Physics and Finance. – (Mohamed Belkacem / LPT / Seminar). – 4/07/2023, 14H

Mohamed Belkacem, LPT

Seminar LPT, 4/07/2023, 14H, 3R4, new conference room

Summary :

In this presentation, I will talk about my experience in the financial sector. After reviewing some aspects of the financial markets, I will focus on the areas where a physicist (or a mathematician) can make use of his/her scientific skills to help develop tools and instruments useful for the financial sector users. Among the various skills, I will briefly talk about how stochastic differential equations are used for predicting future price distributions (for derivatives pricing and risk management). Joint distribution functions and correlations are also aspects widely used to manage portfolios. Moreover, expertise in the various types of regression (linear and non-linear parametric regression, non-parametric regression) and optimization (brute force, simplex, annealing, genetic algorithms, etc) is used to construct efficient and robust portfolios as well as in developing and testing trading strategies. I will end my talk by presenting two of the tools applied during my stay, a trading strategy based on the concept of auto-correlations and a risk management process using the concept of entropy and number of independent bets.