Event Agenda

Agenda

Agenda: The Fundamentals of Machine Learning in Finance

Agenda timing is in GMT
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Session one - 2pm GMT / 9am EST
Session two - 3.15pm GMT / 10.15am EST
End - 4.15pm GMT / 11.15am EST
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Day one: Monday, June 15, 2020

14:0015:00

Introduction to machine learning (ML)

14:00 - 15:00

  • Difference between modern statistics, ML and AI

  • Core components of the ML processes

  • How does ML apply to financial organisations?

  • Current applications of ML

  • Identifying how ML is changing financial markets

Dr Richard Saldanha

Founder & Co-Head

Oxquant

Dr Richard Saldanha is Founder and Co-Head of Oxquant, a consultancy firm that provides expertise and advice on risk management, investments and the impact of artificial intelligence. He is also an Independent Adviser to Oxford Portfolio Advisers.

Richard has over 20 years’ experience in asset management and investment banking in the areas of risk, trading and investments. In particular, he was Global Head of Risk at Investec Asset Management (2010–15), headed a quantitative global macro initiative for the same firm (2006–09) and founded and ran his own hedge fund Oxquant Capital Partners (2004–06).

In addition to his consulting and advisory activities, Richard lectures on statistical machine learning and its applications in finance at Queen Mary University of London. He attended Oriel College, University of Oxford, and holds a doctorate (DPhil) in statistics.

Dr Drago Indjic

Managing director

Oxquant

Dr Drago Indjic is an expert data science practitioner and is co-head of Oxquant. He is co-founder of Soft-Finance (Geneva), Technology Partnership (Belgrade) and Richfox Capital (Amsterdam). In addition, Drago has been a technology project funding evaluator for the European Union's ambitious €80bn Horizon 2020 programme since 1997 and will continue in that role with H2020's successor programme. 

Drago has over 25 years’ experience in alternative investments and entrepreneurship and has worked as a portfolio manager and in research at several hedge funds, a family office and for a GCC sovereign wealth fund. He is an investor in a number of fintech businesses. 

Drago lectures regularly on fintech and hedge funds at Queen Mary University of London and Regent's University. He holds a Dipl Ing from the University of Belgrade and a PhD from Imperial College, London; and is a Member of the IEEE and IET.

 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Understanding data

15:15 - 16:15

  • The importance of identifying data source and types

    • New data: multi-modal, mobile sensor data (gestures, movement)

    • Alternative data: smart city, spatial and flow data

    • Semantic data: text, documents 

  • The effect of data quality on ML output

  • Analysing and visualising data

  • Choosing the best data set 

    • Available data or trial study design

Dr Richard Saldanha

Founder & Co-Head

Oxquant

Dr Richard Saldanha is Founder and Co-Head of Oxquant, a consultancy firm that provides expertise and advice on risk management, investments and the impact of artificial intelligence. He is also an Independent Adviser to Oxford Portfolio Advisers.

Richard has over 20 years’ experience in asset management and investment banking in the areas of risk, trading and investments. In particular, he was Global Head of Risk at Investec Asset Management (2010–15), headed a quantitative global macro initiative for the same firm (2006–09) and founded and ran his own hedge fund Oxquant Capital Partners (2004–06).

In addition to his consulting and advisory activities, Richard lectures on statistical machine learning and its applications in finance at Queen Mary University of London. He attended Oriel College, University of Oxford, and holds a doctorate (DPhil) in statistics.

Dr Drago Indjic

Managing director

Oxquant

Dr Drago Indjic is an expert data science practitioner and is co-head of Oxquant. He is co-founder of Soft-Finance (Geneva), Technology Partnership (Belgrade) and Richfox Capital (Amsterdam). In addition, Drago has been a technology project funding evaluator for the European Union's ambitious €80bn Horizon 2020 programme since 1997 and will continue in that role with H2020's successor programme. 

Drago has over 25 years’ experience in alternative investments and entrepreneurship and has worked as a portfolio manager and in research at several hedge funds, a family office and for a GCC sovereign wealth fund. He is an investor in a number of fintech businesses. 

Drago lectures regularly on fintech and hedge funds at Queen Mary University of London and Regent's University. He holds a Dipl Ing from the University of Belgrade and a PhD from Imperial College, London; and is a Member of the IEEE and IET.

 

16:1516:15

End of day one

16:15 - 16:16

Day two: Tuesday, June 16, 2020

14:0015:00

Objective function in ML

14:00 - 15:00

  • Explaining the objective function: representing the business problem, cost or budget

  • Types of objective function

    • Regression and classification

  • Specifying constraints 

  • Specifying function based on outcomes 

    • Risk and loss functions – investment, credit

    • Ratings – client analytics (churn, fraud, AdTech), ESG 

  • Model selection

    • Principles of model and variable selection

    • Confidence estimate: determining the complexity of a model

Dr Richard Saldanha

Founder & Co-Head

Oxquant

Dr Richard Saldanha is Founder and Co-Head of Oxquant, a consultancy firm that provides expertise and advice on risk management, investments and the impact of artificial intelligence. He is also an Independent Adviser to Oxford Portfolio Advisers.

Richard has over 20 years’ experience in asset management and investment banking in the areas of risk, trading and investments. In particular, he was Global Head of Risk at Investec Asset Management (2010–15), headed a quantitative global macro initiative for the same firm (2006–09) and founded and ran his own hedge fund Oxquant Capital Partners (2004–06).

In addition to his consulting and advisory activities, Richard lectures on statistical machine learning and its applications in finance at Queen Mary University of London. He attended Oriel College, University of Oxford, and holds a doctorate (DPhil) in statistics.

Dr Drago Indjic

Managing director

Oxquant

Dr Drago Indjic is an expert data science practitioner and is co-head of Oxquant. He is co-founder of Soft-Finance (Geneva), Technology Partnership (Belgrade) and Richfox Capital (Amsterdam). In addition, Drago has been a technology project funding evaluator for the European Union's ambitious €80bn Horizon 2020 programme since 1997 and will continue in that role with H2020's successor programme. 

Drago has over 25 years’ experience in alternative investments and entrepreneurship and has worked as a portfolio manager and in research at several hedge funds, a family office and for a GCC sovereign wealth fund. He is an investor in a number of fintech businesses. 

Drago lectures regularly on fintech and hedge funds at Queen Mary University of London and Regent's University. He holds a Dipl Ing from the University of Belgrade and a PhD from Imperial College, London; and is a Member of the IEEE and IET.

 

15:0015:15

Break

15:00 - 15:15

15:1516:15

From modern statistics to machine learning models

15:15 - 16:15

  • Decision trees

  • Ensembles of models

  • Unsupervised learning 

  • Reinforcement learning 

  • Deep learning

Dr Richard Saldanha

Founder & Co-Head

Oxquant

Dr Richard Saldanha is Founder and Co-Head of Oxquant, a consultancy firm that provides expertise and advice on risk management, investments and the impact of artificial intelligence. He is also an Independent Adviser to Oxford Portfolio Advisers.

Richard has over 20 years’ experience in asset management and investment banking in the areas of risk, trading and investments. In particular, he was Global Head of Risk at Investec Asset Management (2010–15), headed a quantitative global macro initiative for the same firm (2006–09) and founded and ran his own hedge fund Oxquant Capital Partners (2004–06).

In addition to his consulting and advisory activities, Richard lectures on statistical machine learning and its applications in finance at Queen Mary University of London. He attended Oriel College, University of Oxford, and holds a doctorate (DPhil) in statistics.

Dr Drago Indjic

Managing director

Oxquant

Dr Drago Indjic is an expert data science practitioner and is co-head of Oxquant. He is co-founder of Soft-Finance (Geneva), Technology Partnership (Belgrade) and Richfox Capital (Amsterdam). In addition, Drago has been a technology project funding evaluator for the European Union's ambitious €80bn Horizon 2020 programme since 1997 and will continue in that role with H2020's successor programme. 

Drago has over 25 years’ experience in alternative investments and entrepreneurship and has worked as a portfolio manager and in research at several hedge funds, a family office and for a GCC sovereign wealth fund. He is an investor in a number of fintech businesses. 

Drago lectures regularly on fintech and hedge funds at Queen Mary University of London and Regent's University. He holds a Dipl Ing from the University of Belgrade and a PhD from Imperial College, London; and is a Member of the IEEE and IET.

 

16:1516:15

End of day two

16:15 - 16:16

Day Three: Wednesday, June 17, 2020

14:0015:00

Interpreting and validating a model

14:00 - 15:00

  • Automated model building and benchmarking: AutoML, EvalAI suites and tournaments

  • Transparency and explanation: Understanding why a model provides a given or fair prediction

  • Deep learning: challenges in leveraging state-of-the-art approaches 

  • The requirement of explainable models from a regulatory perspective 

  • Approaches to satisfy explainability 

Rogelio Cuevas

Senior Manager, Data Scientist

TD Bank

Rogelio Cuevas is a Data Scientist, Senior Manager at TD Bank where his main responsibility is providing data science and machine learning solutions for different lines of business. Prior to his tenure with TD Bank, he was a Data Scientist at Scotiabank where he developed credit risk models in retail banking through the prototyping and implementation of machine learning techniques. 

He is an active member of the Toronto data science community where he offers mentoring and training to professionals. Part of these activities include being a panelist at Rotman School of Business, mentor at Insight Data Science Toronto and invited speaker at University of Toronto. 

Before his experience in the financial sector, Rogelio contributed with IBM through its Cognitive Class initiative, formerly known as Big Data University. 

Rogelio has a strong academic background and research experience that he acquired working in academic institutions that include McMaster University, Duke University and The University of Western Ontario. 
 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Machine learning in investment management and portfolio optimisation

15:15 - 16:15

  • Data science & machine learning in quantitative investment management

  • The impact ML has on portfolio optimisation 

  • Multi period portfolio optimisation and asset allocation frameworks

  • New tools and techniques in large-scale machine learning and analytics

  • ML based portfolio hedging strategies

16:1516:15

End of day three

16:15 - 16:16

Day four: Thursday, June 18, 2020

14:0015:00

ML for risk practitioners

14:00 - 15:00

  • Identifying and monitoring risk

  • Applications of ML in different risk areas

  • Reducing credit risk

  • Enforcing regulatory compliance: risk profiling and fairness

  • Mitigating MLs own risk to the business model

Jesús Calderón

Managing director

Maclear Data Solutions

15:0015:15

Break

15:00 - 15:15

15:1516:15

Machine learning in finance: putting it into practice

15:15 - 16:15

  • ML for quantitative investment: challenges and opportunities 

  • Where does ML have more chance of winning? 

  • Start with a baseline model 

  • Two examples: 

    • Forecasting dividend ends 

    • Building a stock selection model 

  • Future applications of machine learning in finance

Vishal Gossain

Vice President, AML / ATF Analytics

Scotiabank

Vishal Gossain is currently the vice president of global risk management responsible for all global regulatory and non-regulatory retail models, and application of artificial intelligence and machine learning for retail products. Vishal has held previous senior retail modeling, risk management, business strategy, P&L management and finance positions in Latin America and North America. Some of them include Head of credit risk for HSBC in Latin America, Head of credit risk for Capital One Canada and several other risk/business management positions in HSBC USA and consulting firms. 
Vishal currently sits on the board of MIT Computer Science and Artificial Intelligence Laboratory and University of Western Post-graduate program.
Vishal holds an undergraduate degree in engineering from Indian Institute of Technology (IIT) Kharagpur and has completed his post-graduation in engineering from University of Texas at Austin.
 

16:1516:15

End of course

16:15 - 16:16