The Impact of Cheap Intelligence on the Financial Market with a Focus on Reinforcement Learning

EECS Colloquium

Wednesday, April 29, 2020

306 Soda Hall (HP Auditorium)
4:00 - 5:00 pm

Charles-Albert Lehalle

Head of Data Analytics at Capital Fund Management (CFM), Paris
and Visiting Researcher at Imperial College, London

Charles-Albert Lehalle speaks on "The Impact of Cheap Intelligence on the Financial Market with a Focus on Reinforcement Learning," 4/29/20


Abstract:

Twenty years ago, financial institutions were amongst the owners of the largest computing resources on the globe and were collecting large amounts of data.  Nevertheless, they did not take part in the recent revolution of data sciences and machine learning.  Since the financial system is a large network of intermediaries, these technologies, having large disintermediating power, are a threat to existing actors.  As a response, market participants are re-organizing around internal platforms that they partially open to their clients and providers; they create "AI Labs" or "Data Labs", to foster secondary innovations.  These innovations are driving progresses in three directions: customization of products and services, improvements of risk intermediation, and a better connection to the real economy, thanks to extra-financial datasets. Since risk intermediation is very specific to financial institutions, I will focus specifically on it during the last part of my talk, with an emphasis on reinforcement learning. I will give examples like online learning on high frequency data, or deep hedging of investment banks exposures. I will conclude with some regulatory questions raised by recent advances.

Biography

Currently Head of Data Analytics at Capital Fund Management (CFM, Paris) and visiting researcher at Imperial College (London), Charles-Albert studied machine learning for stochastic control during his PhD 20 years ago. He started his career being in charge of AI projects at the Renault research center and moved to the financial industry with the emergence of automated trading in 2005. Charles-Albert received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and published more than fifty academic papers and book chapters. He co-authored the book "Market Microstructure in Practice" (World Scientific Publisher, 2nd ed 2018), analyzing the main features of modern markets. He is the scientific director of the “Finance and Insurance Reloaded” transverse research program of the Louis Bachelier Institute; this program explores the influence of new technologies (from blockchain to artificial intelligence) on these industries.