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Summits & Workshops (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Summits & Workshops (Please note this is the 2023 agenda*) - GMT (Greenwich Mean Time, GMTZ)
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Showing 1 of 1 Streams
Networking
08:00 - 08:50
Registration and morning refreshments
Showing 5 of 5 Streams
LLMs & Advanced ML Summit
Quant Invest Summit
Fundamentals of Machine Learning in Finance Workshop
Latest in Volatility Modelling Workshop
QuantMinds Hackathon
08:50 - 09:00
Chair's welcome remarks
09:00 - 09:40
Supervisory perspective on fairness in machine learning models
09:40 - 10:15
Ethical Considerations of NLP in Finance
- Nicole Königstein - Chief Data Scientist and Head of AI & Quantitative Research, Wyden Capital
10:15 - 10:45
Gen AI in the new quant era
- Stefano Pasquali - Head of Investment AI Modelling & Research team, BlackRock
10:45 - 11:15
Morning break & networking
11:15 - 11:55
The future of investing with AI
11:55 - 12:30
Collaborative Minds: Uniting AI through Federated Learning
12:30 - 13:00
The Bridge Method - A new ML technique
13:00 - 14:00
Lunch break & networking
14:00 - 15:20
Differential machine learning: nailing fast XVA and friends with ML
- Antoine Savine - Head of Analytics, HRT
- Brian Huge - Head of Quant, Saxo Bank
15:20 - 15:50
Afternoon break and networking
15:50 - 16:30
Learning to remove the drift
16:30 - 17:10
Use of targeted Sentiment Analysis to generate Investment Signals
17:10 - 17:50
Tackling non-linear price impact with linear strategies
17:50 - 18:00
Chair's closing remarks
08:50 - 09:00
Chair's welcome remarks
- Thomas Raffinot - Head of Quant Investment Signals, AXA Investment Managers
09:00 - 09:40
An overview of the year past: What does the buy-side want?
Quant milestones & developments
- Erik Vynckier - Board Member, Chair of the Investment Committee, Foresters Friendly Society and Institute and Faculty of Actuaries
09:40 - 10:15
Biodiversity: Factor-based liquid portfolios with sustainable steering
10:15 - 10:45
Implied volatility changes and corporate bond returns
10:45 - 11:15
Morning break & networking
11:15 - 11:55
Climate risk assessment of a large-sized credit portfolio
11:55 - 12:30
Green or brown? Choosing an overpriced stock to short sell
12:30 - 13:00
Factor investing in fixed income: applications to emerging market sovereigns
- Joe Hanmer - Global Head of Quant, Fidelity International
13:00 - 14:00
Lunch break & networking
14:00 - 14:40
Interactions in asset pricing
- Thomas Raffinot - Head of Quant Investment Signals, AXA Investment Managers
14:40 - 15:20
Physics vs AI Paradigms in Asset Management
- Revant Nayar - Chief Investment Officer, Dilaton Technologies LLC Family Office
15:20 - 15:50
Afternoon break & networking
15:50 - 16:30
The End of Overfitting? Quantitative modelling in the age of overparameterised networks
16:30 - 17:10
Clustering market regimes using the Wasserstein Distance II: multi-dimensional case
17:10 - 17:50
Cross-impact in equity markets (joint work with Prof. Rama Cont)
17:50 - 18:00
Chair's closing remarks
- Thomas Raffinot - Head of Quant Investment Signals, AXA Investment Managers
08:50 - 09:00
Workshop leader's welcome remarks
09:00 - 10:45
Introduction and unsupervised learning
- Machine learning vs statistics
- Different learning approaches and their applications
- The use of training, validation, and test data sets
- The variance-bias trade-off
- The k-means algorithm and case study
- Other unsupervised learning tools
10:45 - 11:15
Morning break & networking
11:15 - 13:00
Supervised learning
- Linear and logistic regression
- Ridge, lasso, elastic net. Case studies
- Support vector machines
- Decision trees and random forests
- Bagging and boosting; ensemble models
- Neural networks and the gradient descent algorithm
13:00 - 14:00
Lunch break & networking
14:00 - 15:20
Reinforcement learning
- Exploration vs exploitation
- Monte Carlo method
- Examples
- Temporal difference learning
- Deep Q-learning
- Applications
15:20 - 15:50
Afternoon break & networking
15:50 - 17:50
NLP and explainability
- Bag of words models
- Sentiment analysis
- Other applications of NLP, ChatGPT
- Importance of explainability
- Shapley values
- LIME
17:50 - 18:00
Workshop leader's closing remarks
08:50 - 09:00
Workshop leader's welcome remarks
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
09:00 - 10:45
Important facts about volatility and early models
- The different types of volatility
- The different types of volatility derivatives
- The volatility smile
- Stylized facts of volatility
- Volatility modeling: a brief history
- Static v. dynamic properties of volatility models
- Early models: Black-Scholes, local volatility
- Links between spot volatility, local volatility, and implied volatility
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
10:45 - 11:15
Morning break & networking
11:15 - 13:00
Stochastic volatility
- Stochastic volatility models
- Variance curve models
- The smile of stochastic volatility models
- Local stochastic volatility
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
13:00 - 14:00
Lunch break & networking
14:00 - 15:20
Latest advances in volatility modeling
- Rough volatility
- Path-dependent volatility
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
15:20 - 15:50
Afternoon break & networking
15:50 - 17:50
Calibration of volatility models
- The particle method for smile calibration
- Calibration of multi-asset volatility models: local volatility/correlation, cross-dependent volatility/correlation
- Joint S&P 500/VIX smile calibration
- The term-structure of the equity at-the-money skew
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
17:50 - 18:00
Workshop leader's closing remarks
- Julien Guyon - Professor of Applied Mathematics, École des Ponts ParisTech
09:00 - 16:00
QuantMinds Hackathon in partnership with CompatibL
- Alexander Sokol - Executive Chairman, CompatibL
Showing 5 of 5 Streams
Networking
Discussion Roundtable Alpha
Discussion Roundtable Beta
Discussion Roundtable Gamma
Discussion Roundtable Delta
18:00 - 19:00
QuantMinds 2023 welcome drinks
18:00 - 18:45
AI & ML Modelling: How do we make the black box transparent?
18:00 - 18:45
Rough volatility
- Jim Gatheral - Presidential Professor of Mathematics, Baruch College, CUNY
18:00 - 18:45
Factor-based sustainable investing, aligning ethical & return-oriented goals
18:00 - 18:45
Machine learning for asset management and hedging
- Nicole Königstein - Chief Data Scientist and Head of AI & Quantitative Research, Wyden Capital
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