Fields-CFI Bootcamp on Machine Learning for Finance, 2024

April 25 - 26, 2024, The Fields Institute

Location: Fields Institute, Room 230

Description

This is a follow-up to five very successful events previously held at the Fields Institute in May 2015 (Workshop on Big Data in Commercial and Retail Banking), May 2017 (Big Data for Quants Boot Camp), and Bootcamps on Machine Learning in September 2019 September-October 2021, and October 2022 focusing on research talks and training graduate students and financial practitioners in state-of-the-art data analytics techniques.

This edition of the event will focus on advanced machine learning techniques currently being used in the financial industry, as well as novel techniques at the forefront of academic research. Topics will include unsupervised and supervised machine learning, data mining and applications in predictive and risk analytics, fraud detection and consumer finance, deep reinforcement learning, natural language processing, high-frequency models of financial markets, and credit risk analytics.

Abstract Submission Link:

Submit an abstract to be considered for a contributed talk

Schedule

Thursday, April 25th, 2024
09:15 to 10:45	Deep Stochastic Optimization in Finance Max Reppen, Boston University
10:45 to 11:15	Coffee Break
11:15 to 12:15	Reinforcement Learning with Risk Preferences Ziteng Cheng, University of Toronto
12:15 to 14:00	Lunch
14:00 to 15:00	Offline reinforcement learning for optimal trading Yufei Zhang, Imperial College London
15:00 to 15:30	Coffee Break
15:30 to 15:45	Risk-Aware Goal-Based Investing: A Quantile and Reinforcement Learning Appproach Mathew Cater Benavides, University of Toronto
15:45 to 16:00	Asymmetric Violations of the Spanning Hypothesis Raul Riva, Northwestern University
16:00 to 16:15	Reinforcement Learning for Optimal Execution when Liquidity is Time-Varying Andrea Macrì, Scuola Normale Superiore
16:15 to 16:30	FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs Vedant Choudhary, University of Toronto
16:30 to 17:00	Coffee Break

Friday, April 26th, 2024
09:15 to 10:45	Machine Learning for Control and Game Problems with Applications in Finance Gökçe Dayanıklı, University of Illinois at Urbana Champaign
10:45 to 11:15	Coffee Break
11:15 to 12:15	Risk of Transfer Learning and its Applications in Finance Haoyang Cao, Johns Hopkins University
12:15 to 13:30	Lunch
13:30 to 14:30	Deep Learning for Equilibrium Models Xiaofei Shi, University of Toronto
14:30 to 15:00	Coffee Break
15:00 to 16:00	Statistical Learning – a Gaussian Take Joerg Kienitz
16:00 to 17:00	Taming the Sim-to-Real Gap in Reinforcement Learning Yuejie Chi, Carnegie Mellon University

Contributed talks will be 25 minutes each, with 5 minutes for questions at the end.

A list of confirmed speakers can be found below:

Speaker: Gökçe Dayanıklı, University of Illionois Urbana-Champaign
Title: Machine Learning for Control and Game Problems with Applications in Finance

Speaker: Haoyang Cao, Johns Hopkins University

Title: TBA

Speaker: Yuejie Chi, Carnegie Mellon University
Title: Taming the Sim-to-Real Gap in Reinforcement Learning

Speaker: Max Reppen, Boston University
Title: TBA

Speaker: Yufei Zhang, Imperial College London
Title: Offline reinforcement learning for optimal trading

Speaker: Jörg Kienitz, Acadiasoft
Title: TBA

Speaker: Xiaofei Shi, University of Toronto
Title: Deep Learning Algorithms for Equilibrium Models

Speaker: Ziteng Cheng, University of Toronto
Title: Reinforcement Learning with Risk Preferences

Registered Participants

Name	Affiliation
Nicholas Adegbe	University of Toronto
David Agbeko	University of Toronto
Hashim Almodamagha	Desjardins
Michael Andrushchenko	Ontario Teachers' Pension Plan
Nicholas Anto-Sztrikacs	University of Toronto
Abi Arora	Carnegie Mellon University
Ilnaz Asadzadeh	BMO Capital Markets
Baris Aydemir
Omid Badretale	RBC CM
Armando Benitez
Philip Bui	Univerisité de Montréal
Giovanne Campbell	Schulich School of Business
Haoyang Cao	Johns Hopkins University
Mathew Cater Benavides	University of Toronto
Gabriel Cattrysse	Scotiabank
Brian Ceco	University of Toronto
Justin Chan	Scotiabank
Ziteng Cheng	University of Toronto
Jit Seng Chen	Healthcare of Ontario Pension Plan (HOOPP)
Yuejie Chi	Carnegie Mellon University
Vedant Choudhary	University of Toronto
Simon Clift	dS/S Computational Finance Inc
Anthony Coache	University of Toronto
Siphelele Danisa	BMO Capital Markets
Kasra Darvishi
Jacqueline Doan	TD Bank Group
Adeyemi Fagbade	University of Wyoming
Elijah French	University of Toronto
Samuel Paul Gyamfi	Virginia Commonwealth University
Ramin Hamedi	cmorgroup
Nazanin Hasheminejad	Brock University
Vivian Hathaway	RGA
Jiecheng Huang	University of Toronto
Yue Huang	University of Toronto
Daniel Hudson	University of Toronto
Bilal Husain	University of New Brunswick
Abdulkadir Hussein	University of Windsor
Emre Inan	York University
Sebastian Jaimungal	University of Toronto
Nargiz Kalantarova	Canadian Imperial Bank of Commerce
Yaniv Khaslavsky	Canadian Imperial Bank of Commerce
Joerg Kienitz
Anastasis Kratsios	McMaster University
Kanapathyshan Krishnasundaram	Toronto Metropolitan University
Emma Kroell	University of Toronto
Katrina Lawrence	Eastern University
Jose H. Leon-Janampa	JHL Quantitative Analysis Ltd.
Chen Liang
Xiao Liang	University of Ottawa
Xuanze Li	University of Toronto
Andrei Luchici	Romanian-American University
Andrea Macrì	Scuola Normale Superiore
Kai Ma	JPMorgan & Chase
Haoming Meng	University of Toronto
Nelson Mesquita Fernandes	Bank of Montreal
Mehrdad Moghimi	York University
Mohammadreza Mohammadi	University of Toronto
Othmane Mounjid	Polar Asset Management Partners
Ioana Nedelcu	TD
Ke Nian	Ontario Teachers' Pension Plan
Karina Otero	Scotiabank
Jennifer Page
Hadi Papei	Scotiabank
Liang Peng	Scotiabank
Sheldon Peng	Scotiabank
Zissis Poulos	York University
Max Reppen	Boston University
Raul Riva	Northwestern University
Oleksandr Romanko
Ethan Ross	University of Toronto
Ali Shams	University of Delaware
Anusha Shrivastava	NDT Technologies Inc.
Basil Singer
Priyanka Sinha	North Carolina State University
Kyle Sung	McMaster University
Mandana Tabrizi	York University
Andrew van den Hoeven	Canadian Imperial Bank of Commerce
Anthony Vaz
Gef Wang	Scotiabank
Liam Welsh	University of Toronto
Krishan Wickrama	BCI
Leonard Wong	University of Toronto
Karl Wouterloot	Polar Asset Management Partners
Xuchen Wu	University of Toronto
Yuntao Wu	University of Toronto
Yujia Yin	University of Toronto
Qunqun Yu	Polar Asset Management Partners
Syed Zahedi	Birkbeck, University of London
Kevin Zhang	McMaster University
Yufei Zhang	Imperial College London
Bo Zhao	Bank of Montreal
Tongfei Zhou	Scotiabank