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ISSUE 40 | August 2019

RMI Hosts Research Seminars by Two Distinguished Visitors

On 11 June 2019, RMI organized a research seminar on “New Opportunities in Mathematical Finance and Economics from the Application of Machine Learning and Alternative Data” by Prof. E Weinan, Professor of Mathematics at Princeton University. During his seminar Prof. E stated that there is a huge gap between partial differential equation (PDE) modelling and computational algorithms. He followed this up by delving into his research solving high dimensional Black-Scholes type of equations using deep learning, as machine learning/data analysis also face “curse of dimensionality”. He also presented on using alternative data and new machine learning methods to better analyse and predict the state of the economy.

Prof. E is currently a professor in the Department of Mathematics and the Program in Applied and Computational Mathematics at Princeton University. Among various other awards, he has received the prestigious Collatz Prize in 2003 and Peter Henrici Prize in 2019; both prizes are awarded by the International Council for Industrial and Applied Mathematics once in four years.

On 23 July 2019, RMI hosted a seminar by another distinguished visitor, Prof. Dr. Martin Hellwig, Director Emeritus, Max Planck Institute for Research on Collective Goods and Honorary Foreign Member, American Academy of Arts and Sciences. The seminar titled “Banks, Governments, and the ECB in the ‘Euro Crisis,’” analyzed the causes and the development of the “euro crisis” of the past decade. Prof. Dr. Hellwig focused on the respective roles of banks, member state governments, and the central bank, on flawed governance and on internal contradictions of the European Monetary Union. He further discussed the role and the limitations of “banking union” (creation of a single supervisory mechanism and a single resolution mechanism) in improving governance, as well as its contributions to the rise of nationalist populism in the member states of the EU. and new machine learning methods to better analyse and predict the state of the economy.

Prof. Dr. Hellwig has published extensively in many areas of economics and finance. His 1990s publications on systemic risk and financial regulation were the first to expose some of the mechanisms that would be detrimental in the crisis of 2007–2009. He is an Honorary Foreign Member of the American Economic Association and the American Academy of Arts and Sciences.

Besides the seminars, both professors had interactive meetings with RMI’s Master of Science (Financial Engineering) students to discuss some of the topical issues in depth. Detailed reports about their meetings can be found here and here.

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