Charles-Albert Lehalle (École Polytechnique): "Synthetic Data for Portfolios" скачать в хорошем качестве

Charles-Albert Lehalle (École Polytechnique): "Synthetic Data for Portfolios"

Abstract: Generative models are popular in image processing, sound processing, texts and molecular biology. Engineers and researchers are tempted to use them to generate synthetic returns to optimise portfolio. In this paper we show it cannot work with the standard approach, and especially that in any case, generating more data is not decreasing confident intervals. We also propose a methodology to evaluate Generators of returns for portfolios, so that researchers in quantitative finance will collectively progress like it has been in other fields. Speaker Bio: Charles-Albert Lehalle, Professor at Ecole Polytechnique, IP Paris and Fellow of Institute Louis Bachelier, Paris. Charles-Albert Lehalle is currently Professor at Ecole Polytechnique in Paris teaching and researching on liquidity, price formation, and the use of AI on financial markets. Previously, he has been Global Head, Quantitative Research & Development, at ADIA during three years. He started his career being in charge of embedded AI solutions at the Renault research center and moved to the financial industry with the emergence of automated trading in 2005. He was Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure at Crédit Agricole Corporate Investment Bank, before joining to Capital Fund Management (CFM) for 7 years. On the academic side, Pr. Lehalle received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and has published more than eighty academic papers and book chapters. He co-authored the books "Market Microstructure in Practice" (World Scientific Publisher, 2nd edition 2018), analyzing the main features of modern markets; and "Financial Markets in Practice" (World Scientific Publisher 2022), explaining how the connected network of intermediaries that makes the financial system is shaping prices formation; he co-edited with Pr Agostino Capponi the book "Machine Learning and Data Sciences for Financial Markets A Guide to Contemporary Practices" (Cambridge University Press, 2023). Pr. Lehalle is also a member of the Scientific Directory of the Louis Bachelier Institute, Lecturer at UC Berkeley and Paris 6 Sorbonne Université and Ecole Polytechnique “Probability and Finance” Master.