Financial Engineering Practitioners Seminar
This seminar is in partnership between Global Risk Institute and Industrial Engineering and Operations Research at Columbia University.
Kilian Mie and Jared Peterson will provide an overview of quantitative investing and the framework from which quantitative investors understand their portfolios and the markets that shape them. From here, they will provide some background on machine learning and how it has served as a tool for researchers in pushing the field of quantitative investing forward. Rather than a theoretical discussion, they intend to do this via a set of mini show cases to illustrate how the quantitative approach and machine learning tools can add value to their portfolios at GSAM. These applications include the use of natural language processing, deriving investing insights based on geographical macro-economic data, and developing approaches to cross-sectional trend investing.
Kilian joined the Quantitative Investment Strategies (QIS) group as a strategist in 2014. Kilian focuses on alpha, portfolio and trade execution research. Kilian started his career in the Goldman Sachs’ Global Investment Research division in 2004, where he built expertise in reverse-engineering and implementation of econometric models from academic papers. As of 2005, he spent the next 9 years on the sell-side in the Goldman Sachs Execution Strategies division developing execution algos for equities and futures, in particular, with a focus on portfolio order executions and modeling market impact for large trades. He is an active member of the machine learning community at Goldman Sachs, and holds a Bachelor’s degree and a M.Sc. in Econometrics from the University of Maastricht, Netherlands.
Jared is client portfolio manager of the Quantitative Investment Strategies (QIS) group within Goldman Sachs Asset Management (GSAM). Jared has been a member of the QIS team since 2014. He focuses on research, strategy and client communication for the broad suite of active equity portfolios. Jared graduated from Princeton University with a Bachelor’s degree in Economics.