Can Financial Engineering Cure Cancer?

This past Tuesday I spoke on Cybersecurity and Financial Services at the fabulous INFORMS Conference on Business Analytics & Operations Research in Boston.

In my presentation, which can be downloaded here,  I mentioned my colleagues with whom I had conducted the relevant research and also included some network images produced by one of my colleagues, Professor Mila Sherman of Finance, which was done with her dissertation advisor at the Sloan School at MIT, Professor Andrew Lo, and two other collaborators. I wrote about my experience speaking at the conference in a previous post.

Today, after teaching two of my classes, I returned to my office and in catching up with email messages found the announcement below from the Chair of our Finance Department, Professor Sanjay Nawalkha, about the CISDM Research Day in early May. I highlighted just one of the two talks that Professor Lo will be giving  in bold because the title captivated me.

Dear Colleagues,

On the behalf of the Department of Finance and the Center for International Securities and Derivative Markets (CISDM), I would like to invite all of you to the CISDM Research Day on May 2nd, 2014.  Andy Lo of MIT (ranked as one of the 100 most influential people by Time magazine a few years ago) will give the keynote speech at 11:30 AM. Andy will present his research on "Can Financial Engineering Cure Cancer? A New Approach to Funding Biomedical Innovation."  This research is part of a broader effort to raise billions of dollars to fund research on cancer drugs stuck in the pipeline. Andy will also give another talk on relationship between efficient markets and behavioral finance via evolutionary biology and cognitive neurosciences at 2:15pm. Andy's bio and the full schedule for the CISDM Research day is attached below. Professors Bing Liang and Hossein Kazemi will also make presentations. There will be opportunities to speak with Andy and other speakers during lunch and dinner times. The CISDM Research Day is sponsored by Moody's.


The full program is on the CISDM website, which I have reprised below for your convenience.

CISDM RESEARCH DAY - sponsored by MOODY'S

Please save May 2 for our CISDM Research Day.  The agenda and description of the talks are below. 

RSVP to finance@isenberg.umass.edu if you are planning to attend.  We will be making name tags for attendees and plan to serve lunch for those who RSVP.  Looking forward to your replies and attendance. 

CISDM Research Day sponsored by Moody's

Isenberg School of Management - UMass Amherst

Featuring Andrew W. Lo, Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management

DATE: Friday May 2, 2014

LOCATION:  Room 108, Isenberg School of Management (121 Presidents Drive, Amherst, MA)

 Agenda:

11:30am-12:30pm - Introduction and Andrew Lo (MIT) presentation:  Can Financial Engineering Cure Cancer? A New Approach to Funding Biomedical Innovation
12:30-1:30pm - Lunch
1:30-2:15pm - Bing Liang (UMass Amherst) presentation (30 minute presentation and 15 minute discussion): Hedge Fund Ownership and Stock Market Efficiency
2:15-3:15pm - Andrew Lo (MIT) presentation: Lies My Finance Professor Told Me: Reconciling Efficient Markets and Behavioral Finance Via Evolutionary Biology and the Cognitive Neurosciences
3:15-3:45pm - Coffee Break
  
3:45-4:30pm - Hossein Kazemi (UMass Amherst) presentation (30 minute presentation and 15 minute discussion): Dynamics of Hedge Fund's Exposures: Implications for Performance and Herding

Andrew W. Lo Biography:

Andrew W. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management and director of the MIT Laboratory for Financial Engineering. He received his Ph.D. in economics from Harvard University in 1984. Before joining MIT's finance faculty in 1988, he taught at the University of Pennsylvania's Wharton School as the W.P. Carey Assistant Professor of Finance from 1984 to 1987, and as the W.P. Carey Associate Professor of Finance from 1987 to 1988.

He has published numerous articles in finance and economics journals, and has authored several books including The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, Hedge Funds: An Analytic Perspective, and The Evolution of Technical Analysis. He is currently co-editor of the Annual Review of Financial Economics and an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Computational Finance.

His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial Engineer of the Year award, a Guggenheim Fellowship, the CFA Institute's James R. Vertin Award, the 2010 Harry M. Markowitz Award, and awards for teaching excellence from both Wharton and MIT.


CAN FINANCIAL ENGINEERING CURE CANCER?: A NEW APPROACH TO FUNDING

BIOMEDICAL INNOVATION

Andrew W. Lo

Abstract: As disruptive as the recent financial crisis has been, the important lessons to be learned from the spectacular failure of financial technologies gone awry may actually pave the way for some of the most significant achievements of the 21st century. In this talk, Prof. Lo will provide a brief overview of the key role that financial innovation played in the crisis, and how a deeper appreciation of human nature and incentives may allow financial engineers to focus the enormous power of global financial markets on one of society's most pressing challenges: curing cancer.

Andrew Lo is fabulous and it will be great to welcome him again to the Isenberg School.

Cybersecurity and Financial Services and Prescriptive Analytics

Yesterday, I had the honor of speaking on Cybersecurity and Financial Services at the INFORMS Analytics Conference in Boston. The conference was very well-organized, the venue at the Westin Waterfront hotel was marvelous, and the speakers came from both industry (many of the top analytics firms as developers and/or users were there) and academia. Also, there were many students and even a good-sized cohot from our UMass Amherst INFORMS Student Chapter, which I highlighted in one of my posts.

I had multiple roles at this conference, which made the experience extra rewarding, and INFORMS staff presented me with the nice streamers below.

My talk was in the Prescriptive Analytics track, which was appropriate, and Dr. Marius Solomon of Northeastern University introduced me. I have known Marius for many years through the Transportation & Logistics Society of INFORMS. He shared with me that there were 104 submissions for presentations and out of these 30 were selected. I had carefully thought about the topics that I would like to speak on and chose Cybersecurity and Financial Services since I believe that cybersecurity is a topic that could greatly benefit from analytics and operations research methodologies and the wonderful geeks and brainiacs in our professional community for whom tough problems are both challenging and enticing!

It was great to have Dr. Irv Lustig of IBM  in the audience and some of you may know that Irv was also an Applied Math major at Brown University and I was his TA for an operations research  course taught there by my dissertation advisor Professor Stella Dafermos. Irv is well-known at INFORMS and very active in its Certified Analytics Professional program.   I posted a photo of Irv and me in my previous blogpost. 

Irv asked good questions, but, then again, he has had an outstanding education (his doctoral dissertation advisor at Stanford was Professor George Dantzig, one of the founders of Operations Research). And we continued the discussion after my presentation. Great to hear that IBM is also interested in Financial Networks!

In my presentation I spoke about a project that was funded by the Advanced Cyber Security Center (ACSC) and then segued into our NSF project.

My full presentation, in pdf format, can be downloaded from the Supernetworks Center website.

In the presentation I highlighted a network model that we developed to assess financial network vulnerability and importance of different financial network components, described a network economic model of cyber crime, and also discussed our latest NSF project on envisioning a Future Internet Architecture that we are calling ChoiceNet. Imagine if we could enhance the resilience of the network through redesign.

Thanks to INFORMS for organizing such a fabulous analytics conference!

Highlights of INFORMS Boston Analytics Conference Through Photos

Today the sun has (finally) come out in Boston and it is the last day of the GREAT INFORMS Analytics Conference in Boston. I will be speaking later today on Cybersecurity and Financial Services, on research funded by the Advanced Cyber Security Center and the National Science Foundation.

I my previous post on this blog I included some photos of our UMass Amherst students who are attending this conference.

Below I have posted some photos from talks, networking events and also the Edelman Awards gala at which the CDC received the 2014 Edelman Award for its efforts in eradicating polio.

INFORMS Registration Area

 

Keynote Talk by Tom Davenport

Coffee with  Member

 Numerous Networking Opportunities

 Superb Supply Chain Talks

Serendipity of Seeing Colleagues and Students

The Edelman Gala with a Delicious Dessert

The analytics conference has been an intellectual and professional  feast!

Great to See So Many UMass Amherst INFORMS Student Chapter Members at Analytics Boston

I am attending the great INFORMS Boston Analytics Conference and arrived yesterday.

The weather has not been compliant (it is cold and rainy) but the venue of the conference (the Westin Waterfront hotel), the talks (beginning with Tom Davenport's Keynote talk today), and the various networking events from the breakfasts to the lunches, etc., have been fabulous!

I am here with one of my doctoral students, Shivani Shukla, who is also the President of the award-winning UMass Amherst INFORMS Student Chapter. In addition, we have seen other students here both from the Isenberg School of Management and the College of Engineering, who are chapter members and this is great. I am the chapter's Faculty Advisor and it is so rewarding working with these terrific students.

Even one of our PhD graduates, Dr. Milad Ebtehaj, who now works at FedEX in Memphis,  is here.

The photos below  capture the smiles of our chapter members.

The talks that I have attended, so far, besides Tom Davenport's keynote, have ranged from those on supply chain themes to healthcare. It is fantastic to listen to practitioners' perspectives and to also have time to discuss deeply various issues and challenges that they are faced with.

I've had a chance to see Dr. Radhka Kulkarni of SAS, Dr. Les Servi of MITRE, Dr. Irv Lustig of IBM,  and even Dr. Larry Seiford of Michigan. Both Les and Irv were undergrads in Applied Math at Brown University as was I a while back.

This morning I took part in "Coffee with a Member," which passed by too quickly.

The Analytics conference is so educational and informative - I am very glad that some of our students could take advantage of this great opportunity!

Packing and Revising My Optimal Route to the INFORMS Analytics Conference in Boston

I  am blogging the INFORMS Analytics Conference in Boston and below I am reposting my first submitted official post.

It is a beautiful sunny day in Massachusetts and we are very excited about the INFORMS Analytics Conference which kicks off tomorrow in Boston at the Westin Waterfront hotel!

My talk on cybersecurity and financial services, which I am presenting there on Tuesday is all set, and I have begun to pack. There is no need for printing a boarding pass and making a seat assignment, unlike for my trip of just over a week ago when I flew back from Amsterdam to Boston Logan. 

Since I work on network systems, from transportation and logistical ones to the Internet, I have  always been  interested in optimal  routing of flows.

I had settled on a route from Amherst, where I live, to Boston, which I am very familiar with, and then the email arrived from EZPass last evening, which stated:

MassDOT has planned 3 significant weekend lane restrictions on Interstate 90 (Massachusetts Turnpike) in Boston to remove the Prudential Tunnel ceiling over the roadway. The ceiling remains safe and secure, but has deteriorated beyond the point of repair and must be removed. The tunnel ceiling is owned and maintained by the Massachusetts Convention Center Authority (MCCA).

The restrictions will reduce traffic to one lane eastbound and one lane westbound inside the Prudential Center Tunnel on the following weekends:
March 28-30!!! (I added the exclamation points.)

Last Saturday,  my shuttle driver from Logan made a quick maneuver when he saw the stream of glowing car backlights in the same tunnel, which is just outside of Logan. This necessitated a diversion through Arlington and added about 40 minutes to the last leg of my journey back to Amherst, which had originated in Gothenburg, Sweden, 14 hours before!

But now I was forewarned, thanks to MassDOT!

So, since we are educated as operations researchers, my revised route to Boston is below:

This INFORMS conference should be very energizing with exciting interactions between academics and practitioners plus I am even bringing one of my doctoral students, who is the President of our UMass Amherst INFORMS Student Chapter. This will be an outstanding venue for introducing her to my favorite professional society and community!

Go INFORMS, Boston, and, always, Boston Strong!

Safe travels, everyone, and see you soon!

Terrific Talk on Transportation Science + Economics

Today we had the pleasure of hosting Dr. Eric Gonzales of the Civil and Environmental Engineering Department at UMass Amherst in our INFORMS Speakers Series. Dr. Gonzales, who received his PhD from UC Berkeley, and then spent 2 and a half years at Rutgers, recently joined the UMass faculty.

His talk, "Coordinating Traffic and Transit Systems: Linking Transportation Science and Economics," was fabulous. He discussed system optimization and user equilibrium with tipping points of switching to transit. I especially liked his use of numerous images and graphs to display trade-offs as well as his discussions of different cities around the world. He emphasized how to capture congestion in cities in an aggregated way. Several of the students in the audience had taken my Logistics and Transportation class as well as my graduate class on Networks, Game Theory, and Variational Inequalities, so they could very much appreciate his perspective.

Below are several photos that I took today at Dr. Gonzales' presentation at the Isenberg School, which attracted an audience also from the College of Engineering.

We are very lucky that Dr. Gonzales has joined the faculty at UMass Amherst! His dissertation advisor at UC Berkeley was Professor Carlos Daganzo, who was recently elected to the National Academy of Engineering.

The Power of One

Yesterday, Nate Lare and I had the pleasure of attending the Hometown Heroes event at the Mass Mutual Center in Springfield, as guests of the Executive Director of the Pioneer Valley Chapter of the American Red Cross, Mr. Rick Lee.

Mr. Lee, along with several other community leaders and experts in emergency and disaster preparedness,  have spoken this semester in my Humanitarian Logistics and Healthcare class at the Isenberg School. I recognized them in a Guest Editorial that I wrote and that was recently published on masslive.com.

The Hometown Heroes event was truly inspiring with about 600 in attendance!

Eleven area residents were recognized by the Red Cross for "selfless acts of courage." A nice photo of these extraordinary individuals, including teenagers appears on masslive.com. Their acts, whether by giving blood hundreds of times, starting a sports program for disabled children, or, in the case of several individuals,  saving lives after accidents, fires, or health incidents, are exceptional!

I took the photos below at the event yesterday and commend the Red Cross for all that it does! Mr. Rick Lee announced at this event, at which he also received a Lifetime Achievement Award from the Red Cross for his 30 years of extraordinary service, that he will retire as of this August. Who will replace him?

The ending video to the theme and music of The Power of One was especially moving with many in the audience tearing up. It featured such extraordinary women as Clara Barton, Rosa Parks, and Anne Frank, with a segment on Mr. Rick Lee (which was a complete surprise to him). What a difference he has made through his work ethic, integrity, energy, and the building of powerful friendships and relationships. Who can say no to this amazing man!

So if, at times, you feel that you are all alone, know that you can, as the above individuals have, and the Hometown Heroes, as well, through The Power of One,  make a big difference. You can provide your students, colleagues, neighbors, and even strangers with a helping hand, a kind word, spiritual and physical sustenance, a smile, a token of appreciation, a congratulatory note, a conversation. Perhaps, through additional actions, research, writings, and a book you might even change the world! Never lose the courage to do what is right.

And, since, regrettably, the photo of  Mr. Rick Lee, Nate and me together at the event did not come out, I repost the photo taken of Mr. Rick Lee when he spoke to the students in my class this past February.

Nate is on the far left. And, to emphasize the amazing students in our Operations & Information Management program at the Isenberg School of Management at UMass Amherst that I am privileged to teach, Nate was a Hometown Hero in 2011 -- simply awesome! Nate alerted residents when a fire gutted their apartment complex.

Although this year's closing video is not online yet, I urge you to view last year's, which includes images of Clara Barton, Rosa Parks, and Anne Frank: