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Zhongmin Luo
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Latest Activity

Bhupinder S Sood liked Zhongmin Luo's blog post An Application of Data Science and Mathematics in Finance
Dec 9
Zhongmin Luo's blog post was featured

Inverted yield curve followed by 800-point plunge in Dow next day; how about inverted CDS curves?

On 3 Dec 2018 when the US treasury yield curves inverted (a short-term US government bond yield is higher than its long-term yield), Economists quickly warned the stock market of an impending economic slowdown or even a recession. The following…See More
Dec 5
MAURIZIO MANSUETI liked Zhongmin Luo's blog post Applying Machine Learning Techniques in Quantitative Finance
Nov 30
Zhongmin Luo liked Zhongmin Luo's blog post Applying Machine Learning Techniques in Quantitative Finance
Nov 28
Zhongmin Luo's blog post was featured

Applying Machine Learning Techniques in Quantitative Finance

Two weeks ago, I was invited to present about Machine Learning and its applications in Quantitative Finance at a conference in London, UK.Without a break, I went through four research papers which I completed over the last two years with my co-author; here is one page of the presentation. CDS Rate Construction Methods by Machine Learning Techniques: Methodology and Results; Brummelhuis and Luo, forthcoming in peer-reviewed journal,…See More
Nov 28
Nurur Rahman liked Zhongmin Luo's blog post An Application of Data Science and Mathematics in Finance
Nov 27
Zhongmin Luo commented on Zhongmin Luo's blog post An Application of Data Science and Mathematics in Finance
"Hi Vincent, Fantastic book and thanks for sharing! Real-world finance problems depend heavily on understanding and applying stochastic processes, your book is a great addition to the literature from someone with a lot of real-world experience.…"
Nov 25
Zhongmin Luo commented on Vincent Granville's blog post Free Book: Applied Stochastic Processes
"Many thanks and congrats, Vincent! Mathematics connects people from various background and different professions. In finance, Black-Scholes formula for options pricing, which won Fisher Black and Myron Scholes Nobel prize, was derived from solving…"
Nov 25
Vincent Granville commented on Zhongmin Luo's blog post An Application of Data Science and Mathematics in Finance
"Hi Zhongmin, There is one thing in this chart that surprises me a lot. I have produced plenty of charts that look very similar to yours, but come from my number theory investigations. I am sure some of them can be found in my new book on…"
Nov 25
Zhongmin Luo updated their profile
Nov 25
Zhongmin Luo commented on Vincent Granville's blog post Weekly Digest, November 26
"Ok, please allow me to add a bit of descriptions to this picture presenting the daily CDS prices for Microsoft. 1. The line highlighted in Green color stands for 5-year CDS against the default of Microsoft, which is an insurance contract protecting…"
Nov 25
Zhongmin Luo liked Vincent Granville's blog post Weekly Digest, November 26
Nov 25
Zhongmin Luo posted blog posts
Nov 24
Zhongmin Luo's blog post was featured

An Application of Data Science and Mathematics in Finance

Imagine that one day, you see people are queuing up in front of Bank A; so you ask the staff at the counter, you are told that they are offering anyone (regardless of their credit history) a loan of $100,000 at a fixed annual rate at 2%. You then look around, the Bank B next door offers 1-year term deposit with a fixed annual rate at 3% for the same amount ($100,000). After 5 minutes' waiting, you sign for the loan from Bank A and immediately, you deposit the borrowed $100,000 in Bank B,…See More
Nov 22
Zhongmin Luo liked Vincent Granville's discussion Top 10 Machine Learning Algorithms
Nov 1
Zhongmin Luo liked Vincent Granville's blog post Hitchhiker's Guide to Data Science, Machine Learning, R, Python
Oct 16

Profile Information

Short Bio
Quantitative Finance professional focused on Research and Development of risk and valuation models by applying techniques in financial mathematics and machine learning to solve real world problems.

Please visit my research page at SSRN and download my research papers to show your support if possible: https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2064225
My Web Site Or LinkedIn Profile
http://www.linkedin.com/in/zhongminluo/
Field of Expertise
Data Science, Machine Learning, Business Analytics, Deep Learning
Professional Status
Technical
Years of Experience:
15
Your Company:
Birkbeck, University of London
Industry:
Academic
Your Job Title:
Researcher
Interests:
Contributing, Networking, Finding a new position, New venture

Zhongmin Luo's Blog

Inverted yield curve followed by 800-point plunge in Dow next day; how about inverted CDS curves?

Posted on December 5, 2018 at 1:00am 0 Comments

On 3 Dec 2018 when the US treasury yield curves inverted (a short-term US government bond yield is higher than its long-term yield), Economists quickly warned the stock market of an impending economic slowdown or even a recession. The following…

Continue

Applying Machine Learning Techniques in Quantitative Finance

Posted on November 26, 2018 at 5:00am 0 Comments

Two weeks ago, I was invited to present about Machine Learning and its applications in Quantitative Finance at a conference in London, UK.

Without a break, I went through four research papers which I completed over the last two years with my co-author; here is one page of the presentation. 

  1. CDS Rate Construction Methods by Machine Learning Techniques: Methodology and Results; Brummelhuis and Luo, forthcoming in…
Continue

An Application of Data Science and Mathematics in Finance

Posted on November 21, 2018 at 2:30pm 2 Comments

Imagine that one day, you see people are queuing up in front of Bank A; so you ask the staff at the counter, you are told that they are offering anyone (regardless of their credit history) a loan of $100,000 at a fixed annual rate at 2%. You then look around, the Bank B next door offers 1-year term deposit with a fixed annual rate at 3% for the same amount ($100,000). After 5 minutes' waiting, you sign for the loan from Bank…

Continue

Machine Learning Techniques based paper one of the two Risk Quant Europe 2018 Call for Paper Winners

Posted on February 24, 2018 at 2:00am 0 Comments

Each year, Risk Quant Europe Conference, a conference well-attended by practitioners from banking, asset management, insurers as well as academics from Europe, selects two papers to present in their annual conference.

For 2018, our paper is lucky to be one of the two winning papers selected by the Advisory Board for the conference to be held in London. Please feel free to check out our paper titled CDS Rate Construction Methods by Machine Learning…

Continue

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