Mathematical Sciences Department
Financial Mathematics Seminar
Speaker: Jörg Osterrieder, University of Twente (Netherlands)
Monday, March 27, 2023
12:00 pm - 1:00 pm
Stratton Hall 202
Title: A tour through Quantitative Finance Research in the Era of Machine Learning and Artificial Intelligence
Abstract: In this talk, we will provide an overview of some research projects at the intersection of quantitative finance and machine learning/artificial intelligence. Our goal is to give a broad audience a tour of the potential and challenges of applying machine learning and artificial intelligence techniques to finance. We will begin by discussing the fundamentals of machine learning and artificial intelligence, and their applications in finance. From there, we will delve into specific research projects, such as using machine learning for credit risk assessment in peer-to-peer lending, and explainable AI for credit risk management. We will also explore the use of network-based models for credit risk assessment, reinforcement learning for trading and forecasting financial markets, and the potential for multi-agent reinforcement learning in finance. Additionally, we will touch on the use of natural language processing for narratives in finance. Finally, we will discuss emerging topics in the field, such as the use of synthetic data generation. Overall, this talk will provide a comprehensive overview of some developments in the field of quantitative finance and machine learning/artificial intelligence. We hope to inspire a deeper understanding of the potential and challenges of applying these cutting-edge techniques to finance.
Bio: Joerg Osterrieder is Associate Professor of Finance and Artificial Intelligence at the University of Twente in the Netherlands, Professor of Sustainable Finance at Bern Business School in Switzerland, and Advisor on Artificial Intelligence to the ING Group's Global Data Analytics Team. He has more than 15 years of experience in financial statistics, quantitative finance, algorithmic trading, and the digitization of the finance industry. Joerg is the Chair of the European COST Action 19130 Fintech and Artificial Intelligence in Finance, an interdisciplinary research network comprised of over 270 researchers from 49 countries. He is the director of studies for an executive education course titled "Blockchain, Machine Learning, and Data Science in Finance" and the primary organizer of a series of annual research conferences on Artificial Intelligence in Finance. He is a founding associate editor of Digital Finance, editor of Frontiers Artificial Intelligence in Finance, and frequent reviewer for leading academic journals. He also serves as an expert reviewer for the European Commission's "Executive Agency for Small and Medium-Sized Enterprises" and "European Innovation Council Accelerator Pilot" programs. In close collaboration with the Finance industry, he has led or co-led over thirty national and international research projects on a wide range of quantitative, data-driven topics over the past few years. Previously he worked as an executive director at Goldman Sachs and Merrill Lynch, as quantitative analyst at AHL as well as a member of the senior management at Credit Suisse Group. Joerg is now active at the intersection of academia and industry, focusing on the implementation of research results in the financial services industry.