Event Agenda

Agenda

June Virtual Training Agenda - September announced soon!

Agenda timing is in BST
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Session one - 2pm BST / 9am EDT
Session two - 3.15pm BST / 10.15am EDT
End - 4.15pm BST / 11.15am EDT
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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

  • Transparency and explanation: understanding why a model provides a given prediction
  • Challenges in leveraging black-box approaches
  • The requirements of explainable models from a regulatory perspective
  • Approaches to satisfy explainability
  • Automated model building and benchmarking: tools for automated machine learning
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

  • What are the problems of traditional portfolio optimisation?

  • The impact ML has on portfolio optimisation

  • Multi period portfolio optimisation and asset allocation frameworks

  • Why not avoid the problems and learn the weights? 

David Jessop

Head of investment risk in EMEA

Columbia Threadneedle Investments

David Jessop is the Head of Investment Risk in EMEA for Columbia Threadneedle Investments. Prior to this he spent 17 years at UBS as the Global Head of Quantitative Research. Before joining UBS he spent time at Citigroup acting as the Head of Quantitative Marketing. He started his career at Morgan Grenfell; initially as a derivative analyst, and then as a quantitative fund manager. He has a MA in Mathematics from Trinity College, Cambridge. 

 

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

  • Classification with unbalanced classes
    • Performance measures
    • Feature engineering
    • Resampling methods
  • Anomaly detection
    • Types of anomalies
    • Detection methods
    • Dimensionality reduction for anomaly detection
Jesús Calderón

Managing director

Maclear Data Solutions

Jesús Calderón advises Canadian and international clients in the financial services and energy industries on the implementation of data-driven solutions for risk management in  banking, insurance, capital markets, and energy trading, as well as anti-money laundering and regulatory activities. Jesús has over twelve years of experience in risk management, internal audit, and fraud investigations, where he has specialized in the application of data science and machine learning methods to optimize risk control activities and examinations.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Advanced AI/ML applications in Retail

15:15 - 16:15

  • What techniques are used by banks for AI/ML?
  • How has the use of AI/ML evolved over time?
  • What were the lessons learned from some actual use cases for AI/ML in Retail banking, Fraud and AML?
  • What are the challenges we face, and how do we solve for them?
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