Jeremy Turiel

PhD Candidate - Financial Computing and Analytics Group, UCL AVP, Barclays Investment Bank

Jeremy Turiel is an AVP – Data Science (SM&D) for Barclays Investment Bank. He is also currently a PhD candidate in Financial Computing at University College London, and has an industry focus on risk modelling with Network Analysis and Statistical Physics methods as well as HFT trading and optimisation with Machine Learning, Artificial Intelligence and Statistical Physics measures.

Jeremy has previously completed Internships at Weizmann Institute of Science, Bank J Safra Sarasin and Amplify Trading whilst gaining his BSc, before becoming a Quant Analyst at Gold Grain Capital.

Conference Day One: 16 September 2019

Monday, September 16th, 2019

4:40 PM Statistical methods to detect market asymmetries

Order book and market event data is a predominant example of a complex system with heterogenous users. We present a very recent work applying statistical physics methods to market microstructure and high frequency trading. We apply methods and approaches from statistical physics to build dynamic null models of market event flow in time. These well-defined distributions are successfully applied to predict flash crashes with minor false positive rates and timely-leading predictive power. We also explore applications to active high frequency trading and build profitable strategies based on market anomalies and imbalances from our null model.

Check out the incredible speaker line-up to see who will be joining Jeremy.

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