September 25 to 27 2018, Boston, US.


Speaker "SHENGQUAN ZHOU" Details

Name :
shengquan zhou
Company :
Title :
Quantitative Researcher
Topic :

Factor Investing Using Options Implied Volatilities

Abstract :

The predictive power of option implied volatilities on stock returns have been extensively studied in literature. In this talk, we discuss a data-driven approach to factor investing based on implied volatility skews and their combinations.

Profile :

Dr. ShengQuan Zhou joined the Bloomberg in 2012. Prior to that, he earned his Ph.D in physics from University of Illinois at Urbana-Champaign. At Bloomberg, ShengQuan's current research focuses on deriving financial trading signals from alternative data.


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