nd floor
Riverview Foyer, 2nd floor
- Carol Alexander - Professor, University of Sussex