LQG 2026/05/12 – 18:30 – Adventures in high-dimensional space – Robert Macrae – IP *OLO* Hybrid

by

Linear factors have a vice-like grip on quant thought. What makes them so successful? How should we move beyond them, and what happens when we try? What could possibly go wrong...?
2026/05/12 – In-Person and On-Line

Adventures in high-dimensional space

Seminar by Robert Macrae

The LQG is very grateful to Bloomberg our hosts of this seminar.

At the 2025 LQG autumn seminar Desi Ivanova challenged quants to abandon their long-cherished love of parsimony and embrace the massively over-parameterised models that have revolutionised machine learning. This talk will discuss some baby steps along that road, and the problems and opportunities that arise when we abandon the linear model crutch and venture naked into the high-dimensional space in which risk lives.

About the Speaker

Robert Macrae

Researcher
Systemic Risk Centre – London School of Economics

Following a varied career as an engineer and hedge fund manager, for the last decade Robert has been associated with the Systemic Risk Centre at the London School of Economics. Current interests include machine learning as both tool and threat, and the threat of stablecoins.

Robert Macrae