Graduate Seminar: Risk Quadrangle and Applications in Day-Trading of Equity Indices

GAINESVILLE: Stan Uryasev, Professor of Industrial and Systems Engineering at the University of Florida, will deliver the graduate seminar “Risk Quadrangle and Applications in Day-Trading of Equity Indices,” at 4:05 p.m. on Thursday, September 29 in McCarthy Hall A, Room 2186.

This paper discusses the “Fundamental Quadrangle of Risk” framework including basic mathematical objects: Errors, Regrets, Risks, and Deviations. This framework suggests a consistent approach for defining and optimizing stochastic functions in various application areas: risk management, stochastic optimization, estimation in statistics, financial applications, insurance, structural reliability and others. Although the Quadrangle of Risk framework is very general and can be applied in various areas, we will focus on applications in Day-Trading and Hedging of long market exposures. We outline concepts for construction hedging strategies as well as the actual day-trading statistics for almost seven years.