FE Practioners Seminar: Koshrow Dehnad

April 17, 2017 | 6:00pm - 8:00pm

FE Practioners Seminar: Koshrow Dehnad

Schapiro Hall (CEPSR) Davis Auditorium
Title: Does Data Support the Relevance of Some Elegant Financial Models?
 
Abstract: This non-technical talk uses real cases and data to illustrate how some elegant financial models can be irrelevant to what is happening in the markets. The presentation will also discuss how the recent troubles at some hedge funds is an indication that, in the long run, trading based on “gut feeling” will be no match for trading strategies based on Big Data and Machine Learning. It also shows that Big Data and computing power have made it possible to test some aspects of some financial theories such as the Efficient Market Hypothesis. 
 
Bio: Dr. Dehnad is Adjunct Professor of Industrial Engineering and Operations Research at Columbia University. Until recently, he was Assistant General Manger and head of Analytics and Quantitative Trading at Samba Financial Group. In that role he initiated the use of Big Data and Machine Learning to develop trading strategies. Prior to Samba, Dr. Dehnad was a Managing Director at Citigroup where he joined from Chase Manhattan Bank to establish the Hybrid Desk. He started his career on Wall Street at D.E. Shaw, a premier computer trading hedge fund
 
Dr. Dehnad received his BSc. in Mathematics with first class honors from University of Manchester and his PhD. in Mathematics from University of California, Berkeley. He was the Deputy Director of the Foreign Exchange Department at Central Bank of Iran. After receiving his second Doctorate from Stanford University, he joined AT&T Bell Labs where he published the book “Quality Control and Taguchi Method.” He started his career in finance at the program trading firm of D.E. Shaw.
 
Dr.Dehnad has published articles on finance, computer security, and quality control. He has also taught at San Jose State University and Rutgers University.


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