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Upcoming Events

Monday, April 30, 2018

Avraham Shtub -Technion

Seminar: Distinguished Lecture Series | April 30 | 3:30-5 p.m. | 3108 Etcheverry Hall


Avraham Shtub, Technion

Industrial Engineering & Operations Research


Professor Avraham Shtub holds the Stephen and Sharon Seiden Chair in Project Management. He was a faculty member of the department of Industrial Engineering at Tel Aviv University from 1984 to 1998 where he also served as a chairman of the department (1993-1996)...   More >

Monday, May 7, 2018

BLISS Seminar: Learning with Low Approximate Regret with Partial Feedback

Seminar | May 7 | 3-4 p.m. | 540 Cory Hall


Eva Tardos

Electrical Engineering and Computer Sciences (EECS)


We consider the adversarial multi-armed bandit problem with partial feedback, minimizing a non-negative loss function using the graph based feedback framework introduced by Mannor and Shamir in 2011. We offer algorithms that attain small loss bounds, as well as low approximate regret against a shifting comparator.

Classical learning algorithms add a low level of uniform noise to the...   More >

Friday, June 15, 2018

Let's be Flexible: Soft Haptics and Soft Robotics

Seminar | June 15 | 1-2 p.m. | 540AB Cory Hall


Allison Okamura, Stanford University

Electrical Engineering and Computer Sciences (EECS)


While traditional robotic manipulators are constructed from rigid links and localized joints, a new generation of robotic devices are soft, using flexible, deformable materials. In this talk, I will describe several new systems that leverage softness to achieve novel shape control, provide a compliant interface to the human body, and access hard-to-reach locations...   More >

Tuesday, July 31, 2018

Seminar 217, Risk Management: A Term Structure Model for Dividends and Interest Rates

Seminar | July 31 | 2-3:30 p.m. | 1011 Evans Hall


Speaker: Damir Filipović, Ecole Polytechnique Fédérale de Lausanne

Consortium for Data Analytics in Risk


Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form.

Tuesday, August 28, 2018

Seminar 217, Risk Management: Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Seminar | August 28 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Montserrat Guillen, University of Barcelona

Consortium for Data Analytics in Risk


Many automobile insurance companies offer the possibility to monitor driving habits and distance driven by means of telematics devices installed in the vehicles. This provides a novel source of data that can be analysed to calculate personalised tariffs. For instance, drivers who accumulate a lot of miles should be charged more for their insurance coverage than those who make little use of their...   More >

Tuesday, September 4, 2018

Seminar 217, Risk Management: On Optimal Options Book Execution Strategies with Market Impact

Seminar | September 4 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Saad Mouti, UC Berkeley

Consortium for Data Analytics in Risk


We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part...   More >

Tuesday, September 11, 2018

Seminar 217, Risk Management: Capacity constraints in earning, and asset prices before earnings announcements

Seminar | September 11 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Tamas Batyi, UC Berkeley

Consortium for Data Analytics in Risk


This paper proposes an asset pricing model with endogenous allocation of constrained learning capacity, that provides an explanation for abnormal returns before the scheduled release of information about firms, such as quarterly earnings announcements. In equilibrium investors endogenously focus their learning capacity and acquire information about stocks with upcoming announcements, resulting in...   More >

Saturday, September 15, 2018

Science Lecture - Artificial Intelligence and the long-term future of humanity

Lecture | September 15 | 11 a.m.-12:30 p.m. | 100 Genetics & Plant Biology Building


Stuart Russell, Department of Electrical Engineering and Computer Sciences

Science@Cal


The news media in recent years have been full of dire warnings about the risk that AI poses to the human race, coming from well-known figures such as Stephen Hawking and Elon Musk. Should we be concerned? If so, what can we do about it? While some in the mainstream AI community dismiss these concerns, Professor Russell will argue instead that a fundamental reorientation of the field is required...   More >


All Audiences, Alumni, Faculty, Friends of the University, General Public, Staff, Students - Graduate, Students - Prospective, Students - Undergraduate, Cal Parents

All Audiences, Alumni, Faculty, Friends of the University, General Public, Staff, Students - Graduate, Students - Prospective, Students - Undergraduate, Cal Parents

Tuesday, September 18, 2018

Seminar 217, Risk Management: Nonstandard Analysis and its Application to Markov Processes

Seminar | September 18 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Haosui Duanmu, UC Berkeley

Consortium for Data Analytics in Risk


Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in probability theory as well as stochastic processes. Nonstandard analysis allows construction of a single object - a hyperfinite probability space - which satisfies all the first order logical properties of a finite probability space, but which can be simultaneously viewed as a...   More >

Tuesday, September 25, 2018

Seminar 217, Risk Management: A Deep Learning Investigation of One-Month Momentum

Seminar | September 25 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Ben Gum, AXA Rosenberg

Consortium for Data Analytics in Risk


The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return...   More >

Tuesday, October 2, 2018

Seminar 217, Risk Management: Predicting Portfolio Return Volatility at Median Horizons

Seminar | October 2 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Dangxing Chen, UC Berkeley

Consortium for Data Analytics in Risk


Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-term investors, such as Defined...   More >

Tuesday, October 9, 2018

Seminar 217, Risk Management: Robust Learning: Information Theory and Algorithms

Seminar | October 9 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Jacob Steinhardt, Stanford

Consortium for Data Analytics in Risk


This talk will provide an overview of recent results in high-dimensional robust estimation. The key question is the following: given a dataset, some fraction of which consists of arbitrary outliers, what can be learned about the non-outlying points? This is a classical question going back at least to Tukey (1960). However, this question has recently received renewed interest for a combination of...   More >

Tuesday, October 16, 2018

Seminar 217, Risk Management: Asymptotic Spectral Analysis of Markov Chains with Rare Transitions: A Graph-Algorithmic Approach

Seminar | October 16 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Tingyue Gan, UC Berkeley

Consortium for Data Analytics in Risk


Parameter-dependent Markov chains with exponentially small transition rates arise in modeling complex systems in physics, chemistry, and biology. Such processes often manifest metastability, and the spectral properties of the generators largely govern their long-term dynamics. In this work, we propose a constructive graph-algorithmic approach to computing the asymptotic estimates of eigenvalues...   More >

Tuesday, October 23, 2018

Seminar 217, Risk Management: Proliferation of Anomalies and Zoo of Factors – What does the Hansen–Jagannathan Distance Tell Us?

Seminar | October 23 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Xiang Zhang, SWUFE

Consortium for Data Analytics in Risk


Recent research finds that prominent asset pricing models have mixed success in evaluating the cross-section of anomalies, which highlights proliferation of anomalies and zoo of factors. In this paper, I investigate that how is the relative pricing performance of these models to explain anomalies, when comparing their misspecification errors– the Hansen–Jagannathan (HJ) distance measure. I find...   More >

Tuesday, November 13, 2018

Seminar 217, Risk Management: Putting the 'I' in IPO

Seminar | November 13 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speakers: Chi Zhang, Kamyar Kaviani, Nikita Vemuri, and Simon Walter, UC Berkeley

Consortium for Data Analytics in Risk


As an alternative to traditional loans, young people could issue securities that pay dividends that depend on their future financial success in life. This type of a personal IPO is especially desirable for young people, who for example may need money for a college education, because it allows them to shift the risk of repayment to investors who bet on their future success, unlike in a traditional...   More >

Tuesday, November 27, 2018

Seminar 217, Risk Management: Bankruptcy Claim Dischargeability and Public Externalities: Evidence from a Natural Experiment

Seminar | November 27 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Michael Ohlrogge, Stanford

Consortium for Data Analytics in Risk


In 2009, the Seventh Circuit ruled in U.S. v. Apex Oil that certain types of injunctions requiring firms to clean up previously released toxic chemicals were not dischargeable in bankruptcy. This was widely perceived to represent a split with Sixth Circuit precedent, although Supreme Court cert was denied. Numerous legal commentators wrote of the significance of this decision in strengthening...   More >

Wednesday, December 5, 2018

Collider Cup III

Special Event | December 5 | 10 a.m.-3 p.m. | 310 Jacobs Hall


Sutardja Center for Entrepreneurship & Technology


The Collider Cup is SCET's all-star showcase of the best student teams from this Fall 2018 semester. Come watch teams pitch to panels of professors, investors and industry experts as they vie to win the grand prize, the Collider Cup!

New this semester, the top three teams from the event will receive automatic final round meetings with Arrow Capital for the potential to receive $15K to $50K in...   More >