Data Science Seminars

Prediction of large bid-ask movements in equity options market using Neural Networks

Sala 6.2.56, Ciências ULisboa

Por Charles Mignon (BNP Paribas).

Financial markets are commonly described using complex mathematical and statistical models. Those models are used by financial institutions for internal pricing of financial derivatives, including to fulfill the legal requirements to hedge their positions and protect themselves against dangerous movements in the market. This creates an interest for data-based models, which when trained on historical data could “learn” the ability to foresee future large movements. We will present a practical study on the development of a neural network model for the prediction of intraday bid-ask variation in options market of equity derivatives. Intended to warn market markers of an upcoming large movement of the prices, this model was trained on 2-year historical time-series of market data of various European stocks and indices. While our model has shown the ability to predict the absolute move of the return on bid-ask in the next 5 minutes, its accuracy is currently too limited for the mentioned application.

Bio: Charles Mignon is a quantitative engineer at BNP Paribas in Lisbon. His background is in Physics/Engineering with an optical engineer degree from Paris (France) and a PhD from Philips Research in Eindhoven (Netherlands). His interests are related to mathematical/data-based modelling, statistical analysis and quantitative research.

Departamento de Informática | Ciências ULisboa

The course provides essential skills and knowledge that enable the participants to develop climate change adaptation strategies.

The main objective of this workshop is to bring together all researchers interested in the history of old nautical charts, most especially those produced in the Middle Ages and early modern period.

The objective of this course is to provide participants with basic knowledge on a) the fundamental aspects of experimental design and b) workflows, platforms and tools to increase reproducibility at all scientific levels.

In this course we will provide advanced hands-on training on some of the most used technological tools in field biology.

A short course by Luisa Fiorot (Dipartimento di Matematica ”Tullio Levi-Civita”, Padova, Italy).

Título do evento e fotografia de dois estudantes

Candidaturas para estudantes regulares da ULisboa até 28 de março de 2023.

The course aims at enabling the participants to use different methods to measure the impacts of pollutants on ecosystems. Basic knowledge will be provided through theoretical and practical lessons on how to select and use the most suitable metrics based on the analysis of multiple compartments of the ecosystems.

This course offers an overview of the different ways to measure biodiversity, and provides tips for the stratification of primary biodiversity data and the construction of variables that describe its various facets. It also includes an in-depth review of the different types of data used to measure biodiversity and their problems and limitations.

The goal of this course is to provide participants with current and practical knowledge on urban ecology, including its ecological and social aspects.

Sediment continuum: applying an integrated management approach.

Título, data e localização do evento

The EU PVSEC is the largest international Conference for Photovoltaic research, technologies and applications and at the same time a PV Industry Exhibition, where specialized PV Industry presents technologies, innovations and new concepts in the upstream PV sector.