Time

18:30-20:30, Apr. 18th

Venue

Room 309, Tongji Building A

Ban ZHENG, PhD

Ban Zheng joined the Quantitative Research team of Lyxor Asset Management in 2013. Prior to Lyxor, he spent three years in quantitative research dedicated to statistical arbitrage at Natixis from 2009 to 2012. Ban is a specialist in high frequency trading, limit order book modeling and statistical methods’ application in finance. Ban holds a PhD in applied mathematics from Télécom ParisTech, and is a graduate of Ecole Polytechnique and Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE).

Outlines

What means Big Data?

. Definition

. Analysis of big data problems

Machin learning

. Machine learning and econometrics

. Some lessons about machine learning

Big data in asset management

. Lasso approach

. Nonnegative matrix factorization

. Some issues of machine learning in asset  management

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