Date: Thursday, 26 May 2022
Speaker: Charles-Albert Lehalle (Abu Dhabi Investment Authority (ADIA) and Visiting Professor at Imperial College London)
Title: Mathematics Of Data Curation For Financial Applications
Abstract: The emergence of alternative data (satellite images, texts, credit cards, vessels positions, etc) opened the door to nowcasting a few years ago.
Nowcasting targets to understand the current state of the physical and economic world, collecting information everywhere it is available.
Hence, when used properly, these datasets can shed light on investment decisions and on the valuation of tradable instruments.
I am working with such datasets for more than six years now, managing teams of researchers using such them to feed investment strategies.
It appears to me that dealing with such datasets for financial applications is very subtle, and that it requires to carefully identify their bias a way that is not needed for other applications.
Besides, an important challenge is to be able to combine these datasets, or datasets of different origins describing the same phenomenon.
For instance, the supply chain for companies is partially known by observing factories, or by picking the right information in the quarterly reports of the companies, and by observing the positions of vessels and ships on the oceans.
More recently I started to collect formal knowledge on the process of Data Curation, around concepts like Post-Stratification, Active Learning, Covariate Shift, Causality and Semi-Supervised Learning.
During this talk I will share my understanding of these fields and how I see them providing solutions for nowcasting.
Thursday, 26 May 2022, 19:00 (GMT +2)
Slides to talk: