Dean Markwick

A finance quant by day that writes about Julia and other things at night. You can read my ramblings at


15:00 UTC

Machine Learning Property Loans for Fun and Profit

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

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

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.

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Pumas AIQuEra Computing Inc.Relational AIJeffrey Sarnoff

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Jolin.ioBeacon BiosignalsMIT CSAILBoeing

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