AQFC2015

Financial applications of Machine Learning at Man AHL

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                Department of Systems Engineering and Engineering Management
                                The Chinese University of Hong Kong

 

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Date: May 21, Monday, 10:00 - 11:15 a.m.

 

         Title: Financial applications of Machine Learning at Man AHL

 

Speaker:  Dr. Anthony Ledford

Chief Scientist of Man AHL

 

Abstract:  

 

In this talk I will explain how Man AHL – one of the world’s largest systematic investment managers – uses machine learning to derive new algorithms for both alpha capture and trade execution. We discuss the Oxford-Man Institute of Quantitative Finance – our unique decade-long collaboration with the University of Oxford – and then examine some of the main hurdles that have to be overcome in applying machine learning within financial forecasting. We aim to dispel the often encountered “black box” criticism of machine learning by demonstrating a key diagnostic for interpreting what a machine learning model will do next. We illustrate the discussion with a selection of machine learning examples taken from Man AHL’s systematic research and trading portfolio.

 

Speaker Bio:

Anthony Ledford is Man AHL’s Chief Scientist and Academic Liaison. He is based in the Man Research Laboratory (Oxford) and has overall responsibility for AHL’s strategic research. Anthony has worked for Man AHL since 2001 on research projects spanning trading models, automated execution, portfolio optimization and risk monitoring. Prior to that he was Reader in Statistics at the University of Surrey. Dr Ledford read Mathematics at Cambridge University, holds a PhD from Lancaster University in the development and application of multivariate extreme value methods and is a former winner of the Royal Statistical Society’s Research Prize.

 

Everyone is welcome to attend the talk!
 

Venue: Room 513,William M.W. Mong Engineering Building
(ERB),(Engineering Building Complex Phase 2) The Chinese University of
Hong Kong.
 

The talk will be hosted by:
Prof. Laiwan Chan
Department of Computer Science and Engineering,

The Chinese University of Hong Kong,
E-mail:  lwchan@cse.cuhk.edu.hk

 

Prof. Xuedong He
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: xdhe@se.cuhk.edu.hk

 

Prof. Lingfei Li
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: lfli@se.cuhk.edu.hk

 

SEEM-5202 Website:  http://seminar.se.cuhk.edu.hk
Email:  seem5202@se.cuhk.edu.hk

 

Date: 
Monday, May 21, 2018 - 10:00 to 11:15