Dean Markwick

A finance quant by day that writes about Julia and other things at night. You can read my ramblings at https://dm13450.github.io/

Talks:

15:00 UTC

Machine Learning Property Loans for Fun and Profit

07/28/2023, 3:00 PM3:30 PM UTC
26-100

This talk will demonstrate the use of the MLJ.jl package in building a machine-learning pipeline for a dataset of property loans. The goal is to predict which loans might default and build a strategy to minimize losses. Several machine learning models such as ElasticNet, XGBoost, and KNN will be explored, and then combined into a stacked model. I will also show how the output of these models can be used to drive investment decisions and the final results of the strategy. This talk will provide a

15:50 UTC

Simulating RFQ Trading in Julia

07/28/2023, 3:50 PM4:00 PM UTC
32-124

This talk will explore using Julia to simulate the Request for Quote (RFQ) trading method. RFQ is a trading method that puts counterparties in competition by asking banks for prices to buy or sell an asset. I will simulate the Executing in an Aggregator model (Oomen 2017) and demonstrate why Julia's high performance and ease of use make it a perfect choice for simulating this type of trading. I'll finally show how we can learn from these simulations, educate clients and guide pricing strategies.

Platinum sponsors

JuliaHub

Gold sponsors

ASML

Silver sponsors

Pumas AIQuEra Computing Inc.Relational AIJeffrey Sarnoff

Bronze sponsors

Jolin.ioBeacon BiosignalsMIT CSAILBoeing

Academic partners

NAWA

Local partners

Postmates

Fiscal Sponsor

NumFOCUS