30 September - 2 October 2018
R. David Edelman, Former White House Technology Advisor to President Obama and Project Leader for Technology, the Economy and National Security at M.I.T
Paul Craven, Behavioural Economist and former Head of European Institutional Business at GSAM
For more information and to RSVP please contact Mike.Lorraine@cfm.fr
30 September - 2 October 2018
Stanford University, US
13-14 September 2018
Those involved in allocating to, designing, and implementing quant or systematic investment strategies find their skills in unprecedented demand by investors. As returns across portfolios have faltered since the global financial crisis, ever more investors have begun to investigate the smart beta revolution; factor based investing and systematic strategies in general. This two-day conference will bring together those involved in these strategies for high-level debate and presentations on the latest thinking in this field.
The CFM - Imperial Institute of Quantitative Finance is pleased to invite you to
Thursday 31 May 2018 - 9am to 5pm
|12.50pm||Opening Remarks||Philippe Jordan|
|1.00pm||Cryptocurrency: 2018 and Beyond and iCurrency? : Lunch Discussion||Richard Johnson and Zura Kakushadze|
|2.00pm||A Universal Approach to Value Investing||Jean-Philippe Bouchaud|
|2.45pm||Stability and Instability of Macroeconomics and Markets||Professor Yaneer Bar-Yam|
|3.45pm||The Skewed Nature of Investing||Philip Seager|
|4.30pm||In Data We Trust: AI, Cybersecurity and Tomorrow's Global Challenges||R. David Edelman|
|5.30pm||Closing remarks with wine tasting to follow|
For further information and for a full agenda and speaker biographies please contact Nadya.Prashad@cfm.fr
In recent decades, the widespread uptake of electronic trading has facilitated the recording of high-quality data that describes the actions and interactions of market participants at the microscopic scale. Analysis of this data has revealed striking regularities that challenge many long-standing theories regarding financial markets.
The field of market microstructure seeks to establish connections between activity at the ultra-fast, microscopic scales and the emergent properties that appear on longer time scales. In this way, market microstructure is a bottom-up approach to understanding financial markets. Recent developments in this direction have helped to provide new insight into many important questions regarding price formation, market stability and macroeconomics. For example, recent market microstructure analyses yield convincing explanations – and, importantly, make testable quantitative predictions – on issues such as unusual price returns, volatility clustering, price impact and liquidity fluctuations. These important advances have clear practical implications for far-reaching issues such as market design, optimal execution and regulation.
Correspondingly, market microstructure has been vigorously investigated in many different communities, including economics, financial mathematics, econometrics, computer science and physics. Typically, researchers in this field have been scattered in academic institutions, banks and hedge funds. As a result, overlap between the community often remains limited, and several important advances in the field suffer from a lack of visibility.
The ENS and CFM are pleased to celebrate the 1-year anniversary of the CFM-ENS “Modèles et Sciences des Données” Chair with a conference taking place on December 8th, from 12:00 to 17:00 (with lunch at 13:00) in the Salle Jaurès at Ecole Normale Superieure, 29 rue d’Ulm, in Paris.
The conference is centered on the broad topic of data science, with the intention of bringing together researchers from diverse backgrounds, including mathematics, computer science, physics, chemistry, and neurosciences, who have a common interest in tackling complex and large-scale data problems.
This year, several invited speakers will put a particular focus on the theme “Physics & machine learning”.
More and a broader range of institutional investors are becoming interested in systematic investing and the role these strategies can play in their portfolios. But the rise in demand is itself changing the landscape and the opportunity set rapidly as more managers enter the space, as these principles and strategies are applied to asset classes outside of equities, and as the concept itself – some argue – begins to become commoditized. This Symposium will assess the ways that pension funds, endowments, and foundations are increasingly employing systematic investment strategies to meet their investment objectives.
Context Summits brings its broad spectrum of high-quality managers and allocators to Austin, Texas. This Summit will bring together qualified investors and alternative asset managers for two days of highly targeted and productive, prescheduled one-on-one meetings. Unparalleled networking events for all Summit participants will be hosted at conveniently located sites at the Austin location.
Participants can arrange one-on-one, back-to-back meetings with vetted, interested parties, keeping their time and efforts highly productive. Inclusive, single-site social events provide additional opportunities for effective networking. Overall, participants gain solid leads, cultivate tangible opportunities, and build meaningful relationships.
The Global Volatility Summit Tokyo is a half-day event specifically crafted for large, Japan-based institutional investors interested in hearing from leading volatility, quantitative and tail hedge managers. Since its inception in 2010, the Global Volatility Summit has been an educational center for investors wanting to learn about volatility and options-based trading strategies and the role they play in investment portfolios.
This year will be GVS Tokyo’s inaugural event with programming that will include thought-provoking manager panels and presentations, a keynote address, as well as a cocktail reception for informal networking with participating managers. Panelists will be senior level portfolio managers representing the following firms: Argentière Capital, Capstone Investment Advisors, Capital Fund Management (CFM), Dominicé & Co., Graticule Asset Management Asia, III Capital Management, Ionic Capital Management, JD Capital Management, Parallax Volatility Advisers, and Pine River Capital Management.
The Systematic Investment Symposium offers and off-the-record meeting between Europe's biggest investors in QUANT-based strategies and experts from the asset management community. Through case studies, presentations of the very latest research, and working groups, the audience will expand their knowledge and understanding of how QUANT strategies deliver sustainable returns.
The 4th Annual Great Plains Institutional Investor Forum is an educational initiative designed through close coordination with the region’s leading institutional investors to build peer communities that merge global best practices with local expertise. The forum is specially designed to bring together 100+ staff members, investment officers, board members and trustees representing Minnesota, Wisconsin, North Dakota, South Dakota, Nebraska and Iowa.
The program’s agenda will cover alternative beta, pension fund management, the global equity market landscape, hedge fund allocation trends, outlook for emerging market economies, currency strategies, interest rates and the credit cycle, real assets and non-traditional asset classes, fiduciary responsibility and fraud protection.
Mean field games theory describes the equilibria in strategic interactions of a large number of rational agents. In the recent years, this research area has been rapidly spreading in several different directions which are concerned with significant probabilistic and analytic issues. The goal of this conference is to discuss recent advances in the modeling, analysis and numerical approximation of mean field games systems as well as some related, even if different, approaches to the description of macroscopic behaviors in collective dynamics.
Charles-Albert Lehalle will be speaking at the end of day 1 on
This talk explains how to formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a » background noise » (or » mean field « ). In standard frameworks, the interactions between the large trader and the price are a temporary and a permanent market impact terms, the latter influencing the public price. Here the trader faces the uncertainty of fair price changes too but not only. He has to deal with price changes generated by other similar market participants, impacting the prices permanently too, and acting strategically. Our MFG formulation of this problem belongs to the class of » extended MFG « , we hence provide generic results to address these » MFG of controls « , before solving the one generated by the cost function of optimal trading. We provide a closed form formula of its solution, and address the case of » heterogenous preferences » (when each participant has a different risk aversion). Last but not least we give conditions under which participants do not need to instantaneously know the state of the whole system, but can » learn » it day after day, observing others’ behaviors.
The 5th Annual Mid-Atlantic Institutional Investor Forum is specially designed to bring together 100+ senior investment officers, board members, and investment consultants representing Delaware, Washington D.C., Maryland, North Carolina, Virginia, and West Virginia's institutional investor community.
The program’s agenda will cover smart beta, pension fund management, private equity allocation trends, real assets, fund operational issues, global equity market landscape, hedge fund allocation trends, asset recovery, securities litigation, distressed cycle and credit market navigation, interest rates and the credit cycle, real assets and non-traditional asset classes, fiduciary responsibility, and fraud protection.
The accumulation of high frequency market data in recent years has revealed many surprising results. These results are interesting both from theoretical and practical standpoints. The mechanism of price formation is at the very heart of economics; it is also of paramount importance to understand the origin of the well-known anomalous “stylized facts” in financial price series (heavy tails, volatility clustering, etc.). These issues are of obvious importance for practical purposes (organisation of markets, execution costs, price impact, etc.). This activity is also crucial to help the regulators, concerned with the organisation of liquidity in electronic markets and the issues raised by “high frequency trading”.
Correspondingly, this problem has been vigourously investigated by at least five different communities (economics, financial mathematics, econometrics, computer science and econo-physics), scattered in academic institutions, banks and hedge funds, with at present limited overlap and sometimes lack of visibility. On the other hand, due to the gigantic amount of available data, precise, quantitative theories can be now be accurately tested.
The organizers thought that it could be extremely fruitful to confront the ideas that have blossomed in those different communities in the past decade. In order to foster this confrontation and ease communication, we have gathered in Paris researchers from these different communities, including professionals, and ask them to give introductory tutorials, reviewing both their recent activity and the problems that, in their eyes, are most relevant to address in the near future. We have insisted on the importance of pedagogy and cross-disciplinary spirit. We are convinced that this event will be a unique opportunity to learn about recent research trends in finance.
The tenth annual Absolute Returns Conference is a chance for institutional investors to hear from international hedge fund managers and absolute return funds and to hear what fellow investors are doing in this space.
It will cover analysis of the current most popular absolute return strategies, an update on fees, strategies to combat the current low yield environment, the case for liquid alternatives and how to gain equity returns from alternative beta.
It will feature consultant overviews of the space and a panel of prominent investors who will give a reality check on what is, and what is not tangible for Australian institutional investors and their boards.
The AIMA Australia Annual Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and international speakers sharing insights, reflections, war-stories and facts with hedge fund managers and investors.
The two main objectives of the workshop:
Building on the foundations laid by Sir Sam Edwards, talks will provide leading-edge advances and insights into soft matter systems and their applications. Scientific topics will include both traditional and novel polymeric materials; powders, glasses and jammed materials; and interfacial soft matter such as emulsions and colloidal gels. Current and potential applications areas for these systems include health, energy and environment, consumer goods, advanced materials, and foods.
Conference 2016 will facilitate debate on the markets, strategies and investing, with particular focus on the friction between short-term and long-term investing imperatives - and the portfolio construction decisions that must be made. We'd welcome you joining us!
What is Challenge Data ?
In 2016 the event will be moving from London to Munich, and will continue offering the opportunity for academics & thought leaders to present their research & ideas, whilst at the same time connecting them with the real world of investors’ and managers’ challenges . Attendees will have the chance to examine the latest strategies & innovations and identify future trends changing their industry.
Global Derivatives Trading & Risk Management is the longest running and largest derivatives & risk management conference in the World. Established in 1994, the conference has built up a reputation as the one must-attend event in the industry.
Attended by over 450 senior practitioners every year, it is the only financial engineering conference to cover such a wealth of derivative asset classes including equity, volatility, interest rate, FX, credit, commodities, hybrid and inflation derivatives as well as securitisation and exchange traded products all under one roof.
Charles-Albert Lehall will be moderator of the "Smart Beta and Factor Investing" roundtable and speaker at the "Asset Allocation" Session, on "Stochastic Portfolio Theory and Mean Reversion: Explaining Theoretical Performances by Observed Market Dynamics"
The program’s agenda will cover smart beta, pension fund management, private equity allocation trends, real assets, fund operational issues, global equity market landscape, hedge fund allocation trends, asset recovery, securities litigation, distressed cycle and credit market navigation, interest rates and the credit cycle, real assets and non-traditional asset classes, fiduciary responsibility, and fraud protection. The forum is specially designed to bring together 100+ staff members, investment officers, board members, and trustees representing Ohio.
This academic meeting will take place in Paris during January 21-22, 2016. Academic sessions will cover the latest researches on hedge funds, but also, more broadly, researches that seek to improve the understanding of the roles of different market intermediaries and the effect of their behaviour on asset prices.
Topics include: Hedge fund risks and performance; transparency (reporting) and due diligence; hedge fund activity and broad macroeconomic issues such as systemic risk and contagion; hedge fund activism; portfolio liquidation and liquidity; financial regulation; etc.
“Market Microstructure: The CFM-Imperial Workshop” is a two-day event taking place on 14-15 December 2015. The aim of the workshop is to bring together a wide range of academics and practitioners, to facilitate discussion of the many different ideas that have blossomed in these communities during the past decade, and to provide an overview of the state-of-the-art research in market microstructure. The workshop will be organized by the CFM-Imperial Institute for-Quantitative Finance, and will be hosted in the auditorium of Deutsche Bank, in the heart of the City of London. The event will unite several of the world's leading researchers in quantitative finance around specialized research talks and round-table discussions, and will also provide young researchers with the opportunity to present their work in poster sessions. Overall, we seek to provide an opportunity for diverse and stimulating intellectual exchange on a wide range of topics highly relevant to modern financial markets.
Focusing on improvements in the generation and delivery of research and research-related materials to financial planners and their clients, the forum features a mix of panel sessions and open and small-group discussions, and will also provide an insight into what’s expected of the research community by financial planners themselves, licensees, regulators and other parties, including professional indemnity insurers and dispute resolution schemes.
The Professional Pensions Investment Awards recognise the advisers, providers and investment managers that offer the highest level of innovation, performance and service to occupational pension schemes and their members, and have done the most to improve over the past year
Now in its seventh year, the Fiduciary Investors Symposium has become a must-attend event for Australia’s institutional investment decision makers.
Hear chief investment officers, portfolio managers, consultants and fund managers tackle current issues on major asset classes, new investment approaches and asset allocation strategies. This event features a popular CIO Q&A which will ask the leaders of the leading funds about their workloads, their hopes and fears. As much as the presentations, a key part of this event is the numerous opportunities to network with your peers.
Although mathematics have been used in social sciences for over two centuries, there has been an incredible intensification of the scientific activity related to socio-mathematics which started about a decade ago. The field has been rapidly growing and a number of different approaches have been developed of both quantitative and qualitative nature. It seems now quite timely to gather specialists of with a view to understand what big scientific trends emerge. The conference also will strive to present to specialists and newcomers in the field active avenues of research in the coming years. Mathematical methodologies will include Partial Differential Equations both of deterministic and stochastic types, discrete Agent-Based models, networks, etc. The workshop to span aspects going from model derivation and qualitative behaviour analysis to numerical approximation and model calibration on real data. We will emphasize the strong interplay between models and their targeted social phenomena. With this aim, the workshop will attempt to provide a state-of-the-art of various interfaces between mathematics and social sciences as examplified by the (non-exhaustive) following themes:
Networks and social sciences
Pedestrians and collective dynamics
We find that active mutual funds perform better after trading more. This time-series relation between a fund's turnover and its subsequent benchmark-adjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify time-varying profit opportunities and with small funds being more able to exploit those opportunities. In addition to this novel evidence of managerial skill and fund-level decreasing returns to scale, we find evidence of industry-level decreasing returns: The positive turnover-performance relation weakens when funds act more in concert. We also identify a common component of fund trading that is correlated with mispricing proxies and helps predict fund returns.
Si l’on associe volontiers la physique à l’exploration de l’infiniment grand et de l’infiniment petit, on oublie trop souvent qu’elle est aussi source de nombreuses innovations. Comment capitaliser sur l’excellence des recherches menées par les laboratoires des établissements membres de l’Université Paris-Saclay ? Comment transférer les résultats de ces équipes vers des entrepreneurs et industriels et donc créer de la richesse et de l’emploi sur le territoire national ? Telles sont les grandes questions qui seront abordées tout au long de ce Forum.
Après les mathématiques qui avaient réunis près de 250 participants en 2014, c’est donc au tour de la physique d’être mise à l’honneur cette année à l’occasion de la seconde édition du Forum IncubAlliance & SATT Paris-Saclay.
Parmi les principaux temps forts de cette journée : les interventions de Mathias Fink sur la possible transformation des concepts physiques en start-up innovantes, et de Jean-Philippe Bouchaud sur la création de modèles numériques issus de la physique qui ont permis la croissance de sa start-up. Les réflexions des principaux acteurs de la valorisation et du financement de l’innovation sur le plateau de Saclay, des présentations de start-up et de success stories à la française ainsi que des témoignages d’entrepreneurs, autant de moments qui seront pour tous l’occasion de découvrir que « physique peut parfois rimer avec santé, finance ou agriculture ».
Entre les interventions et pendant la pause déjeuner, les participants pourront également rencontrer, échanger et débattre avec les nombreux partenaires de l’événement dont les stands se trouveront à l’extérieur de l’amphithéâtre Poincaré. Résolument placée sous le signe des échanges, cette journée sera conclue par une table ronde sur la capacité de la France à exploiter le potentiel de ses physiciens.