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Showing of Streams
07:45 - 08:20 35 mins
Quant Invest Summit
Registration & welcome coffee
07:45 - 08:20 35 mins
Quant Tech Summit
Registration & welcome coffee
08:20 - 08:30 10 mins
Quant Invest Summit
Chairman's opening remarks
08:20 - 08:30 10 mins
Quant Tech Summit
Chairman's opening remarks
08:30 - 09:10 40 mins
Quant Invest Summit
Dealing with uncertainty
  • Stefano Pasquali - Managing Director, Head of Liquidity Research, BlackRock
08:30 - 09:10 40 mins
Quant Tech Summit
AI in Algorithmic Trading
  • Andrew Mann - Co-founder, Coinstrats
08:30 - 09:00 30 mins
Volatility Workshop
Registration, breakfast & networking time
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
09:00 - 09:05 5 mins
Volatility Workshop
Workshop leader’s opening remarks
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
09:05 - 10:30 85 mins
Info
Volatility Workshop
Fundamentals
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Historical volatility estimation and implied volatility calculation
  • How to construct a good implied volatility surface
  • How to compute a fair skew in the absence of options
  •  Market facts: volatility regimes, handling earnings
09:10 - 09:50 40 mins
Info
Quant Invest Summit
A Case Study: From Emotions to Decisions
  • Sylvain Forté - CEO, SESAMm
  • Guillaume Garchery - Head of Quantitative Research and Development, La Française Investment Solutions

The partnership between an asset manager and a specialized startup to explore using a machine learning framework for NLP time-series analysis to guide investment decisions.

09:10 - 09:50 40 mins
Info
Quant Tech Summit
Data engineering developments

Streamlining the process between data, modelling and getting models into production

09:50 - 10:30 40 mins
Quant Invest Summit
Real World Interest Rate Model
  • Sergey Myagchilov - Investment Vice President, Prudential Financial
09:50 - 10:30 40 mins
Info
Quant Tech Summit
Tapping into the mass of unstructured data

How do quants access the data, work with it efficiently and ensure they have the appropriate computational setup

10:30 - 11:00 30 mins
Quant Invest Summit
Morning coffee & networking break
10:30 - 11:00 30 mins
Quant Tech Summit
Morning coffee & networking break
10:30 - 11:00 30 mins
Volatility Workshop
Morning coffee & networking break
11:00 - 11:40 40 mins
Info
Quant Invest Summit
The convexity profile of trend-following strategies
  • Artur Sepp - Head of Research, Quantica Capital AG

Evaluating the diversification benefits of trend-following strategies

11:00 - 11:40 40 mins
Quant Tech Summit
Transforming financial markets through smart contracts and blockchains
  • Massimo Morini - Head of Interest Rate and Credit Models, Banca IMI
11:00 - 12:30 90 mins
Info
Volatility Workshop
Volatility models
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Review of the most commonly used volatility models: Black-Scholes, Local Volatility model, Heston model, SABR models, stochastic local volatility model. Path dependent models, fractional volatility
  • Implementation of the Local Volatility model
  • Implementation of Local Stochastic Volatility models
  • Machine Learning to create data driven models
  •  Case studies: Barrier options, AutoCallables and Accumulators


11:40 - 12:20 40 mins
Quant Invest Summit
Crowding in institutional trading - what should you do about it?
  • Zoltan Eisler - Co-Head of Execution, Capital Fund Management
11:40 - 12:20 40 mins
Info
Quant Tech Summit
Blockchain for Business
  • Silvio Micali - Founder, Algorand

A distributed ledger is a tamperproof sequence of data that can be read and augmented by everyone. Distributed ledgers stand to revolutionize the way a democratic society operates. They secure all kinds of traditional transactions –such as payments, asset transfers, titling– in the exact order in which they occur; and enable totally new transactions ---such as cryptocurrencies and smart contracts. They can remove intermediaries and usher in a new paradigm for trust. As currently implemented, however, distributed ledgers cannot achieve their enormous potential.


Algorand is an alternative, democratic, and efficient distributed ledger. Unlike prior ledgers based on ‘proof of work’, it dispenses with ‘miners’. Indeed, Algorand requires only a negligible amount of computation. Moreover, its transaction history does not ‘soft-fork’ with overwhelming probability: i.e., Algorand guarantees the finality of all transactions.


Finally, Algorand enjoys flexible self-governance. A successful society must be able to evolve, and a cryptocurrency cannot be an ocean liner on autopilot. By using its hallmark propose-and-agree process, Algorand can correct its course as necessary or desirable, without any ‘hard forks’. Thanks to this core process, Algorand can routinely summon the contribution of each single ‘token’ for reaching any future decision.

12:20 - 13:00 40 mins
Quant Invest Summit
Know and manage your customers risk appetite: from fund product design to risk management perspectives
  • Aymeric Kalife - Associate Professor, Paris Dauphine University
12:20 - 13:00 40 mins
Info
Quant Tech Summit
Crypto trading practicalities
  • Alexandru Agachi - Co-founder and COO, Empiric Capital

How to setup such a project? What is the scope of returns for cryptos as an asset class?

12:30 - 14:00 90 mins
Volatility Workshop
Lunch
13:00 - 14:00 60 mins
Quant Invest Summit
Lunch
13:00 - 14:00 60 mins
Quant Tech Summit
Lunch
14:00 - 14:40 40 mins
Info
Quant Invest Summit
Passive vs active asset management
  • Arta Babaee - Academic Visitor, Imperial College London
  • Bernd Scherer - Head Of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG
  • Iuliia Shpak, PhD - Quant Strategies Specialist, Sarasin & Partners LLP

Can active investments consistently beat the market and justify the associated fees? To what extent is passive asset management a better and less risky return?

14:00 - 14:40 40 mins
Info
Quant Tech Summit
Forecasting Stock Market Returns using Machine Learning Models
  • David Mascio - Managing Founder and Principal, Della Parola Capital Management, LLC

Successful market timing strategies depend on superior forecasting ability. We use predictive machine learning model consisting of investor sentiment, current business conditions, economic policy uncertainty, credit spreads, and financial uncertainty. These indices are combined to create two additional forecast models, a “kitchen sink logistic regression" and a “least absolute square shrinkage and selection operator." The individual indices and the combined models are used to predict the one-month ahead returns of the S&P 500 Index (SPX). In order to determine how successful each strategy is at forecasting the market direction, a \beta optimization" strategy is implemented. We determine the individual forecast indices and the combined portfolios consistently have higher annual returns and lower monthly drawdowns than the buy-and-hold S&P 500 Stock Index portfolio.

14:00 - 15:30 90 mins
Info
Volatility Workshop
Volatility derivatives
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Variance swaps, replication, practical issues
  • Volatility swaps
  • Cross corridor variance swaps
  • VIX: Spot, Futures, options and ETFs
  • Options on realized variance
14:40 - 15:20 40 mins
Info
Quant Invest Summit
Quant ETF strategies: using the flexibility of ETFs and the rigor of quantitative research to build active global asset allocation strategies
  • George Mylnikov - Vice President, Head of Quantitative Research, Charles Schwab Investment Advisory

Evaluating the benefits of ETFs and how quants can help improve automation and returns

14:40 - 15:20 40 mins
Info
Quant Tech Summit
Machine learning and cloud computing

How to quickly use cloud solutions that you can run your own machine learning algorithms through to solve problems

15:20 - 15:50 30 mins
Quant Invest Summit
Afternoon tea & networking break
15:20 - 15:50 30 mins
Quant Tech Summit
Afternoon tea & networking break
15:30 - 16:00 30 mins
Volatility Workshop
Afternoon tea & networking break
15:50 - 16:30 40 mins
Info
Quant Invest Summit
Factor Investing - Managing Specification Choices
  • Bernd Scherer - Head Of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG
  • Design clusters
  • Factor design and cross sectional dispersion
  • Factor design and time series dispersion
  • Design choice and research governance
  • Factor fishing
15:50 - 16:30 40 mins
Info
Quant Tech Summit
Reverse quantum annealing approach to portfolio optimization problems
  • Alexei Kondratyev - Managing Director, Head of Data Analytics, Electronic Market Solutions, Standard Chartered Bank

Finding optimal parameters for the reverse quantum annealing protocol

16:00 - 17:30 90 mins
Info
Volatility Workshop
Volatility trading & arbitrage
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
  • Volatility as an asset class
  • Frequency/phase arbitrage
  • Skew trades
  • Term structure of VIX arbitrage
  •  Earning trades: 3 ways to play forward variance
16:30 - 17:10 40 mins
Info
Quant Invest Summit
Macro Machine Learning systematic strategies
  • Ian McWilliam - Analyst, Aberdeen Standard Investments

How many funds are basing their strategies on machine learning?

16:30 - 17:10 40 mins
Info
Quant Tech Summit
Cryptography in the Quantum Age
  • Ananth Raghunathan - Senior Research Scientist, Google

Challenges facing cryptography when quantum computers become viable as well as the state-of-the-art work done by academics, industry, and standards bodies on building quantum-secure cryptosystems for the future

17:10 - 17:50 40 mins
Info
Quant Invest Summit
What do investors look for in a quant fund?
  • Alexandru Agachi - Co-founder and COO, Empiric Capital
  • Bernhard Silli - Partner, Alcova Asset Management

Weighing up which factors and components of products are most attractive to today’s discerning investors

17:10 - 17:50 40 mins
Quant Tech Summit
Quantum finance
  • Davide Venturelli - Quantum Computing Lead, USRA Research Institute for Advanced Computer Science, NASA Ames Center
17:30 - 17:45 15 mins
Volatility Workshop
Workshop leader's closing remarks
17:50 - 18:00 10 mins
Quant Invest Summit
Chairman's closing remarks
17:50 - 18:00 10 mins
Quant Tech Summit
Chairman's closing remarks
18:00 - 19:00 60 mins
Info
Quant Invest Summit
Networking drinks reception & champagne roundtable discussion groups

A chance for everyone to network and relax after the day’s presentations and discussions.Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and network with specific VIP speakers

18:00 - 19:00 60 mins
Info
Quant Tech Summit
Networking drinks reception & champagne roundtable discussion groups

A chance for everyone to network and relax after the day’s presentations and discussions.Champagne Discussion Groups offer delegates a chance to delve deeper into timely topics of the day and network with specific VIP speakers

19:00 - 19:05 5 mins
Quant Invest Summit
End of Quant Invest Summit
19:00 - 19:05 5 mins
Quant Tech Summit
End of QuantTech Summit