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London Society Meeting: Statistical Learning for Financial Markets
In partnership with Acadia

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Fitch Ratings, 30 North Colonnade, London, E14 5GN
Please note: This event is live, in-person only


Join Joerg Kienitz and Saeed Amen at our first London Society as they discuss the statistical learning for financial markets in detail.

Joerg Kienitz will discuss how statistical learning techniques can be applied to the pricing/calibration and hedging. To this end he shortly reviews some methods and outlines a method based on Gaussian Mixture models which is versatile to work with exotic Bermudan payoffs, multiple dimensions, classic and generative models and leading to a proxy hedging approach. Many illustrative examples are shown.

Saeed Amen will discuss how machine learning can be used to forecast inflation in conjunction with alternative data, and how it differs from more traditional approaches. He will also present some current inflation forecasts for major economies, and what is driving these forecasts.

This event can earn you up to 2 CPD credits.

Speaker Bio

Jörg Kienitz is a partner at Quaternion, Acadia’s Quant Services division. He owns the website - an educational platform for Quantitative Finance and Machine Learning. Jörg consults on the development, implementation, and validation of quantitative models. He is an Assistant Professor at the University of Wuppertal and an Adjunct Associate Professor at AIFMRM at the University of Cape Town. He regularly addresses major conferences, including Quant Minds, RISK or the WBS Quant Conference series. Jörg has authored four books, Monte Carlo Frameworks (with Daniel J. Duffy), Financial Modelling (with Daniel Wetterau), and Interest Rate Derivatives Explained I and II (with Peter Caspers). He also co-authored many peer reviewed research articles that appeared in leading journals like Quantitative Finance, RISK or Mathematics in Industry.

Saeed Amen is the co-founder of Turnleaf Analytics and the founder of Cuemacro. Over the past fifteen years, Saeed Amen has developed systematic trading strategies at major investment banks including Lehman Brothers and Nomura. He is also the author of Trading Thalesians: What the ancient world can teach us about trading today (Palgrave Macmillan) and is the coauthor of The Book of Alternative Data (Wiley). Turnleaf Analytics generates forecasts for inflation using machine learning and alternative data. He has developed many Python libraries including finmarketpy and tcapy for transaction cost analysis. Clients have included major quant funds and data companies such as Bloomberg. He has presented his work at many conferences and institutions which include the ECB, IMF, Bank of England and Federal Reserve Board. He is also a visiting lecturer at Queen Mary University of London and a co-founder of the Thalesians.

About Acadia

Acadia is the leading industry provider of integrated risk management services for the derivatives community. Our risk, margin and collateral tools enable a holistic risk management strategy on a real-time basis within a centralized industry standard platform.

Acadia’s comprehensive suite of analytics solutions and services helps firms manage risk better, smarter, and faster, while optimizing resources across the entire trade life cycle. Through an open-access model, Acadia brings together a network of banks and other derivatives participants, along with several market infrastructures and innovative vendors.

Backed by 16 major industry participants and market infrastructures, Acadia is used by a community of over 2000 firms exchanging more than $1 trillion of collateral on daily basis via its margin automation services. Acadia is headquartered in Norwell, MA and has offices in Boston, Dublin, Dusseldorf, London, Manila, New York, and Tokyo. Acadia® is a registered trademark of AcadiaSoft, Inc.  

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