Artificial Intelligence and Machine Learning (AI & ML) and Sentiment Analysis are said to “predict the future through analysing the past” – the Holy Grail of the finance sector. They can replicate cognitive decisions made by humans yet avoid the behavioural biases inherent in humans.

Processing news data and social media data and classifying (market) sentiment and how it impacts Financial Markets is a growing area of research. The field has recently progressed further with many new “alternative” data sources, such as email receipts, credit/debit card transactions, weather, geo-location, satellite data, Twitter, Micro-blogs and search engine results. AI & ML are gaining adoption in the financial services industry especially in the context of compliance, investment decisions and risk management.

This is a sophisticated conference that not only interrogates and explores the implications of AI & ML in the financial services industry but also goes on to identify the investment opportunities of sharing knowledge and exploiting IP in the finance domain.

Attend this event and earn GARP/CPD credit hours.

UNICOM has registered this program with GARP for Continuing Professional Development (CPD) credits. Attending this program qualifies for 7 credit hours. If you are a Certified ERP® or FRM®, please record this activity in your Credit Tracker.

  • Learn how you can benefit from the unprecedented progress in technological advances for yourself and your company
  • Find out about the impact of Quantum Computing and Alternative Data
  • Benefit from the experience of world class presenters from the UK, US, Europe and India/Hong Kong
  • Gain exclusive insights into pioneering projects in AI, Machine Learning & Sentiment Analysis in Finance
  • Programme includes the latest state-of-the-art research, practical applications and case studies
  • Enjoy excellent networking opportunities throughout the days with all participants, including presenters, investors and exhibitors.

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Call for Participation

We are inviting speakers – thought leaders, subject experts and start up entrepreneurs – to share their knowledge and enthusiasm about their work and their vision in the field of AI, Machine Learning, Sentiment Analysis.

Please complete the speaker’s response form and submit a proposal to present at this event.

Code of Conduct & Diversity

UNICOM’s Code of Conduct & Views on Diversity

We at UNICOM strive to be a leading provider of knowledge to the business community and to engage the global business community as a specialised provider of knowledge. We strive to do this maintaining a culture of co-operation, commitment and trust. We want every UNICOM conference and training day to be a safe and productive environment for everyone – a place to share research and innovation and to build professional networks. To that end, we will enforce a code of conduct throughout all our events. We expect cooperation from all participants to help ensure a safe environment for everybody.

Our approach is that our events are dedicated to providing a harassment-free experience for everyone, regardless of gender, gender identity and expression, age, sexual orientation, disability, physical appearance, body size, race, ethnicity or religion. We do not tolerate intimidation, stalking, harassing photography or recording, sustained disruption of sessions or events, and unwelcome physical contact or sexual attention. We do not tolerate harassment of conference participants in any form. Sexual language and imagery is not appropriate for any conference venue, including talks, workshops, Twitter and other online media. Event participants violating these rules may be sanctioned or expelled from the event without a refund at the discretion of the conference organisers. Please bring your concerns to the immediate attention of the event staff.

Diversity: In our endeavour to be the provider of knowledge to the business community, we understand that this depends on hearing from and listening to a variety of perspectives that come from people of all races, ethnicities, genders, ages, abilities, religions, sexual orientation, and military service. We welcome diverse speakers for all our events, we do not always fully achieve this goal, but it is an ongoing process.

Read more…

October 2020 conference programme under development

Previous programme October 2019


08:00 – 08:45 Registration & Coffee

08:45 – 08:55 Chairman’s Introduction, Professor Gautam Mitra, OptiRisk Systems/UCL (Morning Chair)

Session 1 – Theme: Sentiment Analysis and Derivative Trading

08:55 – 09:20 Volatility aversion in the options market based on news sentimentRead More
Matthias Uhl, Head Analytics & Quant Modelling at UBS Asset Management

The author identifies and explains asymmetric reactions in the implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asym­metry is termed factor volatility aversion, which is more pronounced the shorter the time to maturity of the option.

09:20 – 09:45 Volatility CalendarRead More
Lily Yingyi Gu, Quant Reseacher, Bloomberg LP

In this talk we are addressing some issues associated with FX volatility surface construction. Regular economic data releases, as well as one-off events like elections, can drastically change the implied volatility profile. On the Bloomberg terminal users may manipulate volatilities by adjusting weights for those events in the function VCAL. We describe here a methodology on how to obtain those economic weights. In addition, we use sentiment data to help us better gauge the relative importance between these events.

09:45 – 10:10 Machine Learning and Mortgage Analytics: Predicting Defaults in Agency PoolsRead More
Tom Davis, Director of Fixed Income and Derivatives Research, FactSet

The mortgage market in the US is the perfect candidate for the application of machine learning techniques, being such a sizeable market with vast amounts of data open to the public. In the US, mortgages are bundled, sold by the Government Sponsored Agencies (GSEs), who guarantee the investors against mortgage defaults. Typical agency prepayment models include many effects, but do not implicitly consider defaults due to this guarantee. We have shown that applying machine learning techniques produces good predictive power on defaults in agency pools. In this talk I will briefly introduce the mortgage markets, define the problem that we are solving, and show the results of the study. Given the successful outcomes, more ambitious projects are planned and will be discussed.

10:10 – 10:40 COFFEE

Session 2 – Theme: AI & Machine Learning applied to Finance

10:40 – 11:05 How to spot market outliers with Artificial IntelligenceRead More
Lucas Bruggeman, Managing Director Sentifi AG

Finding an edge is hard because traditional data sources are widely available, have time lags and in some instances are manually aggregated. In addition to that, asset valuations shift constantly, and those who have the earliest information signals benefit the most. We address these challenges by commingling traditional and alternative data – enabling investors to identify market outliers and early indicators for future price movements.

This talk will answer the following questions:

  • How significant is a news event for my portfolio?
  • Is momentum shifting for stocks in my portfolio?
  • Which companies are affected by risk events?

11:05 – 11:30 Machine Learning for Visual Portfolio Risk AnalysisRead More
Claus Huber, Portfolio Manager, Deka Investment

A very valuable feature of the Self-Organising Map, a method of Machine Learning, is its visualisation capabilities. We show how the Self-Organising Map can be deployed to visualise the risk structure in a portfolio, in particular for assets for which no risk models exist. Some examples to this end are the visualisation of risk concentrations, identifying diversifiers and scenario analysis. Real-world applications are the selection of hedge fund managers or the analysis of a portfolio of Alternative Risk Premia.

11:30 – 11:55 News Sentiment Analysis In Em Sovereign Debt Research, Investment and Risk ManagementRead More
Kamilla Kasymova, Associate, Quantitative Research and Analytics, Northwestern Mutual and Jacob Gelfand, CFA, Director of Quantitative Strategy and Research, Investment Risk Management

We present a framework for ex-ante analysis of the USD denominated EM Sovereign spreads and respective currencies based on the flow of news in global and local media. The public domain GDELT data is currently being used, but the framework is agnostic to data source, and can be adopted to any data source. We will discuss use cases pertaining to selected countries and spearhead the discussion about predictive qualities of the produced analytics.

Session 3 – Morning Panel – Part 1

11:55 – 12:25 Panel – Moderator: Dr Richard Peterson, Managing Director, MarketPsych
Panel – Members: [Lucas Bruggeman, Tom Davis, Andreas Pusch, Dan Joldzic]

12:25 – 13:25 LUNCH

13:25 – 13:30 Introduction to the Afternoon Sessions, Professor Ronald Hochreiter, Docent & CEO, WU Vienna University of Economics and Business & Academy of Data Science in Finance (Afternoon Chair)

Session 4 – Theme : NLP and Sentiment Analysis applied to Finance

13:30 – 13:55 Rapid Conditioning of Risk Estimates Using Quantified News FlowsRead More
Christopher Kantos, Senior Equity Risk Analyst, Northfield

In December of 2017 Northfield introduced the first commercially available factor risk models that incorporates computerized analysis of news text directly into volatility risk forecasts for individual stocks, corporate bonds, industry groups and ETFs based on market indices. Market events in early 2018 provided several excellent examples of why we believe that Risk Systems That Read® is the most significant innovation in factor risk models in more than three decades. We will illustrate show how recent news events drove financial market outcomes for Wynn Resorts, Wynn Macau, Facebook and Wanda Hotels (HK). Each day the content of thousands of news articles are now part of the input for the full range of models available from Northfield. The line of research that led to this innovation stretches back to 1997, and includes five published papers by Northfield staff [diBartolomeo and Warrick (2005), diBartolomeo, Mitra, Mitra (2009), diBartolomeo (2011,2013,2016)]. Beyond the obvious improvement in risk estimation, the method has important implications for alpha generation by both quant and traditional for active managers.

13:55 – 14:20 Discovering Intelligence in Unstructured ContentRead More
Dan Joldzic, CEO, Alexandria

  • Technology borrowed from the domain of DNA identification
  • Design to identify cause and effect in large datasets
  • Analysis of immense quantity of genomic information
  • This AI&ML base technology applied to financial analytics

14:20 – 14:45 A Hybrid Approach to Multi-Equity Daily TradingRead More
Professor Gautam Mitra, CEO, OptiRisk Systems & Visiting Professor, UCL and Zryan Sadik, Quantitative Analyst and Researcher, OptiRisk Systems

  • Short term market movements (mini-regimes) predicted by AI & ML
  • Long/Short Limits (parameters) adjusted in response
  • News Factored in Asset Universe Filters
  • Trade Portfolio of Multiple Stocks
  • Daily Trade Signals for Adjusting Asset Allocations

14:45 – 15:00 TEA

Session 5 – Theme : NLP and Sentiment Analysis applied to Finance.

15:00 – 15:25 Blowing Bubbles: Quantifying How News, Social Media, and Contagion Effects Drive Speculative ManiasRead More
Richard Peterson, Managing Director, MarketPsych

In this talk Dr. Richard Peterson describes how media analytics are providing new insights into the origins and topping process of asset price bubbles. Examples from price bubbles including the China Composite, cryptocurrencies, housing, and many others will be explored. Recent mathematical models of bubble price action will be augmented with sentiment analysis. Attendees will leave with new models for identifying and taking advantage of speculative manias and panics.

15:25 – 15:50 Unleash the power of news-data to take your investment strategies to the next level.Read More
Andreas Pusch, CEO and Founder YUKKA Lab AG

Based on our proprietary Augmented Language Intelligence Technology we are empowering Financial Experts to excel in their jobs by always being on top of the latest news development around their investment and customers.

  • Smoothen your draw-downs and improve your risk management
  • Detect risks & opportunities in the market faster
  • Master information overload and increase efficiency by 50%
  • Burst your filter bubble and get an unbiased perspective on the news
  • Add an additional data pillar to your investment approach

Session 6 – Theme : AI & Machine Learning applied to Finance

15:50 – 16:15 Brain proprietary signals based on machine learning and natural language processing techniquesRead More
Francesco Cricchio, Co-founder and CEO of Brain

We present Brain proprietary signals based on the application of machine learning and natural language processing techniques:

1) The BSR signal is a daily stock ranking based on a supervised machine learning model that uses an ensemble of features related to market regimes, stock fundamentals, prices and volumes, calendar anomalies. The model can be customized with the specific investable universe, the rebalancing frequency and the investment style.

2) The Brain Sentiment Indicator (BSI) is a daily stock ranking based on the natural language processing analysis and sentiment extraction from the financial news on a global scope.

16:15 – 16:40 A Deep Learning Meta-model Approach to Compute Optimal Investment StrategiesRead More
Ronald Hochreiter, Docent & CEO, WU Vienna University of Economics and Business & Academy of Data Science in Finance

AI and Machine Learning methods can be used to generate investment decisions successfully. A clever combination of Data Science methods with methods from the field of Decision Science (Prescriptive Analytics) may lead to even more successful models. In this talk a general outline for such a successful methodological combination will be presented as well as a concrete novel Deep Learning investment model which is based on graphical TTR series representations instead of using time-series directly. It will be shown how important Feature Engineering for Deep Learning in Finance actually is.

Session 7 – Closing Panel – Part 2

16:40 – 17:10 Moderator: Ronald Hochreiter, Docent & CEO, WU Vienna University of Economics and Business & Academy of Data Science in Finance
Panel – Members: [Matteo Campellone, Tom Davis, Kamilla Kasymova, Jacob Gelfand]

17:10 – 17:20 Summary of the day by Ronald Hochreiter ( Afternoon Chair)

17:20 – 18:30 DRINKS & NETWORKING


Lucas Bruggeman

Partner, Sentifi

Dr. Tom Davis

Director of Fixed Income and Derivatives Research

Jacob Gelfand

CFA, Director of Quantitative Strategy and Research, Investment Risk Management

Ronald Hochreiter

Docent & CEO, WU Vienna University of Economics and Business & Academy of Data Science in Finance

Claus Huber

Portfolio Manager, Deka Investment

Dan Joldzic

CEO, Alexandria

Christopher Kantos

Senior Equity Risk Analyst, Northfield

Kamilla Kasymova

Associate, Quantitative Research and Analytics, Northwestern Mutual

Gautam Mitra

CEO, OptiRisk System & Visiting Professor, UCL

Richard Peterson

Managing Director, MarketPsych

Andreas Pusch

CEO and Founder YUKKA Lab AG

Boryana Racheva-Iotova

Head of Risk and Quantitative Analytics | FactSet

Zryan Sadik

Quantitative Analyst and Researcher, OptiRisk Systems.

Matthias Uhl

Head Analytics & Quant Modelling at UBS Asset Management

Lily Yingyi Gu

Quant Reseacher, Bloomberg LP


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