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Tuesday, April 26, 2022 at 5:00pm to 6:00pmVirtual Event
The next speaker for our Financial Data Science Seminar Series is our very own Cornell ORIE Professor Andreea Minca! She will speak about "Clustering Heterogeneous Financial Networks" on Tuesday, April 26th, from 5pm to 6pm ET.
This webinar is free and open to all guests. Registration is required (please RSVP here). You will receive the webinar link and and dial-in info upon registration (the confirmation email will come from email@example.com).
Abstract: For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm. We test the performance of the algorithm on semi-synthetic heterogenous networks reconstructed to match aggregate data on the Korean financial sector. Our method allows for recovery of sub-sectors with significantly lower error rates compared to existing algorithms. Our second application is to overlapping portfolio networks, for which we uncover a clustering structure.
Speaker Bio: Andreea Minca is an Associate Professor in the School of Operations Research and Information Engineering at Cornell University. She holds degrees from Sorbonne University (PhD in Applied Mathematics) and Ecole Polytechnique (Diplome de l'Ecole Polytechnique).
In recognition of "her fundamental research contributions to the understanding of financial instability, quantifying and managing systemic risk, and the control of interbank contagion", Andreea received the 2016 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. This award distinguishes contributions to the mathematical modeling of financial markets and is the highest early career distinction in the field of financial engineering and mathematics. Andreea is also a recipient of the NSF CAREER Award (2017), a Research Fellow of the Global Association of Risk Professionals (GARP) (2014), and an AXA Research Fund Awardee (2020). She serves on the editorial board of the SIAM Journal on Financial Mathematics.
To be provided upon registration.