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SQA September 14th Seminar w/ Bob Fernholz
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When: Thursday, September 14, 2017
5:30 PM

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SQA September 14th Seminar


Bob Fernholz




September 14, 2017
5:30 - 7:30 pm



S&P Global

55 Water St, New York, NY 10041


Data follow a power law or Pareto distribution if a log-log plot of the data versus rank is approximately a straight line. A Pareto distribution follows Zipf’s law if the slope of the log-log plot is −1. Zipf’s law is a form of universality, since many classes of data seem to follow this distribution. Specifically, certain time-dependent, rank-based systems seem to follow Zipf’s law, and we shall try to characterize these systems. In particular, the capitalizations of stocks form a system that follows a weak version of Zipf's law, and we shall discuss the implications of this phenomenon.


Robert "Bob" Fernholz is a mathematician and financial researcher specializing in mathematics of finance. He founded INTECH, an institutional equity management firm, in 1987 where he was its chief investment officer. He is also the President of Allocation Strategies, LLC, a company that he founded in 2012, and a trustee at the Institute for Advanced Study in Princeton, New Jersey


Fernholz received his BA degree magna cum laude from Princeton University majoring in mathematics. He earned his PhD in mathematics from Columbia University. After joining the Mathematics Department at the University of Washington in Seattle as an Assistant Professor, Fernholz continued his academic career in Argentina, followed by Hunter College of the CUNY, and Princeton University. 


Over time, his interests changed from pure to applied mathematics, in particular, probability, statistics, and applications. After several years of independent research in this new direction, in 1982 he published the paper “Stochastic Portfolio Theory and Stochastic Market Equilibrium”, which was the basis for his investment ideas that culminated in the creation of INTECH.


Fernholz is the author of numerous research articles both in pure and applied mathematics as well as statistics and mathematics of finance. His most important publication is the pioneering research monograph Stochastic Portfolio Theory published in 2002.



5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation

7:00 p.m. Cocktails & Networking

7:30 p.m. Adjourn




SQA Members: Regular or Academic - $50
 Transitional or Student - $30
Non-Member Affiliated - $70 (Contact your Affiliate Organization for your discount code)
 Non-members - $90


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