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SEDS Events

Discover more about SEDS events.

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SEDS Annual Summit

Monday 20 May - Tuesday 21 May 2019, Wolfson Theatre (LSE)

The goal of this summit was to bring together academics, students and industrial participants with interests in applied and methodological aspects of data science. The event helped provide an opportunity for people across the LSE to connect, discuss and showcase various ongoing activities – as well as facilitate future collaborations in the data science area.

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Wednesday 6 March 2019 | The Structure of a Jump: Volatility Forecasting
Seminar by Henri Waelbroeck

Date: Wednesday 6 March 2019

Time: 12.00pm - 1.30pm

Location: OLD.4.10

This seminar was delivered by Henri Waelbroeck, Vice President and Director of Research for Portfolio Management & Trading solutions at FactSet.

Volatility forecasting plays a key role in risk and options pricing. There has been a lot of work on the mean reversion properties of volatility, including GARCH, rough volatility models etc. Such models are limited to time-series data and therefore do not provide any insight on innovations. Earnings announcements for example represent the majority of annual volatility in most stocks. The volatility of Pharmaceutical stocks is dominated by news on the drug approval process, and so on.

Here, we review how machine learning can be used to refine a fair market price of single-stock options and how the options montage can be mapped to various jump models. We review some examples: a fit of the trinomial jump process to the 2018 mid-term elections in the US, the binomial model to fit the option “frown” ahead of a PDUFA announcement on a new drug, and a previously unreported informed jump model applicable to earnings announcements.

Tuesday 26 February - Wednesday 6 March 2019 | Machine Learning in Finance
Course by Henri Waelbroeck

Dates: Tuesday 26 February - Wednesday 6 March 2019

Times: 5.00pm - 7.00pm or 6.00pm - 8.00pm

Locations: CLM.7.02 and PAR.LG.03

This course was run by Henri Waelbroeck (Vice President and Director of Research for Portfolio Management & Trading solutions at FactSet) and took place over the space of four late-afternoon/evening sessions at LSE between 26 February - 6 March 2019.