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Events

• May

  24

  IEMS Seminar: Bayesian Optimization in the Tech Sector: The Parallel Knowledge Gradient Method, and Experiences at Uber, Yelp, and SigOpt

  Department of Industrial Engineering and Management Sciences

  11:00 AM M228 Technological Institute

  EVENT DETAILS

  Peter Frazier

  Cornell University

  Title: Bayesian Optimization in the Tech Sector: The Parallel Knowledge Gradient Method, and Experiences at Uber, Yelp, and SigOpt

  Abstract: We discuss parallel derivative-free global optimization of expensive-to-evaluate functions, and the use of Bayesian optimization methods for solving these problems, in the context of applications from the tech sector: optimizing e-commerce systems, real-time economic markets, mobile apps, and hyperparameters in machine learning algorithms. We describe optimization as a decision-making task ("where should I sample next?") and study it using decision-theory, by placing a Bayesian prior distribution on the objective function, and choosing the set of points to evaluate next that provide the largest value of the information. Using this approach, we develop a novel algorithm for parallel derivative-free global optimization of expensive functions, called the parallel knowledge gradient (pKG) method, which outperforms previously state-of-the-art Bayesian methods. We conclude with examples of the impact of these methods in the tech sector, from the speakers' experiences working with Yelp, Uber, and the Bayesian Optimization startup company, SigOpt.

  Bio: Peter I. Frazier is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University, and currently on sabbatical leave at Uber, where he is a Staff Data Scientist and the Data Science Manager for uberPOOL, Uber's carpooling service. His research interest is in sequential decision-making and Bayesian statistics, focusing on Bayesian optimization and optimal learning.

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  TIME Tuesday, May 24, 2016 at 11:00 AM - 12:00 PM

  LOCATION M228 Technological Institute    map it

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  CONTACT Agnes Kaminski    a-kaminski@northwestern.edu EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences

• Apr

  16

  Does Overnight News Explain Overnight Returns?

  Department of Industrial Engineering and Management Sciences (IEMS)

  11:00 AM Krebs Classroom, North Campus Parking Garage/Academic Building

  EVENT DETAILS

  Abstract: Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large part of this effect can be explained by differences between intraday and overnight news and the response to news. Our analysis uses a collection of over a million news articles. We use supervised topic analysis technique that selects news topics based on their ability to explain contemporaneous market returns. We find that differences in the mix of news topics and differences in the responses to news topics both contribute to the difference in intraday and overnight returns. In out-of-sample tests, our approach forecasts which stocks will do particularly well overnight and particularly poorly intraday. We contrast the effect of news with other mechanisms proposed in the literature to explain overnight returns. This is joint work with Kriste Krstovski, Paul Laliberte, and Harry Mamaysky.

  Bio: Paul Glasserman is the Jack R. Anderson Professor Business at Columbia Business School, and he is chair of the Financial and Business Analytics center in Columbia University's Data Science Institute. His research interests lie at the intersection of data science and quantitative finance; recent projects include work on properties of implied volatility, stress testing, systemic risk, swing pricing, and applications of natural language processing in finance. Paul received the 2006 Lanchester Prize for his book, Monte Carlo Methods in Financial Engineering, and he is also a past recipient of Risk magazine's Quant of the Year Award (2007) and the IAQF Financial Engineer of the Year Award (2020).

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  TIME Tuesday, April 16, 2024 at 11:00 AM - 12:00 PM

  LOCATION Krebs Classroom, North Campus Parking Garage/Academic Building    map it

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  CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

• Jun

  10

  Northwestern Engineering PhD Hooding and Master's Degree Recognition Ceremony

  McCormick School of Engineering and Applied Science

  9:00 AM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering PhD Hooding and Master’s Degree Recognition Ceremony

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  TIME Monday, June 10, 2024 at 9:00 AM - 11:00 AM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Jun

  10

  Northwestern Engineering Undergraduate Convocation

  McCormick School of Engineering and Applied Science

  2:00 PM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering Undergraduate Convocation

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  TIME Monday, June 10, 2024 at 2:00 PM - 4:00 PM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science