The Quant / Financial Engineering Podcast

Edris Loftpouri MFE /24 discusses his interest on the implementation of Bayesian Neural Networks (BNNs) for macroeconomic forecasting. He also touches on Castastrophe Modeling https://www.linkedin.com/in/patrick-z-08bb5b5a/ https://www.linkedin.com/company/lehigh-master-in-financial-engineering/ This project develops a Bayesian Neural Network (BNN) for macroeconomic forecasting, using stochastic v...

The podcast welcomes Rob Navin, Founder of Real Time Risk Systems to discuss his new method of estimated a realized volatility based on P&L from a constant gamma position. This is a deep dive quant discussion on Option strategies. Estifanos Shekour, MFE also join the podcast and share his experience on designing option strategies. Link to Discussion Article https://optionstree.substack.com/p/gamma...

Professor Zoro speaks with Garrettt DeSimone about Options. Various aspects of the Option environment are discussed including OptionMetrics, The Vix on August 5th, 2024, Blogs by Garrett Garret is Head of Quant Research at OptionMetrics www.linkedin.com/in/garrett-desim…e-ph-d-4ab7ba68/ www.reuters.com/business/media-te…oubts-2023-07-28/ OptionMetrics optionmetrics.com www.businesswire.com/news/ho...

Professor Zoro speaks with Joseph Furlong about the inverted Yield Curve and its implications. They get to talk about the $35 trillion national debt, the stock market and other salient topics. With over three decades of dedicated experience in banking, Joe's expertise lies in loan portfolio management and risk analytics. Patrick Zoro www.linkedin.com/in/patrick-z-08bb5b5a/Lehigh Master in Financia...

Patrick Zoro discusses Alpha Mining with Bogdan Ivaniuk, Co-Founder & CEO at AlphaCube. Bogdan is also a Quantitative Researcher and Algorithmic Trader. Both discusses the interesting AlphaCube's approach of alpha mining algorithm, which has the capability to generate up to 40 million strategies daily on a single CPU. To achieve high-speed computation, AlphaCube employs a method of precalculating...

Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ in a vivid discussion with book author Steve Dalton https://www.linkedin.com/in/daltonsteve/ Various topics are addressed through the lens of the students seeking a first job to the hiring manager. The conversation explores the psychology behind a LinkedIn, faceless approach vs the face to face relationship building but challenging appro...

Professor Zoro speaks with Samuel Black about the interesting relationship between Quant Finance and the world of Physics. Samuel Black is a Master in Financial Engineering, with an undergraduate in Physics. https://www.linkedin.com/in/samuel-v-black/ Patrick Zoro https://www.linkedin.com/in/patrick-z-08bb5b5a/ Lehigh Master in Financial Engineeringhttps://business.lehigh.edu/academics/graduate/ma...

Professor Zoro speaks with Brett Friedman about one of the most popular Wall Street auguries the so-called “January Barometer,” or the belief that the market’s investment performance in January is indicative of the rest of the year. Brett Friedman has managed risk for over 30 years and has broad experience working with financial institutions in risk management and operations. He has built and mana...

Professor Zoro speaks with Quant Youtuber Mehul Mehta about the Master in Financial Engineering. Various aspects of the program are discussed including who is best for that program, the curriculum, the jobs Mehul is currently working at Charles Schwab as a Manager in Risk Modeling/Analytics department. Prior to Charles Schwab, Mehul was working at Regions Bank as Assistant Vice President in the Tr...

Professor Zoro speaks with Brett Friedman about the VIXX and how it has behaved recently. Various aspects of VIX are explored including how it is calculated, its relevancy and its behavior. Brett Friedman has managed risk for over 30 years and has broad experience working with financial institutions in risk management and operations. He has built and managed three risk management organizations fro...

Professor Zoro speaks with Omid Malekan about Crypto and the need for more peer reviewed academic research. Various aspects of this topic are explored including the need for a "Crypto PE" for example. Omid is a an Adjunct Professor @ Columbia Business School, explainer in chief at https://www.linkedin.com/company/conversanceinc/ and a book author https://www.omidmalekan.com Patrick Zoro https://ww...

Professor Zoro speaks with Garrettt DeSimone about Options. Various aspects of the Option environment are discussed including OptionMetrics, Out of the money put, Fat tales, Long Dated Options, Taleb Nassim, Blogs by Garrett Garret is Head of Quant Research at OptionMetrics https://www.linkedin.com/in/garrett-desimone-ph-d-4ab7ba68/ https://www.reuters.com/business/media-telecom/bearish-traders-sw...

Professor Zoro speaks with Asim Turk, MFE about the Multi-Factor Investing Model Asim has been working on. In additional to Multi Factor, various aspects of the project are being addressed such as Pandas - data manipulation for stocks and factor returns Scikit-learn - multiple linear regression for stock returns and factor returns Pulp - linear programming Library for Optimization Tableu - visuali...

Professor Zoro speaks with Allan Frank and Kirin Zhang about Kirin's new Wiki Page: what it is? how is it used? what will be its impact? and its relationship with ChatGpt. https://bronze-shield-a82.notion.site/f01f5cf581284adbb0c8fcc1844f810b?v=f8e31c76015b4637a95afc1d4e54871c https://www.linkedin.com/in/patrick-z-08bb5b5a Allan Frank brings over 45 years of technology and business leadership. His...

Professor Zoro speaks with Allan Frank and Kushal Gowda about Plugins: what it is? how is it used? what will be its impact? and its relationship with ChatGpt. https://www.linkedin.com/in/patrick-z-08bb5b5a Allan Frank brings over 45 years of technology and business leadership. His background includes CTO for Capgemini, CTO for the City of Philadelphia, Chief Digital Officer & Co-founder of The Hac...

Professor Zoro speaks with Allan Frank and Kushal Gowda about Prompt Engineering: what it is? how is it use? what will be its impact? and its relationship with ChatGpt. https://www.linkedin.com/in/patrick-z-08bb5b5a Allan Frank brings over 45 years of technology and business leadership. His background includes CTO for Capgemini, CTO for the City of Philadelphia, Chief Digital Officer & Co-founder...

Patrick Zoro speaks with Frank Van Gansbeke about the SVB collapse and the Polycrisis. The discussion brings forth several topics such as Too much money in the system, too much leverage, drive to de-regulate, excess liquidity, the impact of the lack of competition, remnants of the 2008 crisis. Frank is executive scholar in Residence at Middlebury (Collegehttps://www.middlebury.edu/college/people/f...

Professor Zoro speaks with Rodrigo Petricioli, MFE (https://www.linkedin.com/in/rodrigo-petricioli) about Multi Factor Investing, Modeling. They discuss how such a model can be valuable when risk goes up (especially during a recession). Rodrigo also explains the strategy and coding used in this project. Professor Zoro manages Lehigh MFE program https://business.lehigh.edu/academics/graduate/master...

Professor Zoro speaks with Charles Dotson MFE '22 , Director of Research at Quantify Chaos about his project on pairs trading. They get to discuss some aspects of this project that is gaining traction with prop desks. They also talk about the different ways for students to get quant jobs (Charles' innovative concept of "who you know", "what you know" and "What can you do" is explored). https://bus...

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 textb...

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 Unive...

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.

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.

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://...

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 incre...