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Showing of Streams
08:00 - 09:00 60 mins
Quant Invest Summit
Registration & welcome coffee
08:00 - 08:20 20 mins
Quant Tech Summit
Registration & welcome coffee
08:00 - 09:00 60 mins
Volatility Workshop
Registration, breakfast & networking time
08:20 - 08:30 10 mins
Quant Tech Summit
Chairman's opening remarks
  • Massimo Morini - Head of Interest Rate and Credit Models, Banca IMI
08:30 - 09:10 40 mins
Info
Quant Tech Summit
The future of wealth management using fintech and blockchain integration
  • Daniele Bernardi - CEO, DIAMAN SCF

How crypto assets will change the investments landscape

09:00 - 09:10 10 mins
Quant Invest Summit
Chairman's opening remarks
  • Alexandru Agachi - Co-Founder & COO, Empiric Capital
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
Quant Invest Summit
Unified liquidity risk management framework: A big data / machine learning approach
  • Stefano Pasquali - Managing Director, Head of Liquidity Research, BlackRock
09:10 - 09:50 40 mins
Info
Quant Tech Summit
Crypto-currencies – An emerging asset class
  • Anton Golub - Co-founder and Chief Science Officer, Lykke Corp

Explaining in detail blockchain technology and crypto-currencies as an investment vehicle, realities and challenges of setting up a crypto asset manager and the strategies used for alpha generation

09:50 - 10:30 40 mins
Info
Quant Invest Summit
Using machine learning methods for volatility trading
  • Artur Sepp - Director And Senior Quant, Julius Baer Group

Examining Models for realized volatility estimation and forecast. Applying machine learning to model selection, volatility trading and asset allocation

09:50 - 10:30 40 mins
Info
Quant Tech Summit
Examining real possibilities and applications of Distributed Ledger Technologies
  • Massimo Morini - Head of Interest Rate and Credit Models, Banca IMI

Which applications are game changing for finance and why?

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
Passive aggressive: Will smart beta strategies eclipse active management?
  • Moderator Artur Sepp - Director And Senior Quant, Julius Baer Group
  • Panellist Philip Stoltzfus - CEO, Thayer Brook Partners LLP
  • Panellist Simon Weinberger - Managing Director, Scientific Active Equities, BlackRock
  • Panellist Michael Steliaros - Global Head of Quantitative Execution Services, Goldman Sachs

Weighing up the performance of passive/smart beta strategies alongside active managers and hedge funds

11:00 - 11:40 40 mins
Info
Quant Tech Summit
Risk on decentralized derivatives exchanges
  • Dave Hrycyszyn - Lead Blockchain Engineer, Vega
  • David Siska - Lead Quantitative Risk Analyst, Vega

Blockchain based decentralised exchanges can be more robust than their classical counterparts as there is no single point of failure. There are new kinds of network risks that need be managed using appropriate proof of stake and consensus algorithms as well as more classical financial risks leading to need for robust margin calculations and efficient nested simulation techniques.

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
Info
Quant Invest Summit
Alternative Beta and quant ETFs: How accurately can they capture hedge fund performance?
  • Alexandru Agachi - Co-Founder & COO, Empiric Capital

How significant are the varying alternative beta factors to determine a more robust expectation of performance?

11:40 - 12:20 40 mins
Info
Quant Tech Summit
Shortcuts, longevity, and data innovations
  • Pierce Crosby - Director of Business Operations, StockTwits, Inc.

Assessing key trends emerging within asset management as they relate to investors, model development, team distribution, resource implementation, and automation. With a unique perspective of working with numerous asset managers, there are key differentiations in firms continually developing new alpha versus those reiterating beta or factor-based strategies. Pierce will discuss each, as well as the emergence of out of the box quantitative tools, the "quantimental" category, and the future of data strategy inside hedge funds.

12:20 - 13:00 40 mins
Quant Invest Summit
Latest advances in systematic investing
  • Nick Baltas - Head of R&D, Systematic Trading Strategies, Goldman Sachs
12:20 - 13:00 40 mins
Info
Quant Tech Summit
Machine Learning in practice: Robustness and controls
  • Moderator Suhail Shergill - Director Data Science and Model Innovation, Scotiabank
  • Panellist Matthew Dixon - Assistant Professor of Finance, Illinois Institute of Technology
  • Panellist Ian McWilliam - Analyst, Aberdeen Standard Investments

Strategies to effectively navigate the trade-off of predictive-performance and robustness and the kind of controls you need during training and prediction to implement them

12:30 - 13:30 60 mins
Volatility Workshop
Lunch
13:00 - 14:00 60 mins
Quant Invest Summit
Lunch
13:00 - 14:00 60 mins
Quant Tech Summit
Lunch
13:30 - 15:00 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
14:00 - 14:40 40 mins
Info
Quant Invest Summit
The evolution of asset allocation
  • Charbel Gereige - Automated Asset Allocation Developers Lead, BlackRock

A journey from the first quantitative techniques to the age of AI

14:00 - 14:40 40 mins
Info
Quant Tech Summit
Reinforcement learning in finance
  • Erdem Ultanir - Quantitative Credit Risk Analytics Lead, Barclays

Sharing recent developments in reinforcement learning, portfolio construction and trading

14:40 - 15:20 40 mins
Info
Quant Invest Summit
Factor portfolio construction and factor timing
  • Daniel Giamouridis - Global Head of Scientific Implementation Global Portfolio Products, Bank of America Merrill Lynch

The presentation will focus on recent developments on factor portfolio construction, primarily touching on insights on bottom up vs. top down approaches. It will also cover research on risk oriented factor timing based on conventional and alternative data.

14:40 - 15:20 40 mins
Info
Quant Tech Summit
Predicting rare events with long short term machines
  • Matthew Dixon - Assistant Professor of Finance, Illinois Institute of Technology

The key challenge in formulating a prediction model across several times series is how to address the inherent issue that the event of interest is rare and the amount of data to predict such an event is low. Such problems can be characterized as imbalanced time series classification problems and require new sampling methods which can be used with times series classification methods such as RNNs/LSTMs available in, for example, TensorFlow.

This talk presents a novel oversampling technique for times series which preserves the covariance structure of the times series and oversamples near the boundary region using nearest neighbors interpolation. The approach is ideally suited to times series classifiers such as LSTMs and we separately demonstrate their application to the (i) near-term prediction of large mid-price movements from limit order book and (ii) longer term prediction of outlier returns from factor models.

15:00 - 15:30 30 mins
Volatility Workshop
Afternoon tea & networking break
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 - 17:00 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
15:50 - 16:30 40 mins
Info
Quant Invest Summit
Machine learning in asset management
  • Grigorios Papamanousakis - Deputy Head of Systematic Asset Solutions, Aberdeen Standard Investments

Why machine learning, why now and for who?

15:50 - 16:30 40 mins
Info
Quant Tech Summit
Opportunities in the era of quantum technologies
  • Alejandro Perdomo-Ortiz - Senior Research Scientist, Rigetti

A gentle introduction to quantum computing with a focus on AI applications

16:30 - 17:10 40 mins
Info
Quant Invest Summit
Alpha generation – Staying ahead of the crowd
  • Nicolas Mirjolet - Founding Partner and Chief Investment Officer, Tolomeo Capital

Views from a boutique short-term quantitative manager

16:30 - 17:10 40 mins
Info
Quant Tech Summit
Industry breakthroughs in quantum computing
  • Alexei Kondratyev - Managing Director, Financial Markets, Standard Chartered Bank
  • Davide Venturelli - Quantum Computing Lead, NASA-USRA Quantum AI Lab

 An inside glimpse into how quantum computing is starting to be applied to finance

17:00 - 17:15 15 mins
Volatility Workshop
Workshop leader's closing remarks
  • Bruno Dupire - Head Of Quantitative Research, Bloomberg L.P.
17:10 - 17:50 40 mins
Info
Quant Invest Summit
Deep Trading
  • Richard Turner - Director of Research, The Cambridge Strategy

Applications of deep reinforcement learning to systematic trading

17:10 - 17:50 40 mins
Info
Quant Tech Summit
Google case study: Examining the advantage to be gained from quantum optimisation
  • Vasil Denchev - Chief Quantum Software Architect, Quantum Artificial Intelligence Lab at Google, Google

How is the Google Quantum Artificial Intelligence Lab using new hardware and computer architecture to accelerate computations?

17:50 - 18:00 10 mins
Quant Invest Summit
Chairman's closing remarks
  • Alexandru Agachi - Co-Founder & COO, Empiric Capital
17:50 - 18:00 10 mins
Quant Tech Summit
Chairman's closing remarks
  • Massimo Morini - Head of Interest Rate and Credit Models, Banca IMI
18:00 - 19:30 90 mins
Info
Quant Invest Summit
Networking drinks reception & champagne roundtable discussion groups
  • Alexandru Agachi - Co-Founder & COO, Empiric Capital
  • Ian McWilliam - Analyst, Aberdeen Standard Investments
  • Matthew Dixon - Assistant Professor of Finance, Illinois Institute of Technology
  • Davide Venturelli - Quantum Computing Lead, NASA-USRA Quantum AI Lab

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

Roundtable 1: Is alpha unlimited? Led by Alexandru Agachi, Co-Founder & COO, EMPIRIC CAPITAL

Roundtable 2: Deep Learning: Opportunities and limitations for systematic investment Led by Ian McWilliam, Analyst, ABERDEEN STANDARD INVESTMENTS

Roundtable 3: Q-learning based algos: how well do they work in practice? Led by Matthew Dixon, Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY

Roundtable 4: Quantum Computing beyond the hype Led by Davide Venturelli, Science Operations Manager, NASA-USRA QUANTUM AI LAB

18:00 - 19:30 90 mins
Info
Quant Tech Summit
Networking drinks reception & champagne roundtable discussion groups
  • Alexandru Agachi - Co-Founder & COO, Empiric Capital
  • Ian McWilliam - Analyst, Aberdeen Standard Investments
  • Matthew Dixon - Assistant Professor of Finance, Illinois Institute of Technology
  • Davide Venturelli - Quantum Computing Lead, NASA-USRA Quantum AI Lab

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

Roundtable 1: Is alpha unlimited? Led by Alexandru Agachi, Co-Founder & COO, EMPIRIC CAPITAL

Roundtable 2: Deep Learning: Opportunities and limitations for systematic investment Led by Ian McWilliam, Analyst, ABERDEEN STANDARD INVESTMENTS

Roundtable 3: Q-learning based algos: how well do they work in practice? Led by Matthew Dixon, Assistant Professor of Finance, ILLINOIS INSTITUTE OF TECHNOLOGY

Roundtable 4: Quantum Computing beyond the hype Led by Davide Venturelli, Science Operations Manager, NASA-USRA QUANTUM AI LAB

19:30 - 19:35 5 mins
Quant Invest Summit
End of Quant Invest Summit
19:30 - 19:35 5 mins
Quant Tech Summit
End of QuantTech Summit