For further information on our program please click on the links below:

Conference Program - July 10 & 11, 2018

 

 

Conference Day 1, July 10 2018

08.30

Registration and breakfast

08.50

RISK welcome address: Mauro Cesa, Quant Finance Editor, RISK.NET

09.00

OPENING KEYNOTE ADDRESS: Rough volatility: An overview

Jim Gatheral, Presidential Professor of Mathematics, Baruch College, CUNY

09.35

PRESENTATION: How to develop machine learning capabilities, while avoiding pitfalls?

Suresh Baral, Managing Director, PROTIVITI

 10.10

GUEST ADDRESS: Intraday price formation: Lessons from deep learning

Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE LONDON

10.45

Morning break and opportunity to network

KNOWLEDGE CAFÉ: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals.

  • Machine learning and quants: Adjusting your skill set
  • The growing potential of quantum computing: Why you should keep an eye on developments in this area 
  • Crowding in factor related strategies: How can the strategy work if everyone knows about it? 

STREAM ONE: Portfolio Optimization & Risk Management


Chair's opening remarks

11:20

Imperfect foresight: A framework for incorporating various forecast horizons into alpha models.

• Given a simple analytic model, we show how the framework:

      -improves IR
      -reduces turnover
      - and can be used in a Fama-MacBeth regression

• Empirical results including a custom method for determining horizon

Jonathan Briggs, Senior Portfolio Manager, Quantitative Equities, Public Market Investments, Canada Pension Plan Investment Board

 11.50

Implied returns with leverage constraints and target returns

  • To calculate implied returns assuming optimal allocation is an alternative and robust approach for portfolio optimization
  • Propose a new model to calculate implied returns with leverage constraint
  • The proposed model not only has parametric solution, but also can be used with any risk models

Leon Xin, Head of Risk and Portfolio Construction and Hedge Fund Strategist, JP MORGAN ASSET AMANAGEMENT

12.20

Zero covariation portfolio theory that applies methods from machine learning to the portfolio construction

Dilip Madan, Professor of Mathematical Finance, Robert H. Smith School of Business, UNIVERSITY OF MARYLAND

12.50

Lunch and opportunity to network

1.50

CALL FOR PAPER WINNER: Risk.net welcomes participants to submit technical articles to be presented at the 2018 Quant Summit USA

THE FINAL DATE FOR SUBMISSION IS: June 1, 2018

2.20

Foster-Hart analytical risk contributions: A New method to
construct risk parity portfolios

  • Derive analytical formulae for the risk parity contributions under the generalized Foster-Hart risk measure
  • Application of Foster-Hart to risk-parity portfolios
  • Empirical analysis with other risk measures (e.g. VaR)

Pietro Toscano, Senior Risk Manager, OPPENHEIMERFUNDS

2.50

Quantitative strategies in a low volatility environment

  • Portfolio construction is a critical, and often overlooked, source of alpha
  • Ideas for reducing unintended exposures in your portfolio construction and alpha model building that ensure greater pass-through of alpha into strategy outcome
  • Pitfalls and dangers in the current low-vol environment with many quant players
  • How to build a low volatility strategy that can also keep up in rising markets?

Peg DiOrio, Head of Quantitative Equity, VOYA INVESTMENT MANAGEMENT


STREAM TWO: Volatility Modelling & Pricing


Chair's opening remarks

11.20

Quantum pricing - Application of group representations theory in quantitative finance

  • Symmetry groups and their infinite dimensional representations in quantum mechanics
  • Using similar techniques in quantitative finance
  • Producing tractable and parsimonious derivative pricing models by utilizing methodologies applied in quantum mechanics and quantum field theory

Greg Pelts, Quant, WELLS FARGO

11.50

The Group Quantization methods in finance

  • Theoretical methods to show that the quantum phase invariance, analytically continued to the real line, gives rise to the Black Scholes theory
  • This continuation is the limit in which the quantum particle acquires an imaginary mass inversely proportional to the Black-Scholes variance, and phase invariance is now re-interpreted as invariance under the choice of numeraire
  • The Group Quantization formalism allows us to construct the operators and constrained functional space that fully describe the theory
Santiago Garcia, Director, Quantitative Analyst, WELLS FARGO
12.20

An expanded local variance gamma model and ultrafast calibration of volatility smile

  • An expansion of the LVG model that allows for a non-zero drift in the underlying process
  • Calibration of the model to the market smiles doesn't require solving any optimization problem
  • In contrast, it can be done term-by-term by solving a system of non-linear algebraic equations for each maturity, and thus is ultrafast

Andrey Itkin, Director, Senior Quant Research Associate, BANK OF AMERICA

12.50

Lunch and opportunity to network

1.50

Deep learning and computational graph techniques for generic derivatives pricing‎

Bernhard Hientzsch, Director, Head of Model, Library, and Tools Development for Corporate Model Risk, WELLS FARGO

2.20

*New research on pairs trading*

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL OF ENGINEERING

2.50

*New research on derivative pricing*

Fabio Mercurio, Head of Quant Analytics, BLOOMBERG

3.20

Afternoon break and opportunity to network 

3.40

SPECIAL GUEST ADDRESS: Quantum artificial intelligence

Vasil Denchev, Chief Quantum Software Architect of Quantum Artificial Intelligence Lab, GOOGLE

4.15

*SPOTLIGHT ON QUANTUM COMPUTING IN FINANCE*

  • PROVIDER'S VIEW: The promise of quantum computing applications in finance

Vern Brownell, Chief Executive Officer, D-WAVE SYSTEMS

  • PRACTITIONER'S VIEW: The reality of quantum computing applications in finance

Marcos Lopez de Prado, Chief Executive Officer, TRUE POSITIVE TECHNOLOGIES

5.20

Chairman's closing remarks: Mauro Cesa, Quant Finance Editor, RISK.NET

5.30

Cocktail reception. End of day one

 

Conference Day 2, July 11 2018

08.30

Registration and breakfast

08.50

RISK welcome address: Mauro Cesa, Quant Finance Editor, RISK.NET

09.00

MORNING KEYNOTE ADDRESS: Behavioral finance (TBC)

Hersh Shefrin, Mario L. Belotti Professor of Finance, Leavey School of Business, SANTA CLARA UNIVERSITY

09.35

PANEL DISCUSSION: New research fields in modern quantitative finance: What are they and what skills a new generation of quants need have to navigate them?

  • What new market developments have been driving quant research?
  • Are we in a machine learning era? Or a temporary hype? 
  • What are the opportunities for quants in the buy-side sector? 
  • What skill set employers are looking for: Are we moving form math and physics to computer science?

Ronnie Shah, Head of US Quantitative Research, DEUTSCHE BANK
Arik Ben Dor, Head of Quantitative Equity Research, BARCLAYS
Vasily Strela, Global Head of FICC Quantitative Strategies, RBC CAPITAL MARKETS

Further speakers to be confirmed

10.20

Morning break and opportunity to network

KNOWLEDGE CAFÉ: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals.

  • ESG and factor investing meets neuro-linguistic programming (NLP): Latest research, challenges and opportunities
  • Blockchain and cryptocurrencies: What's in it for quants? 
  • Low-volatility portfolio construction methods: Why today's low-volatility environment is different and what strategies to consider?

STREAM ONE: Quant Investing, Trading & Market Making


Chair's opening remarks

11.00

A quantitative framework for macroeconomic and multi-asset risk assessment

  • Drivers of different asset classes: macroeconomic and financial markets analysis
  • Asset class linkages due to common macro drivers
  • Cross-country and global linkages.
  • Feedback loops: Simultaneous equation system
  • Quantitative model building: Balancing structural market changes with sample period selection
  • Examples with some key asset classes

Indrani De, Managing Director, Macro and Country Risk, TIAA

11.30

A quantamental approach to risk management

  • Integrating data, machine learning, and fundamental insights to holistically manage risk
  • Evolving beyond rules-based systems into the world of deep learning
  • Finding patterns in data to aid risk management
  • An interesting use case: Automatically relating relevant and impactful news to one's Portfolio, reflecting measures of risk

Gurraj Singh Sangha, Quantamental Global Macro Portfolio Manager, STATE STREET

12.00

CALL FOR PAPER WINNER: Risk.net welcomes participants to submit technical articles to be presented at the 2018 Quant Summit USA

THE FINAL DATE FOR SUBMISSION IS: June 1, 2018

12.30

Lunch and opportunity to network

1.30

Intelligent trading: Using ML derived trading signals

Speaker to be confirmed

1.50

Model risk management for machine learning and trading strategies

  • Model Risk Management: What is it?
  • Challenges of using machine learning to build trading strategies
  • Strategy evaluation and ongoing monitoring of ML trading strategies

Ben Steiner, Head of Quantitative Strategies, CIT GROUP

 2.30

Recent advances in using neural nets for intraday predictions in equities markets

Michael Sotiropoulos, Managing Director, Global Markets, DEUTSCHE BANK

STREAM TWO: Risk.net Quants of the Year & Regulatory Challenges


Chair's opening remarks

11.00

*NEW RESEARCH FROM RISK.NET QUANTS OF THE YEAR*

I. Credit and funding risk for CCP trading

Leif Andersen, Global Co-Head of The Quantitative Strategies Group, BANK OF MAERICA MERRIL LYNCH

II. The impact of the margin requirements for uncleared derivatives on regulatory capital

Michael Pykhtin, Manager, Quantitative Risk, U.S. FEDERAL RESERVE BOARD 

12.30

Lunch and opportunity to network

1.30

Benchmarking and model interconnectedness in CCAR models

  • Benchmark vs challenger models
  • CCAR models network
  • Interaction and dependencies among models

‎Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATE STREET

2.00

Capital allocation across multiple legal entities with multiple constraints

Yadong Li, Managing Director, Head of Trading Book Risk Modeling, BARCLAYS CAPITAL

2.30

Effective approximations of zero coupon bond/survival probabilities and Arrow Debreu Prices in short rate models

Luca Capriotti, Global Head Quantitative Strategies Credit and Financing, CREDIT SUISSE

3.00

Afternoon break

3.20

AFTERNOON KEYNOTE ADDRESS: Machine Learning : A practitioner view between myth and reality

Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK

3.55

THE BIG DEBATE

This house believes machine learning and artificial intelligence offer revolutionary set of tools and will fundamentally change investing strategies

Introduction and audience vote
Opening remarks
Referee's round-robin debate
Summing up and rebuttal
Final vote

George Lentzas, Manager & Chief Data Scientist and Adjunct Associate Professor, SPRINGFIELD CAPITAL MANAGEMENT, COLUMBIA BUSINESS SCHOOL & NEW YORK UNIVERSITY

Further speakers to be confirmed

 

4.30

*HARVEST SESSION & Q&A WITH CONFERENCE CHAIRMEN*

Risk.net quant editor Mauro Cesa and chairmen will summarize key takeaways form the plenary and stream sessions they chaired and will open up for the Q&A and final thoughts on the changing face of the quant industry.

4.40

Chairperson's closing remarks. End of the conference.

Program updates:

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For updates or to discuss speaking opportunities please contact Ruta Gnedeviciute: