QRFE Workshop on Asset Pricing and Machine Learning

Asset Pricing and Machine Learning Workshop

The general theme of the workshop is on the use of AI and machine learning in the field of Asset Pricing. It also includes a panel discussion with Mel Gunewardena from Financial Conduct Authority, Dacheng Xiu from University of Chicago Booth and Svetlana Borovkova Head of Quant Modelling at Probability & Partners.

Programme

09:00 – 09:20   Coffee and Registration

09:20 – 09:30   Opening and Welcome by Francesco Vallascas, Director of Research, Department of Finance

09:30 – 10:20   Alfred Lehar (University of Calgary)

Battle of the Bots: Flash Loans, Miner Extractable Value and Efficient Settlement, joint with Christine Parlour (Hass School of Business).

10:20 – 11:10   Svetlana Borovkova (Vrije Universiteit Amsterdam, Head of Quant Modelling at Probability & Partners)

Reinforcement learning for derivatives hedging.

11:10 – 11:40   Coffee Break

11:40 – 12:30   Erik Hjalmarsson (University of Gothenburg)

Analysts are good at ranking stocks, joint with Adam Farago (University of Gothenburg) and Ming Zeng (University of Gothenburg).

12:30 – 13:45   Lunch

13:45 – 14:45   Keynote Speech by Dacheng Xiu (University of Chicago Booth)

Expected Returns and Large Language Models.

14:45 – 15:20   Coffee Break

15:20 – 16:20   Panel Discussion facilitated by Arzé Karam (Durham University)

Mel Gunewardena (Financial Conduct Authority)

Dacheng Xiu (University of Chicago Booth)

Svetlana Borovkova (Head of Quant Modelling at Probability & Partners)