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The Quant / Financial Engineering Podcast

Latest episodes

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Sep 13, 2022 • 29min

Data Analytics vs Fintech with Troy Aider, PhD

Professor Patrick Zoro speaks with Professor Troy Adair about the differences between Data Analytics and Fintech. Professor Zoro is a director for the Master in Financial Engineering https://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering Professor Aider is a vocal advocate for the use of technology to enhance business processes, and is the author of numerous textbooks leveraging technology in the business decision-making processes https://business.lehigh.edu/directory/troy-adair-jr
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Jun 1, 2022 • 27min

The Geometry of Time with Aria Kartar Kaur Sangha, CFA

Professor Patrick Zoro speaks with Gurraj Singh Sangha, CFA Chief Quantitative Investment Officer about the concept of time within the alternative investment signal realm. The concept of Theory of Relativity, Free Will, Block Theory, the works of Henri Bergson and Martin Armstrong make their way into the conversation. Patrick Zoro Manages the Master In Financial Engineering program at Lehigh University https://www.linkedin.com/company/lehigh-master-in-financial-engineering
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Apr 21, 2022 • 23min

Swing Trading

Patrick Zoro Director of the master's in financial engineering program at Lehigh University has a quant discussion with Rekhit Pachanekar on Swing Trading. Rekhit is a quant researcher at Quantinsti and creating courses in the field of algo trading and machine learning. He is the co-author of the "Machine Learning for Trading" book which is available on Amazon as well.
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Mar 10, 2022 • 36min

QUANT MOVES

Professor Zoro speaks with Quant Youtuber and Dimitri Bianco, FRM about job prospects for Quants. The changing landscape is discussed, and advice provided to graduates.
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Feb 13, 2022 • 35min

Reinforcement Learning and Interpretability

Patrick Zoro welcomes to his podcasts Hariom Tatsat author of the book "Machine Learning and Data Science Blueprints for Finance: From Building Trading Strategies to Robo-Advisors Using Python 1st Edition", Bryan Yekelchik Lehigh MFE graduate and Zach Coriarty 4th Year, Bachelors of Science in Computer Science and Business at Lehigh University, Interested in data science and ML, LinkedIn: https://www.linkedin.com/in/zachary-coriarty/ They discuss their recent paper on "Deep Q-Network Interpertability: Applications to ETF Trading" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3973146 https://www.svedbergopen.com/files/1643786733_(3)_IJAIML2021YH205248CR_(p_61-70).pdf
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Jan 7, 2022 • 24min

Commonality in Liquidity

Patrick Zoro speaks with Dr Neal Snow on his recently published co-authored work on an examination on search-based peer (SBP) groups proposed by Lee, Ma, and Wang (2015) and their relationship with commonality in liquidity. Their results confirm that SBP affiliation is a significant determinant of commonality in liquidity and, unlike market- and industry-commonality, SBP-commonality has been increasing over the past 15 years. Their results show that retail investors are responsible for roughly 85% of the EDGAR searches that generate SBP groups. Overall, their study provides new evidence of a significant demand-side commonality associated with SBP affiliations. https://academic.oup.com/rof/advance-article-abstract/doi/10.1093/rof/rfab033/6456321?redirectedFrom=fulltext Patrick Zoro is the director of the MFE program at Lehigh U. and a professor of practice, and leads the capstone program for the MFE course work Dr. Neal Snow is a professor and researcher in the college of Business at Lehigh University.
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Dec 8, 2021 • 22min

COP26, Climate change and the oversight of carbon footprint in multi-factor modeling

Patrick Zoro speaks to a former Wall Street colleague, Frank Van Gansbeke https://www.linkedin.com/in/frank-van-gansbeke-48199918/ Frank has been active on many fronts: Teaching, Blockchain and now is looking into Climate Change. To that end he authored the following forbes document aimed at highlighting the true impact of climate change but from a financial perspective. In other words, we may not measure risk appropriately. The discussion then moves to multi factor modeling in the most interesting of ways. https://www.forbes.com/sites/frankvangansbeke/2021/11/03/open-letter-to-mark-carney/?sh=4f5a61ce3656
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Nov 24, 2021 • 31min

Algorithmic Sports Trading

Patrick Zoro welcomes three Master in Financial Engineering graduates from Lehigh University to talk about their forward looking project on Sports Analytic. These MFE are advised in their continuing efforts by Asset Management firms in the US and abroad. Jack Dean is a second year MFE student graduating in May 2022. He has a BS in Finance from Lehigh. He is at the time of the recording a part-time analyst at Millennium Jack Gill is a second year MFE student graduating in May 2022 He has a BS in Finance from Lehigh. Jack is embedded part-time with a private equity firm. Michael Nelson is a second year MFE student graduating in May 2022. He has a BA in Mathematics from the University of Vermont. Michael is embedded part-time with a private equity firm.
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Aug 24, 2021 • 26min

Covered Rate Parity and Crypto

Patrick Zoro discusses the application of the Covered Rate Parity principle to the Cryptocurrency market via a novel research idea from Matthew Marine with guidance from Gaurav Singh. Matthew (https://www.linkedin.com/in/matt-marine) is a Lehigh MFE student graduating in 2022. Before attending Lehigh, he worked at Wedbush Securities where he managed the corporate Treasury and specialized in short-term fixed-income investments, bank sweep products, and capital raising. Matthew graduated from UCLA where he received an M.B.A with a focus in Finance. Gaurav (https://www.linkedin.com/in/singh-gamer-gaurav )works as a Quant Analyst at QuantInsti, India and has experience developing and deploying various algorithmic trading strategies. QuantInsti is an Algorithmic Trading Research and Training Institute, conducting professional programmes in the contemporary field of Algorithmic and Quantitative Trading.
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Jul 28, 2021 • 29min

NLP & Quantamental Investing

Professor Zoro bring together two data scientist to discuss Natural Language Processing (NLP), Alternative Data and how it is used in Asset Management. Yuyu Fan, Ph.D is a VP Data Scientist and uses Natural Language Processing and Machine Learning techniques to generate investment signals and to improve client services via various types of data. Vincent Tang, MFE is an AVP Quantitative Research Associate, Vincent uses quantitative models and alternative data to enhance Alliance Bernstein’s investment process

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