NYU Tandon, Finance & Risk Engineering Department

Congratulations to the Techno Traders, who won the International Association for Quantitative Finance IAQF Thirteenth Annual Academic Affiliate Membership Student Competition! 27 teams representing 12 academic programs submitted papers in response to this year's competition problem which focused on risk-neutral probabilities. Read the full problem statement here: https://lnkd.in/esf-ybpr This is the 9th year that NYU FRE students have placed in this competition! Techno Traders was led by student team captain Minzhe Feng. Team members included Xiaochang Cheng, Jingru Fan, Bingbing Ke, Junhao Mai, and Yixin Xu. The team worked under the direction of Professor Ronald T. Slivka and Zahra Patterson. "Preparing for this trading competition required a substantial amount of your time and superior work as a team. The best “trophy” you are bringing back is the positive learning experience for yourself and added value to your career development. I know you will take away both important lessons from this experience and strengthened friendships with your team members." - Professor Slivka #NYUTandonMade NYU Tandon School of Engineering

For the ninth consecutive year, students from NYU Tandon, Finance & Risk Engineering Department have triumphed in team competitions against other universities with similar academic programs. This year a Tandon team took top honors in the International Association for Quantitative Finance IAQF 's annual student competition, pitted against twenty-seven teams from twelve universities. When the more than two dozen team papers had been submitted and evaluated, a Tandon team — coached by newly retired Professor Ronald T. Slivka and directed by FRE Program Manager Zahra Patterson — was once again among those taking home top honors. (Rather than identifying traditional first, second, and third place winners, the IAQF deems a subset of the entries "first place.") Team Techno Traders consisted of Minzhe Feng (student captain), Xiaochang Cheng, Jingru Fan, Bingbing Ke, Junhao Mai, and Yixin Xu, and their winning paper was titled “Directional Forecasts with Risk-Neutral Probabilities and Skewness-Based Trading Strategy.” Click the link to learn more about this competition. #NYUTandonMade https://buff.ly/3ZdcKbP

I would like to thank Professor Ronald T. Slivka and our FRE Program Manager Zahra Patterson for all the support along the way, and thank you to NYU Tandon, Finance & Risk Engineering Department and the International Association for Quantitative Finance IAQF for this incredible opportunity and recognition. I hope to share more of my experience in the future!

You are cordially invited to attend the Columbia & NYU Financial Engineering Colloquium on November 6th at Columbia University. This month we welcome Professor Jose Blanchet and Renyuan Xu. Professor Blanchet will present "On Highly Parameterized Controls and Fusion of Generative Diffusions" and Professor Xu will present "Generative diffusion models: optimization, generalization and fine-tuning." Registration is required. Please RSVP below. https://lnkd.in/geFUiyrc #NYUTandonMade

Please join us online or in person for the Peter Carr Seminar Series on Tuesday, October 15th, as we welcome Chao Zhou & Eric Liverance. Please see the link below for more information #NYUTandonMade.

PhD and Postdoctoral Applications Now Open for 2024/2025 Academic Year The Electrical and Computer Engineering Department - Finance and Risk Engineering Department at the NYU Tandon School of Engineering is now accepting applications for PhD and Postdoctoral positions under the supervision of Prof. Amine Aboussalah. We are seeking highly motivated candidates with a strong background in applied mathematics and an interest in Information Geometry and Machine Learning. Our research focuses on advancing machine learning methods for dynamical systems, including time series modeling, ordinary differential equations (ODEs), partial differential equations (PDEs), large language models (LLMs), physics-informed machine learning, and reinforcement learning agents. Requirements: - A strong academic background in applied mathematics, machine learning, or a related field. - Demonstrated research experience, preferably with publications in top-tier conferences (e.g., NeurIPS, ICML, ICLR) or high-impact journals (e.g., Nature, Science, Journal of Machine Learning Research, INFORMS Journals). - Familiarity with dynamical systems, time series modeling, and relevant machine learning models. This is an excellent opportunity to work in a research environment addressing both theoretical and applied challenges in these areas. For more information and to apply, please visit: https://lnkd.in/ee7Ja5mz NYU Tandon School of Engineering Prof. Amine Aboussalah's Research Group [email protected]

I am truly humbled and honored to announce the publication of our paper, titled “Asset Returns: Reimagining Generative ESG Indexes and Market Interconnectedness”, in the Journal of Risk and Financial Management. This research is the result of a rewarding collaboration with the esteemed Professor Gordon Dash and Professor Nina Kajiji, whose expertise and dedication have been instrumental throughout the process. In this paper, we investigate the link between a firm’s commitment to environmental, social, and governance (ESG) principles and asset market returns. Using an algorithmic approach, we identified three hidden but influential E, S, and G time-series factors. These were tested through a modified six-factor Fama-French model, enhanced by a shallow-learning neural network to account for nonlinear relationships between observable and nonobservable factors. To simplify machine learning outputs, we incorporated explainable AI (XAI). Our study advances the literature by introducing new time-series-based ESG factors and demonstrating the use of machine learning to model asset returns. The full article is now available here: https://lnkd.in/edUPN4_6 JRFM MDPI Farmingdale State College School of Business The George Washington University - School of Engineering & Applied Science NYU Tandon, Finance & Risk Engineering Department University of Maryland Baltimore County Lepton Actuarial & Consulting, LLC Miriam Dash Nahid Jafari, PhD Moustapha Pemy Helyette Geman

Please join us for a Special Seminar on Wednesday, October 9, 2024, 4:00 pm - 5:00 pm, as we welcome John Birge, the Hobart W. Williams Distinguished Service Professor of Operations Management at the The University of Chicago Booth School of Business. Professor Birge will present "Default and Recovery Risk Premia and Nonlinear Asset Pricing Models." https://lnkd.in/e4NDxVes

Check out Mark Bogorad's tool "Python Option Pricing & Hedging Tool 3.0" on #QuantNet! #NYUTandonMade NYU Tandon School of Engineering

The Columbia-NYU Financial Engineering Colloquium will return on Wednesday, October 2nd at the NYU Tandon School of Engineering. We look forward to welcoming Jin Ma and David Yao. Professor Jin Ma will present "Convergence Analysis of Policy Iteration Algorithms for Entropy-Regularized Stochastic Control Problems" and Professor David Yao will present "Emission Trading System and Risk Hedging." This event is free, but registration is required. Learn more and RSVP at the following link: https://lnkd.in/e-AvS8J5 #NYUTandonMade Columbia University #FinancialEngineering #IndustrialEngineering #OperationsResearch #Stochastic #Control #Risk #Trading