New Dimensions of Quantitative Finance – A session with Dr Lawrence Pohlman

SP Jain School of Global Management hosted an exclusive session with Dr Lawrence Pohlman, Professor of Finance & Engineering, University of Massachusetts Boston, on the new dimensions of quantitative finance at the Mumbai campus on November 13, 2019. The session was coupled with a meet-and-greet with SP Jain’s data science students and graduates, recruiters, professionals and distinguished professors.

Dr Pohlman is a seasoned researcher and practitioner in the field of financial investment management. He has close to three decades of experience working for Wall Street firms and has previously held the position of Chief Investment Officer at BNP Paribas, New York. He holds a PhD in Finance, MBA in Finance and Management Science, MS in Operations Research and BS in Nuclear Engineering, all from Columbia University, USA. He is presently a Visiting Professor of Data Science at SP Jain.

The session focused on the technique of regime switching. This method is adopted by most quantitative investment analysts for active investment management. Primarily designed by engineers, it has become a solution used by macroeconomists to model business cycles. It functions by identifying signals that indicate noteworthy changes in the market and assist in forming an active portfolio by switching between the High Return and Low Return portfolio regimes.

Explaining the concept of regime switching, Dr Pohlman said, “One of the most exciting new developments in quantitative finance is the use of regime switching techniques to model asset prices and select portfolios. A set of statistical and machine learning methods, sometimes called Hidden Markov Models, has been developed to estimate the underlying state or regime from observations of prices, volumes, etc. Our world is moving towards absolute data orientation, it was great to witness the enthusiasm amongst students to know more about the subject and their hunger to acquire advanced knowledge.”

Speaking about the collaboration with Dr Pohlman, Dr Abhijit Dasgupta, Director – Big Data & Visual Analytics and Bachelor of Data Science, SP Jain, said, “The workshop unfurled in myriad hues mainly focusing on enhancing one’s knowledge about the subject of regime switching and the need for data science in today’s world. The topic which was discussed acquires great importance and the students were very keen to gain a deeper insight on the same. Dr Pohlman is an institution in himself, his unique ways of facilitating the masterclass and making complex things simple are commendable. He not only imparted the much-needed information but also provided perspective. The meet-and-greet was highly successful as like-minded people coming from different walks of life sat under one roof and gleefully discussed their take on the subject.”

Here are more pictures from the event:

The event has been featured in the print edition of leading publications like Hindu Business Line and Mid-day and on online portals such as India Education Diary, Easy Shiksha, The Education Times and Digital Conqurer.