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Boston QWAFAFEW Meeting: 17 Mar 2020

March 17, 2020 @ 6:00 pm - 8:00 pm

| $30

Boston QWAFAFEW Meeting: 17 Mar 2020

Happy St. Patrick’s Day

“He uses statistics as a drunken man uses lamp-posts…for support rather than illumination.” Andrew Lang

Synthetic vix data generation using deep learning techniques 

A QWAFAFEW discussion led by:

Sri Krishnamurthy, CFA, CAP 

Synthetic data sets and simulations are used to enrich and augment existing datasets to provide comprehensive samples while training machine learning problems. In addition, synthetic data generators could be used for scenario generation when modeling future scenarios when trained on real and synthetic scenarios. The advent of novel techniques like Deep Learning has rekindled interest in using techniques like Generative Adversarial Networks (GANs) and Encoder-Decoder architectures in financial synthetic data generation.

In this talk, we discuss a recent study we did to see the efficacy of synthetic data generation when there are significant VIX changes in the market during short time horizons. We used QuSandbox’s QuSynthesize, a synthetic data generator for time-series based datasets and used historical VIX datasets and synthetic VIX scenarios to generate futuristic scenarios. We will discuss the GAN architecture and our findings. In addition, we will illustrate how NVIDIA GPUs helped us to scale training of GANs.

Since the number of unique versions of ML models could increase significantly due to possible combinations, and the hyper parameters used for synthetic data generation change, we need to be able to track all changes and the lineage of models. We will illustrate how QuTrack, a Blockchain-based approach to track experiment and model changes primarily designed for AI and ML models.

Sri Krishnamurthy, CFA, CAP is the founder of www.QuantUniversity.com, a data and Quantitative Analysis Company and the creator of the Analytics Certificate program and Fintech Certificate program. Sri has more than 20 years of experience in analytics, quantitative analysis, statistical modeling and designing large-scale ML and AI applications. Prior to starting QuantUniversity, Sri has worked at Citigroup, Endeca, MathWorks and with more than 25 customers in the financial services and energy industries. He has trained more than 1000 students in quantitative methods, analytics and big data in the industry and at Babson College, Northeastern University and Hult International Business School.
Sri earned an MS in Computer Systems Engineering and another MS in Computer Science, both from Northeastern University and an MBA with a focus on Investments from Babson College. Sri is a certified NVIDIA DLI Instructor since 2018
About us:
QuantUniversity (www.quantuniversity.com) is a quantitative analytics and machine learning advisory based in Boston, Massachusetts. QuantUniversity runs various data science and machine learning workshops in Boston, New York, Chicago, San Francisco and online in its Explore-Experience-Excel series. QuantUniversity is building QuSandbox, a platform to prototype, build and scale reproducible machine learning pipelines. QuantUniversity is a part of NVIDIA’s Inception program, a program to accelerate AI startups.

Contact us at: info@qusandbox.com


Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club
939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Mailing List and Payment Link: https://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)

By Bitcoin
Send us Bitcoin, our address is:
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH  03811

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.

Please bring exact change (eg: two twenties = $40 Guest Fee).

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:
Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

RSVP to: hugh@QWAFAFEW.org

Mailing List and Payment Link: https://boston.qwafafew.org/


March 17, 2020
6:00 pm - 8:00 pm




Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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