Financial Engineering Workshop - Jean-Philippe Bouchaud (CFM & Academie des Sciences)

Jean-Philippe Bouchaud is co-founder, chairman and chief scientist of Capital Fund Management and adjunct Professor at Ecole Normale Supérieure. He will be giving a seminar titled "Quadratic Hawkes processes and endogenous price jumps" on Wednesday 22nd February 2023 from 18:00 - 19:00.

Abstract
Why do prices jump so often? There is accumulating evidence that a very large fraction of price jumps are of endogenous origin and are the result of nearly unstable feedback loops in financial markets. We introduce and discuss Quadratic Hawkes Processes (QHP) that allow one to quantify such feedback loops and explain several other important stylized facts of price fluctuations, such as time reversal asymmetry, also known as "path dependent volatility". Multivariate extensions of QHP will be presented.

Bio
Jean-Philippe Bouchaud is co-founder, chairman and chief scientist of Capital Fund Management and adjunct Professor at Ecole Normale Supérieure. He was elected as member of the French Academy of Sciences in 2018. In 2020 he held the Bettencourt Innovation Chair at Collège de France. In 2017 he was named Quant of the Year by Risk Magazine.

Please register the day before the workshop to receive the link to the online seminar, otherwise you may not be given access.

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