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World Business StrategiesServing the Global Financial Community since 2000

Tuesday 15th June: Day 2 WQF

New Tool for Market Monitoring: MarketScribe

EDT: 09.00
BST: 14.00
CEST: 15.00

Abstract: The market group serves as “eyes and ears” of the Federal Reserve System and Treasure Department in terms of monetary policy, financial stability policy, foreign exchange policy and debt management policy.  One of the key responsibility of the market group is market monitoring, which provides the rigorous analysis of how the financial markets are reacting to, and interpreting monetary policy.  One importance piece of this process is the event studies of FOMC communications and other policy communications such as governor and Fed president’s speeches/interviews. This is time sensitive work, and currently is very human resource intensive because it is conducted manually. Built with advanced AI techniques, the MarketScribe is an NLP tool transcribe and summarize the public speeches, and visualize the market impact of these communications on a word-to-word basis. The tool outputs a word document including the summary and full transcription of the speech. The tool also includes an interactive dashboard to visualize the transcription analysis together with the market data movement. It is now been utilized in the market continues group for the quick overview of the market during the FOMC time.

Knarig Arabshian:

Senior Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

Knarig Arabshian: Senior Associate Knowledge Engineer in Technology Innovation, Federal Reserve Bank of New York

I am a Senior Associate Knowledge Engineer in Technology Strategy & Innovation at theFederal Reserve Bank of New York where I conduct research in semantic web technologies and text analytics for structuring financial data.

Previously, I was an Assistant Professor in the Computer Science Department at Hofstra University in Hempstead, NY and a Member of Technical Staff at Bell Labs in Murray Hill, NJ. I have also taught as an Adjunct Professor at Columbia University twice. I received my PhD in Computer Science from Columbia University in 2008, where I worked in theIRT Lab under the advisment of Henning Schulzrinne.

Xue Rui:

Senior Associate, Enterprise Architecture, Federal Reserve Bank of New York

Xue Rui: Senior Associate, Enterprise Architecture, Federal Reserve Bank of New York

Xue graduates from University of Notre Dame with Ph.D in physics and Master in Electric Engineering. She is a Senior Associate in Federal Reserve Bank of New York. Her work focuses on developing and deploying NLP and AI technology in the bank. Prior to joining the Federal Reserve Bank, Xue has been working as Scientist in General Electric Global Research Center. Xue’s research interests focus on artificial intelligence, including natural language processing, image analysis, and computer vision.  She holds 20 + peer reviewed publications and 10 + patents.

“Let's Face It: Quantifying the Impact of Nonverbal Communication in FOMC Press Conferences”

EDT: 10.00
BST: 15.00
CEST: 16.00

Abstract: We apply facial recognition methods to FOMC press conference videos, and quantify one of the most important aspects of nonverbal communication – facial expressions. Using minute-level data, we align our nonverbal communication measure with a set of financial assets to estimate the impact of the Federal Reserve Chairs’ facial expressions on investor expectations. We find that investors adversely react to negative expressions revealed during the press conference, even when controlling for the verbal component of the press conference and additional explanatory variables. The effect is heightened in meetings that draw more attention and when the Chair is discussing forward guidance.

Sophia Kazinnik:

Senior Quantitative Analyst, Federal Reserve Bank of Richmond

Sophia Kazinnik: Senior Quantitative Analyst, Federal Reserve Bank of Richmond

Sophia is currently a Sr. Quantitative Analyst within the Supervision, Regulation and Credit (QSR) department at the Federal Reserve Bank of Richmond. Prior to joining the Richmond Fed, Sophia worked at the University of Houston, teaching courses in economics. She received her bachelor’s degree from the Tel Aviv University (Tel-Aviv, Israel), and earned her doctoral degree in economics from the University of Houston. In her current role, she works on development and production of analytical tools related to financial risk management. Her research interests focus on applying Natural Language Processing (NLP) techniques in the realm of financial economics.

Topic and presenter to be confirmed

EDT: 11.00
BST: 16.00
CEST: 17.00

Sponsor: Citi

PANEL: Talent Attraction & Retention

EDT: 12.00
BST: 17.00
CEST: 18.00

Topics:

  • What are QR Financial Services currently doing and what should they be doing to attract more female talent?
  • What can Universities and Recruitment companies do to help?
  • What strategies are financial companies using at present if any?
  • What are QR Financial Services currently doing and what should they be doing to retain female talent?
  • What top positions besides Asset Management can QF- profiled women occupy?
  • For each position open, the percentage of female CVs submitted is very small (if not none). Why is this happening and how can universities/headhunters/companies work together to improve the numbers?
  • At more senior levels the number of women is even lower than at entry level which means that the female population retention rate is low or/and women are not being promoted. Discuss.
  • Mentoring programmes that could specifically help Diversity & Inclusion.
  • Are quantitative positions too specialised which prevents women (and men) to move horizontally to different (and possibly more senior) roles?

Moderator:

Burcu Karabork:

Quantitative Developer, NatWest Markets

Burcu Karabork: Quantitative Developer, NatWest Markets

Burcu joined NWM in 2012 on the Technology Graduate Scheme and is currently a quant developer at NWM. She holds an MEng (Hons) in Aeronautical Engineering from the University of Bristol. She has spent the last few years working on the bank’s unified risk engine and has more recently returned to her more maths-centric roots in the eFI space.

Edith Mandel:

Principal, Greenwich Street Advisors, LLC

Edith Mandel: Principal at Greenwich Street Advisors, LLC
Edith Mandel is a seasoned finance professional with 20 years of experience.   She held a number of senior roles both on the sell and buy sides of the Fixed Income business.
Edith has extensive hands-on experience in developing quantitative trading models, and building systematic risk-taking businesses from the ground up.
As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion.   As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, risk management, alpha research and algorithmic execution.
In the last two-and-a-half years, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).   While there, she spearheaded a development of a new quantitative and systematic business within the Global Fixed Income group.
Edith started her professional career at Goldman Sachs, where she held a number of positions in the Fixed Income division.   As a Managing Director, Edith ran a team of quantitative strategists responsible for algorithmic trading in US Treasuries and Swaps, for risk management of a broad set of interest rate products, including vanilla and exotic options, and for the development of a toolkit for systematic risk-taking.
Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business and a development of new profitable systematic trading strategies in liquid rates.
Edith Mandel is a seasoned finance professional with over 18 years of experience.   She held a number of senior roles both on the sell and buy sides of the Fixed Income business.
Edith has extensive hands-on experience in developing quantitative trading models, and building systematic risk-taking businesses from the ground up.
As a principal at Greenwich Street Advisors, LLC, Edith advises both established participants in the Fixed Income market and those companies considering opportunities for expansion.   As an expert in the Fixed Income market, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, risk management, alpha research and algorithmic execution.
In the last two-and-a-half years, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).   While there, she spearheaded a development of a new quantitative and systematic business within the Global Fixed Income group.
Edith started her professional career at Goldman Sachs, where she held a number of positions in the Fixed Income division.   As a Managing Director, Edith ran a team of quantitative strategists responsible for algorithmic trading in US Treasuries and Swaps, for risk management of a broad set of interest rate products, including vanilla and exotic options, and for the development of a toolkit for systematic risk-taking.
Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business and a development of new profitable systematic trading strategies in liquid rates

Marina Balzac:

Head of Foundational Credit Risk Modeling team for Wholesale and Retail portfolios, Citi

Marina Balzac: Head of Foundational Credit Risk Modeling team for Wholesale and Retail portfolios at Citi

Sandrine Ungari:

Head of Cross-Asset Quantitative Research team, Société Générale

Sandrine Ungari: Head of Cross-Asset Quantitative Research team, Société Générale

Sandrine Ungari is currently Head of Cross-Asset Quantitative Research team at Société Générale. Within the Cross-Asset Research group, the Quantitative Research team is active in risk premia strategies, derivatives and structured products, portfolio risk modelling, and provides research to investors worldwide. The group has been recognised as a market leader in quantitative research, and was ranked #1 in the Extel survey in the Quantitative Strategies category. Sandrine’s research topics cover systematic strategies across asset classes, interest rate modeling, machine learning, statistical analysis and portfolio construction. She joined Société Générale in 2006. Prior to that, she worked as a quantitative analyst at HBOS Treasury and at Reech Sungard in London. She is a graduate of ENSTA (Paris) and hold a Master’s in Quantitative Finance from Paris VI University. She is a guest lecturer at University Paris Diderot.

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