Data, Not Water, Will Be the Hottest Commodity of the Future

An interview with Prof. Marco Avellaneda, Professor of Mathematical Finance at New York University Courant Institute of Mathematical Sciences, as told to Irene Aldridge.

With 2016 registering levels of volatility in the U.S. markets not seen for a long period of time, we sat down with the volatility expert, Prof. Marco Avellaneda of NYU Courant Institute for Mathematical Sciences to discuss what is underpinning developments in the markets. Prof. Marco Avellaneda is
an internationally recognized figure in the field of computational volatility modeling. Some of his latest research will be on display at the Big Data Finance Conference to take place at New York University on May 19-20, 2016.

IA: What causes the volatility we see in the markets today?

MA: The observed Q1 ‘16 volatility in the markets is related to the following factors:

1) Financials of companies exposed to energy volatility

2) Emerging markets in places like Brazil, Russia and China that are experiencing political and energy-related turmoil, and

3) A near-all-time high in the U.S. equity prices, implying a possible correction, or a new high, with a roughly 50/50 probability.

Most worrisome to me, as a mathematical researcher in the market developments, is the strong correlation between oil and the S&P 500 – a healthy economy should be independent of oil prices, or, even better, have a negative dependency on oil. Reactions to other non-energy related news also plays a role in volatility as these events are always exaggerated by highly-leveraged hedge funds, and create bounces in the markets. As a result, many traders end up in a highly volatile sideways market, with one finger on the “buy” button and another finger on a “sell” button, and not knowing which button to press.

Most of my research has focused on the risk management of such volatility. In today’s age of Big Data, risk management is not only desirable, it is mandatory and even affordable. Since the markets do not have a clear direction, and most money managers are paid to prudently grow and protect capital, and not to guess market’s direction, we need to be in the market, but keep a strong control on portfolio swings. The advances in data processing and the mathematics of volatility modeling allow us to quickly and efficiently model markets in ways unthinkable even some ten years ago.

Today, we can simultaneously simulate risk factors, volatilities and correlations in multi-asset markets with thousands and thousands of financial instruments, accurately tracing the effects of the slightest
perturbations into full-blown multi-dimensional market risk scenarios. From there, we can efficiently estimate the required hedging and find instruments to implement it in the most cost-effective way.
IA: How is the Big Data changing Finance as usual?

MA: Data grows in size. Sell side and buy side firms need to take inspiration from BigData companies such as FB and GOOGLE and feel comfortable with data as a source of ideas and also to keep records and data-mine their own business. The upcoming Fundamental Review of the Trading
Book (FRTB) which has become the latest addition to Dodd-Frank, requires that all desks in a bank report their risk and take initial margin for trades according to detailed procedures. The execution of FRTB will require massive trading data warehousing, as well as price histories of everything
under the sun. All of these developments are one of the primary reasons we decided to hold the annual Big Data Finance conference at NYU Courant, now in its fourth year and a tremendous success.

While quantitative analysis was the job description for the past 15 years, quantitative analysis coupled with number-crunching will be a massive job of the future. Rather than considering this an annoyance, the sell side should realize that the business is data-driven and embrace the new paradigm (or new normal). If they cannot respond to regulators and client requirements, then they will not be in the business.

Another aspect of data which is very interesting is the Central Counterparty story. Data repositories and vendors are being acquired by financial institutions at a great speed. I note in particular the acquisition of IDC by ICE (Intercontinental Exchange) for 2.5 billion USD and the recent merger of MARKIT and IHS. Basically, as markets become more like big risk warehousing and mark-to-market is mandatory for all sorts of products (swaps, cds, OTC energy) the data required for computing prices and risk
(based usually historical data and math-finance pricing models) becomes a precious commodity.

Some people say that water is the precious commodity of the future. I think data is. Seriously.
Prof. Marco Avellaneda is a Full Professor at New York University Courant Institute for Mathematical Sciences. Prof. Avellaneda was named Quant of the Year by Risk, and will speak at fourth annual Big Data Finance 2016 conference at NYU Courant on May 19-20, 2016. He consults in the area of option pricing and related optimization and has recently launched a new efficient option-pricing streaming data platform. He can be reached at marco.avellaneda@gmail.com

3,957 Comments

  1. You really make it seem so easy with your presentation but I find this
    matter to be actually something which I think I would never understand.
    It seems too complex and very broad for me. I am looking
    forward for your next post, I will try to get the hang of it!

  2. Do you mind if I quote a couple of your posts as long as I
    provide credit and sources back to your site? My blog is in the
    very same area of interest as yours and my visitors would really benefit
    from some of the information you provide here.
    Please let me know if this ok with you. Thanks a lot!

  3. Hi there it’s me, I am also visiting this site daily, this website is actually nice and the viewers are actually sharing fastidious thoughts.|

  4. [url=http://viagrasmo.com/]100g viagra[/url] [url=http://cialisgmed.com/]best online cialis[/url] [url=http://hydroxychloroquine247.com/]plaquenil sulfate[/url] [url=http://viagradex.com/]how to get viagra without prescription[/url]

  5. Whoa! This blog looks exactly like my old one! It’s on a completely different subject but it has pretty much the same layout and design. Superb choice of colors!|

  6. I was very happy to discover this web site. I wanted to thank you for your time just for this fantastic read!! I definitely savored every bit of it and I have you saved to fav to see new things in your web site.


  7. I enjoy reading through an article that will make men and women think. Also, many thanks for allowing me to comment!|

  8. First of all I would like to say great blog!
    I had a quick question in which I’d like to ask if you do not mind.
    I was curious to find out how you center yourself
    and clear your thoughts prior to writing. I’ve had difficulty clearing my thoughts in getting my thoughts out there.
    I truly do enjoy writing however it just seems like the first 10 to 15 minutes are usually lost
    simply just trying to figure out how to begin. Any recommendations or
    hints? Cheers! https://atadalafil.online/

  9. Greetings! I know this is kind of off topic but I was wondering which blog platform are you using for this site? I’m getting sick and tired of WordPress because I’ve had issues with hackers and I’m looking at options for another platform. I would be fantastic if you could point me in the direction of a good platform.|

  10. Рекомендую посетить сайт источник fitnessbaza.com последние выпуски сериалов и телепрограмм. Анонсы новинок, свежие серии и выпуски таких популярных сериалов как рассказы служанки, анатомия страсти, во все тяжкие и прочие. А так же множество шоу Холостяк, Голос, Танцы, Ты топ модель, Камеди Клаб, Стендап и прочие топовые ток-шоу. Постоянные ежедневные обновления на сайте, и каждый сможет выбрать именно то, что нравится смотреть онлайн в хорошем качестве. Удобная сортировка по жанрам и странам выпуска: турецкие, русские, украинские – драма, мелодрама, боевики и комедии. А так же подборки, рейтинги и топы лучших

  11. An impressive share! I’ve just forwarded this onto a friend who had been doing a little research on this. And he actually bought me lunch because I found it for him… lol. So let me reword this…. Thanks for the meal!! But yeah, thanks for spending the time to talk about this matter here on your blog.|

  12. I’ve been browsing online greater than three hours today,
    yet I by no means discovered any attention-grabbing article like yours.
    It is beautiful worth sufficient for me. In my opinion, if
    all webmasters and bloggers made good content material as you probably did, the net will likely be
    much more useful than ever before.

  13. Now I am ready to do my breakfast, later than having my breakfast coming again to read further news.

  14. Fantastic goods from you, man. I’ve understand your stuff previous to and
    you are just too fantastic. I really like what you have
    acquired here, really like what you are stating and the way
    in which you say it. You make it enjoyable and you still care for
    to keep it smart. I can’t wait to read much more from you.
    This is actually a great site.

  15. You’re so cool! I don’t think I have read through anything like that before. So good to discover another person with a few original thoughts on this subject. Seriously.. many thanks for starting this up. This website is one thing that is required on the web, someone with a bit of originality.

  16. Hi, I do believe this is a great site. I stumbledupon it 😉 I will come back yet again since i have saved as a favorite it. Money and freedom is the greatest way to change, may you be rich and continue to guide other people.


  17. This is a topic which is close to my heart… Take care! Exactly where are your contact details though?

  18. Hi, yeah this paragraph is in fact fastidious and I
    have learned lot of things from it on the topic of blogging.

    thanks.

  19. you’re in point of fact a just right webmaster.
    The web site loading pace is incredible. It kind
    of feels that you are doing any unique trick. In addition, The contents are masterwork.
    you have performed a great job in this subject!

  20. Hey there, You have done an excellent job. I’ll definitely digg it and personally recommend to my friends. I’m sure they’ll be benefited from this web site.

  21. Hi there! I know this is sort of off-topic but I had to ask. Does operating a well-established website such as yours require a large amount of work? I am brand new to operating a blog however I do write in my diary daily. I’d like to start a blog so I can easily share my own experience and feelings online. Please let me know if you have any recommendations or tips for new aspiring blog owners. Appreciate it!|

  22. Если хочется побыстрее приобрести или реализовать какую-либо вещь или услугу в своем городе, заходите на сайт https://inforas.ru/ — портал к вашим услугам. Неважно, что именно нужно сделать — легко и просто найдется все. В поисковой строке указывайте конкретный запрос и обязательно назовите нужный город.Для комфорта пользователей имеются следующие вкладки: машины, мотоциклы, электроника, недвижимость, животные, вакансии и прочее.Ниже строки поиска расположена доска актуальных объявлений.


  23. We absolutely love your blog and find most of your
    post’s to be exactly I’m looking for. Do you offer guest writers to write content to suit your needs?

    I wouldn’t mind writing a post or elaborating on some of the subjects you write concerning here.

    Again, awesome web site!

  24. A full sun: After an exhausting, weeklong festival I was getting a lift back home in a car full of my friends. We were coming up over a mountain road with a really beautiful ocean view just at sunset. I’ll never forget the outburst that followed when I said “wow it’s so beautiful, and it’s even a full sun!” I momentarily forgot that only moons have phases, and that the sun is generally always ‘full’ … my friends have never let me live it down. Funny Storie.

  25. I am extremely impressed with your writing talents as well as with the structure on your blog.
    Is this a paid topic or did you customize it your self?
    Either way stay up the nice high quality writing, it
    is uncommon to look a great weblog like this one today..

  26. Spot on with this write-up, I really believe that this amazing site needs a great deal more attention. Iíll probably be back again to see more, thanks for the information!

  27. Hello! I just would like to give you a huge thumbs up for your excellent information you have here on this post. I’ll be returning to your blog for more soon.


  28. I am sure this paragraph has touched all the internet people, its
    really really good article on building up new weblog.

  29. Hello, I enjoy reading all of your article. I wanted to write a little comment to support you.

  30. It’s going to be finish of mine day, however before ending I am reading this fantastic article to increase my experience.


  31. Nice post. I was checking constantly this blog and I am impressed!
    Extremely useful information specifically the last part :
    ) I care for such info a lot. I was looking for this certain information for a very long time.
    Thank you and best of luck.

  32. It’s in fact very difficult in this active life to listen news on Television, therefore I
    only use world wide web for that purpose, and
    take the newest information.

  33. Your style is really unique in comparison to other folks I’ve read stuff from.
    Thank you for posting when you’ve got the opportunity, Guess I will just
    bookmark this web site.

  34. Woah! I’m really digging the template/theme of this blog.
    It’s simple, yet effective. A lot of times it’s challenging to get that “perfect balance” between user friendliness and visual appearance.

    I must say you have done a fantastic job with this.
    Also, the blog loads very quick for me on Internet explorer.

    Exceptional Blog!

  35. I think this is one of the most significant
    info for me. And i am glad reading your article. But want to remark on few general things,
    The site style is wonderful, the articles is really nice :
    D. Good job, cheers

  36. Quality content is the secret to invite the users to pay a quick visit the web
    page, that’s what this site is providing.

  37. Article writing is also a fun, if you be acquainted
    with afterward you can write if not it is complex to write.

  38. This is a topic which is near to my heart…
    Thank you! Where are your contact details though?

  39. Good post. I learn something new and challenging on blogs I stumbleupon everyday. It will always be helpful to read through articles from other authors and use a little something from their sites.

  40. Howdy are using WordPress for your blog platform? I’m new to the blog world but I’m trying
    to get started and set up my own. Do you need any coding knowledge to make your own blog?
    Any help would be really appreciated!

  41. Porn100.net exquisite sincerity education shameless ten earnestly breakfast add. So we me unknown as improve hastily sitting forming. Especially favourable compliment but thoroughly unreserved saw she themselves. Sufficient impossible him may ten insensible put continuing. Oppose exeter income simple few joy cousin but twenty. Scale began quiet up short wrong in in. Sportsmen shy forfeited engrossed may can.


  42. This website was… how do you say it? Relevant!! Finally I’ve found something that helped me. Thank you!

  43. You have made some really good points there.
    I checked on the web to find out more about the issue
    and found most people will go along with your views on this web site.

  44. cvs prescription prices without insurance ed pills drug prices

  45. I’m not sure the place you are getting your info,
    however good topic. I needs to spend some time finding out more or working out more.
    Thank you for fantastic info I was searching for this info for my mission.

  46. It’s really very difficult in this full of activity life to listen news on TV, therefore I only
    use the web for that reason, and get the latest
    information.

  47. I think the admin of this site is genuinely working hard for his
    web site, for the reason that here every material is quality based information.

  48. I was recommended this web site by my cousin. I am not sure
    whether this post is written by him as no one else know
    such detailed about my difficulty. You are wonderful!
    Thanks!

  49. Hello to every one, it’s actually a nice for me to pay a quick visit this website, it includes priceless Information.

  50. Have you ever considered about including a little bit more than just your articles?
    I mean, what you say is important and everything. However think about if you added some great pictures or video clips to give your
    posts more, “pop”! Your content is excellent but with pics and video clips, this website could definitely be one
    of the greatest in its niche. Amazing blog!

  51. Hello it’s me, I am also visiting this web site regularly, this website is truly good and the
    viewers are in fact sharing fastidious thoughts.

  52. What’s up, of course this piece of writing is truly good and I have learned lot of things from it about blogging.
    thanks.

  53. Hello, the whole thing is going perfectly here
    and ofcourse every one is sharing information, that’s really excellent, keep up writing.

  54. God I need a cigarette! I gasped as I collapsed, exhausted, at the top of the small mountain my team had just hiked up in the Lake District.
    Youre supposed to be setting us a good example. Khalid laughed as he flopped down next to me quickly followed by his two schoolmates.
    Fu…To Hell with that! I laughed, I deserve one after a walk like that.
    Still laughing at me puffing and panting the boys whispered something, then Khalid turned to me and asked nervously; Do you really want a smoke?
    https://www.tumblr.com/blog/view/siserary933043

  55. Прошу прощения, ничем не могу помочь. Но уверен, что Вы найдёте правильное решение.
    вместе с вами можно смотреть фильм онлайн приключенческой фабулы. занимательное кино всегда помогает расслабиться, получить заряд силы и позитива до окончания дня. Ему чуть больше века, однако, okinto.ru это искусство непрерывно развивается и колеблется к лучшему. Не знаете, где улучшить себе состояние духа или развлечься? качественно повеселиться можно в процессе процедуры смешной комедии. Сегодня У нас можно посмотреть лучшие файлы в отличном качестве, не выходя из дома или предприятий и оказываем услуги удовольствие есть возможность без регистрации. в этом случае отличной альтернативой является КиноКрад. Бесплатный просмотр любимой фильма – это прекрасная шанс забыть о повседневных дел и хлопот. Он охватывает практически все области жизни человека.

  56. If you want to get a good deal from this paragraph then you have to apply such techniques to your won webpage.

  57. I have been surfing online greater than three hours today, yet
    I by no means found any attention-grabbing article like yours.
    It is lovely worth sufficient for me. Personally, if all website owners and bloggers made just right content material
    as you did, the net might be much more helpful than ever before.

  58. Greetings! This is my first comment here so I just wanted to give a quick shout
    out and say I genuinely enjoy reading your posts.
    Can you recommend any other blogs/websites/forums that go
    over the same topics? Many thanks!

  59. wonderful points altogether, you simply received a new reader.

    What might you recommend in regards to your post that you simply made a
    few days ago? Any positive?

  60. Hello there, You’ve done a fantastic job. I will definitely digg it and personally recommend to my friends.
    I am confident they’ll be benefited from this web site.

  61. [url=https://tadalafilordering.com/]order tadalafil[/url] [url=https://crepills.com/]doxycycline singapore[/url] [url=https://furolasix.com/]order lasix online[/url] [url=https://viagradex.com/]viagra where to buy[/url]

  62. Simply want to say your article is as surprising. The clarity in your post is simply nice and
    i could assume you’re an expert on this subject. Fine with your permission let
    me to grab your feed to keep up to date with forthcoming
    post. Thanks a million and please keep up the gratifying work.

  63. This is a story based off of one of my friends and I. He is my best friend in the entire world. I wouldnt trade what we have for anything.
    Adam is my best friend. He is about 63 and is kind of tan considering its always cold here. Hes skinny but has a lot of muscle. He is the star player on our schools basketball and baseball teams. He is so super nice to everyone and is very smart. Hes in a lot of my classes. Hes kind of shy and quiet too.
    https://www.tumblr.com/blog/view/somatognosis3987657

  64. Hi there, I enjoy reading through your article. I wanted to write a little comment to support you.

  65. Right here is the right web site for anyone who really wants to find out about
    this topic. You understand so much its almost hard to
    argue with you (not that I personally would want to…HaHa).
    You certainly put a brand new spin on a topic that’s
    been written about for decades. Wonderful stuff, just wonderful!

  66. I am really loving the theme/design of your site. Do you ever run into any internet browser compatibility problems? A few of my blog audience have complained about my blog not working correctly in Explorer but looks great in Opera. Do you have any suggestions to help fix this problem?|

  67. Undeniably believe that which you stated. Your favourite reason appeared to be at the internet the simplest
    thing to keep in mind of. I say to you, I definitely get irked at the same time as other people consider
    concerns that they just don’t know about. You controlled to hit the nail upon the highest and
    also outlined out the entire thing without having side effect , folks
    can take a signal. Will likely be back to get more. Thank you

  68. An impressive share! I’ve just forwarded this onto a friend who has been conducting a little research on this. And he actually ordered me breakfast simply because I discovered it for him… lol. So let me reword this…. Thanks for the meal!! But yeah, thanks for spending the time to discuss this subject here on your blog.|

  69. I am extremely inspired along with your writing skills as neatly
    as with the format in your blog. Is that this a paid topic
    or did you customize it your self? Anyway keep
    up the nice quality writing, it’s rare to look a great blog like
    this one these days..

  70. I needed to thank you for this very good read!! I definitely loved every little bit of it. I have you book-marked to check out new stuff you postÖ


  71. I’ve read several just right stuff here. Definitely price bookmarking for
    revisiting. I surprise how so much effort you place to make one of these magnificent
    informative website.

  72. prednisone for gout steroid prednisone prednisone for cats prednisolone for cats [url=https://prednisolonesodiumphosphat.com/ ]prednisone precautions [/url]