iCubed (Institute, Industry, Innovation) seminars invite DSI Industry Affiliates to give technical talks on work going on in their domain. Join to learn about real-world uses of data science and career opportunities at Industry Affiliate companies.

Guest Speaker

Lada Kyj, Head of Investment Management Fintech Data Science in Vanguard’s Investment Management Fintech Strategies Group

Moderated By: Jessica Rodriguez, Industry Engagement and Outreach Officer, The Data Science Institute

Details

Thursday, April 21, 2022 (11:00 AM – 12:00 PM ET) – Virtual

This event was NOT recorded.

Talk Information

Alt Data for Order Imbalance

This talk will walk through how investment data scientists evaluate opportunities in alternative data sets. Equity trade order imbalance (OIB) is well-documented in the literature as having predictive power for future returns. The data is unavailable and in our study we consider a proxy for OIB. We examine the statistical properties of this proxy for OIB and under which conditions it is an effective risk-adjusted predictor of future returns.

Bio: Lada Kyj, Ph.D. is the Head of Investment Management Fintech Data Science in Vanguard’s Investment Management Fintech Strategies Group. Dr. Kyj is a member of the American Statistical Association (ASA) Committee on Data Science and Artificial Intelligence.

Previously she was the Head of Trading Strategy and Analytics at Grantham, Mayo, Van Otterloo & Co LLC (GMO). Prior to that Dr. Kyj was an Algorithmic Trading Quant at Barclays and a Research Postdoc at a joint venture between Deutsche Bank and Humboldt University of Berlin. Dr. Kyj joined Vanguard in 2018. She earned a B.A. in Economics and Statistics, and M.A. and Ph.D. in Statistics from Rice University.