Statistical Quirks, Subtleties, and Surprises in Financial Data
- January 31 , 3:00 - 4:30, Hill Center 552
Dr. Martin Goldberg, Lead Consultant at ValidationQuant.com Martin Goldberg presents a few statistical techniques where financial data demands more sophisticated treatment than one finds in elementary textbooks.
Martin Goldberg has worked as a quantitative analyst since 1988, first as a desk quant in fixed income and commodities, then developing market risk and VaR models, and Head of Model Validation at Citi, then at Standard and Poor's. His main research interests are copulas and Extreme Value Theory as applied to risk management. He got a Bachelor's in Chemistry from CalTech and his Ph.D. in Theoretical Quantum Chemistry from CUNY. His thesis centered on a non-linear optimization where the parameters are calibrated to the Fourier Transform of the data.
** Refreshments will be served at @2:30pm in Room 452 Hill Center **