Data science projects need real experts in their implementation. Our "Financial Economics" research group has developed a infrastructure to accomplish the most demanding tasks in the search for the most audacious research ideas: multi-factor asset pricing with thousands of simulations, entropic risk measures estimated with complex grids of interest rate term structures, risk calculations of portfolios of options with heavy-tailed distributions, implicit tail dependence of interest rates swaps, and sentiment analysis of the speeches of Board members of the Central Banks, are some of the projects that use our high-performance computing infrastructure with clusters of CPUs and GPUs.
Sentiment analysis of Central bank communications is our actual main topic of research. In recent years, artificial intelligence (AI) has developed new techniques to develop a better understanding of the human cognitive abilities. One of such human abilities is the capacity to discern the "sentiment" of a written expression, faces, gesture and other "behavioral" linked forms of expression. In our research group, using techniques such as Natural Language Processing (NLP), we analyze the sentiment of the central banks' communications (text, videos) and try to derive relationships with the financial markets behaviour.
In our research group, we develop algorithms of machine learning to copy the behaviour of a trader. Algorithmic Trading has become the standard for trading the markets. In algorithmic trading a computer program acts like a 'human' by collecting data and information about the market, and then taking decisions in terms of buying/selling assets, rebalancing the portfolio and increasing/reducing the risk exposures. In our group of research we try to copy human patters in this process.
An application that is highly dependent in high-performance computing is High-frequency Trading (HFT). In HFT, computers algorithms manage the trading book, and exploit the market spread (bid-ask) to get profits. Michael Lewis best-seller Flash Boys (https://en.wikipedia.org/wiki/Flash_Boys) describe the life of a high-frequency trader, the pitfalls and the moral and ethical side. Although HFT might become a very negative for investors, its existence --like the existence of a virus-- is a matter of interest for research, and the study of this field can provide protection to investors themselves.
Quants is a term used to describe a general role in the financial markets: in general, a Quant or Quantitive Analyst is profile that requires the sum of several different quantitative/hard sciences: Mathematics, Statistics, Economics, Physics, Finance. The approach that a Quant has towards solving a problem is rigorous and highly dependent on science results (work published in academic/industry journals that has been peer reviewed).
