Programme

Programme

2019 Programme

Join us at the Asian Civilisations Museum in Singapore on December 3, 2019

07:3008:20

Breakfast Briefing: Diversity in Quantitative Finance

07:30 - 08:20

08:2008:50

Registration

08:20 - 08:50

08:5009:00

Welcome address

08:50 - 09:00

Mauro Cesa

Quantitative Finance Editor

RISK.NET

Mauro Cesa, Quantitative Finance Editor, RISK.NET

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.

09:0009:30

Keynote address: Skewing quanto with simplicity

09:00 - 09:30

George Hong

Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling

Credit Suisse

09:3010:00

Evolution of execution dynamics and advances in trading technology

09:30 - 10:00

Michael Steliaros

Global Head of Quantitative Execution Services

GOLDMAN SACHS

Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm's relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.

Prior to this, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences.

Michael received a bachelor's degree in Economics & Econometrics from the University of Nottingham, a master's degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.

Romanos Piperakis

Head of Quantitative Execution Services, Asia Pacific

Goldman Sachs

10:0010:45

Panel discussion: Questioning the quant drought

10:00 - 10:45

George Hong

Head of Asia-Pacific Quantitative Strategies and Global Product Head for Equities Modelling

Credit Suisse

10:4511:30

Morning networking break and knowledge cafes

10:45 - 11:30

11:3012:00

Stream

Portfolio/investment

Machine learning for identification and forecast of market cycles

11:30 - 12:00

Stream

Model risk/derivatives

Benchmark reform in Asia: the quant perspective on modelling

11:30 - 12:00

12:0012:30

Stream

Portfolio/investment

Measuring crowding

12:00 - 12:30

Stream

Model risk/derivatives

Beyond Libor in Asia: The transition from Libor and the opportunities for quants

12:00 - 12:30

12:3013:00

Stream

Portfolio/investment

Generating performance with factor investing / smart beta

12:30 - 13:00

Stream

Model risk/derivatives

XVA integration in Asia: Challenges and opportunities running a central function

12:30 - 13:00

13:0014:00

Networking lunch

13:00 - 14:00

14:0014:30

Stream

Portfolio/investment

Risk premia strategies - exploring alternative approaches

14:00 - 14:30

Stream

Model risk/derivatives

Standardised initial margin models

14:00 - 14:30

14:3015:00

Stream

Portfolio/investment

Practical applications of behavioral finance

14:30 - 15:00

Stream

Model risk/derivatives

Deep hedging: how and why to apply it

14:30 - 15:00

15:0015:30

Stream

Portfolio/investment

Concentration risk and volatility models

14:30 - 15:00

Stream

Model risk/derivatives

Model risk validation for forward looking models

14:30 - 15:00

15:3016:00

Afternoon break

15:30 - 16:00

16:0016:30

Keynote address: Machine learning in quant finance

16:00 - 16:30

16:3017:00

Focus on: Future market trends

16:30 - 17:00

17:0018:00

Cocktail and drinks reception

17:00 - 18:00

Pricing

Super early bird discount

Standard rate

until October 4, 2019

post October 4, 2019

1099 USD
1499 USD

 

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