Each quarter, the Master of Science in Analytics program invites an expert from the industry to speak in our Seminar Series. Our Winter quarter speaker is Yaxiong Zeng, PhD, Quantitative Researcher with AQR Capital Management.

In the age of AI, how would machine learning tackle the classic challenge of portfolio management? While the answer is actively being explored in the industry, this talk aims to share several practical methods through the lens of return and risk. For example, with the explosion of unstructured data, neural network-based method has been applied to extract sentiment from news articles to forecast stock returns. Online learning algorithms have been employed to select execution brokers to reduce transaction cost. On the risk side, auto-encoder based approach can be used for risk estimation and an unsupervised learning method named hierarchical risk parity is able to achieve robust out-of-sample performance by clustering the covariance matrix. Undoubtedly, in the coming decade, machine learning will be increasingly applied in portfolio management, regardless of the trading frequencies.

Yaxiong (Anthony) Zeng is a quantitative researcher in the machine learning group of AQR Capital Management. In his role, he develops machine learning based methods to design, analyze and improve investment strategies. Before AQR, Anthony was a core member of the Quantitative Investment Strategies group at Guggenheim Partners. Anthony had his PhD from Northwestern University, where he conducted research on machine learning applications in finance (particularly the option markets). Prior to that, he earned his bachelor's degree from Shanghai Jiao Tong University.

Join us March 12, 2020 in the McCormick Education Center located in the North Campus Garage for our seminar series. The reception will be from 2:15-3:00 pm and Yaxiong's talk, "Machine Learning in Portfolio Management: a high-level overview of some techniques that can be applied in the investment industry " from 3:00 - 4:00 pm.

McCormick Education Center

North Campus Garage

2311 N. Campus Drive, Suite 1400

analytics@northwestern.edu