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CME 242: Mathematical and Computational Finance Seminar

Speaker: Shota Ishii, State Street Global Exchange, GX Labs

Title: Data Driven Analysis of Multi-Asset Class Portfolios

Abstract: Longer-horizon, multi-asset class portfolios characterize those of large pensions and sovereign funds, which drive some of the largest flows in the market.  Meanwhile, much of financial theory from the 1950s to the 1990s was driven by examining only the behavior of equities, particularly in the United States.  The rise of high-performance computing using a broader array of market and non-market data is allowing us to create richer models for understanding the sources of performance in these portfolios.  We explore some of the tools, methodologies, and new areas of potential exploration for these complex multi-asset class portfolios through the lens of contemporary computing and data science.
 
Bio: Shota joined State Street Global Exchange in 2014 to help build out its portfolio analytics and advisory capabilities as well as to work on product strategy, design, and complex data visualization. He also engages in strategic initiatives and business development as part of GXLabs, a new innovation center formed in San Francisco to exploit the recent advances in massive data management and high-performance computing as applied to finance. Prior to State Street, he worked at DCI, a systematic long/short investment manager based in San Francisco specializing in corporate credit. His other experiences include running a social knowledge management start-up venture in Paris and consulting extensively on allocation and risk as regional manager for Asia at Moody’s KMV, a quantitative credit risk advisory firm, in Asia and in the United States for regulators, large banks, asset managers, and insurance companies. He has also consulted extensively for the Financial Strategies group at Shinsei Bank in Tokyo. He has a BS from Cornell University in applied physics and an MBA from INSEAD.  
Location: 

200-203

Organizer: 
Kapil K Jain
Date: 
Thursday, April 14, 2016 -
4:30pm to 5:30pm