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Are Spikes and Shocks Making Value and Risk Less Predictable?

Speaker: Dr. Stephen Weston 

CQF Institute is proud to bring you a free talk with Dr. Stephen Weston on Are Spikes and Shocks Making Value and Risk Less Predictable?

Abstract

Price spikes have long been a feature in energy markets, but five-sigma spikes have also become more common in equity markets in the past three years than at any time since the 1940’s. Spiking has significant implications for pricing and risk management, particularly since spikes tend to cluster. Such price behaviour has made life hard for users of trend following and momentum models. However, on-going research using spiking neural networks may be able to bridge the gap between the cognitive models of neuro-science and the more mainstream deep neural network models currently popular in machine-learning, by using biologically-realistic models of neurons for financial market prediction. This talk will examine such issues, report some preliminary results and suggest directions for future research.

Dr. Stephen Weston Bio


Stephen is a partner in the Risk Advisory practice at Deloitte. He has over 30 years experience in investment banking working with many of the largest investment banks, as well as hedge funds and start-ups. His experience spans all areas of trading, risk management and quantitative research. In addition, he is also a visiting professor at Imperial College in computational finance, as well as a visiting senior lecturer in risk management and machine learning at University College. Stephen holds a PhD in mathematical finance from London University. He also has a particular penchant for red trousers and bright socks.