MathFinance Conference 2019 Recap

Over the weekend, I had time to reflect on how delightful this year’s MathFinance Conference in Frankfurt had been. While I felt that all talks of the conference were very interesting these are my personal highlights:

The conference started on Monday with an insightful talk by Thorsten Schmidt (University Freiburg) presenting new perspectives for understanding the concept of statistical arbitrage. Then followed a peek into the world of crypto currencies and crypto markets featuring 4 speakers from the Humboldt-University in Berlin including Wolfgang Härdle whose talk was particularly instructive for me, as I had not heard about the CRIX index (developed by Härdle and Trimborn) before. I particularly liked the fact that all the datasets presented in the talk can be accessed online so that the listeners could start playing around with the data right away. I learned from both, this session and playing around with the data that cryptos classify as a new asset class in the sense that its distribution features strongly differ from those of the more traditional asset classes. However, as was pointed out in the afternoon panel discussion, there is no intrinsic value in, e.g., Bitcoin and I would like to add here that from my perspective it’s intrinsic value is in fact negative due to it’s disastrous carbon footprint (the creation of new bitcoins requires immense computational effort and therefore enormous amounts of energy). So, while the blockchain technology is most probably here to stay, whether Bitcoin will become mainstream remains to be seen. I enjoyed the talk by Daniel Oeltz (Rivacon) on PAILAB which stands for Python Artificial Intelligence Laboratory – an open source pythonic workbench – and will be released by the end of April. Looking forward to it. I also gave my talk on our option-based indicator for stock price bubbles on Monday afternoon and particularly enjoyed the questions by the participants which made for a lively and intriguing discussion. The talks on Tuesday morning had a focus on modeling and numerics and I very much enjoyed Adil Reghaï’s (Natixis) talk on SLV which was in some sense the continuation of his great talk from last year’s conference. Antoine Jacquier’s (Imperial College London) talk on VIX options in rough volatility models was my personal highlight of the conference because afterwards I was convinced that at some point in the very near future the industry will adopt these models which are currently mainly subject of academic research. I will take this as an occasion to start studying the literature on rough volatility. In the afternoon session Ingo Mainert (Allianz Global Investors) gave a thought-provoking keynote speech on “Current Challenges and Developments of the Investment Industry”. Moreover, Uwe Wystup (MathFinance) provided an information-packed talk on FX option greeks and the conference was completed by Rolf Poulsen’s (University of Copenhagen) highly enjoyable talk entitled “The Fed Isn’t Federal – And Other Odd Things in Finance”.

I would like to say a huge thank you to the whole MathFinance team, particularly the Wystup family, Ansua, Uwe, Bristi and Rittik, for organizing this amazing conference full of thought-provoking talks and wonderful people at the forefront of quantitative finance. I am already looking forward to the 20th edition in 2020.

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