Drawing quantitative experts from the best hedge funds, academia and legends of the quantitative world, the Battle of the Quants has become an industry
leading event for exchanging cutting edge quantitative ideas, research and issues that are relevant to the quant industry participants. Known for its
fascinating discussions and topics on quantitative finance, the "Battle" includes:
| 8:30 | Quantitative Hedge Fund Capital Introduction Breakfast
(Investors Only) |
| 10:15 | Morning Keynote: Twitter Mood Predicts the Stock Market
Are collective mood states derived from large-scale Twitter feeds correlated to the value of the Dow Jones Industrial Average (DJIA) over time? We cross-validate the
resulting mood time series by comparing their ability to detect the public's response to the presidential election and Thanksgiving day in 2008. A Granger causality
analysis and a Self-Organizing Fuzzy Neural Network are then used to investigate the hypothesis that public mood states, as measured by the OpinionFinder and GPOMS
mood time series, are predictive of changes in DJIA closing values. Results indicate that the accuracy of DJIA predictions can be significantly improved by the
inclusion of specific public mood dimensions but not others. How accurate is the system in predicting the changes in the closing values of the DJIA?
Johan Bollen, Professor, Indiana University, School of Informatics and Computing
|
| 10:45 |
Thought Leaders of the Quant World: "The Acceleration of Quantitative Finance"
Seasoned veterans share their views in a thought provoking discussion around the evolving state of the quant industry and
its future place in the investment ecosystem.
Moderator: Jim Liew, PhD, CEO, Alpha Quant Club
- Charles Stucke, CFA, Chief Investment Officer of Guggenheim Investment Advisors
- Jerome Baesel, PhD, Founder JBaes & Associates
- Eric S. Hirschberg, CEO, Orion Investment Management
- Ahmad Ajakh, Ph.D., Chief Strategist, Stonebrook Capital
|
| 11:15 |
MAIN BATTLE: Machine vs. Human Intelligence
The MAIN BATTLE, a crowd favorite in NYC, London and Tokyo and Singapore. The panel will consist of two viewpoints on how best to generate alpha in
trading strategies. The intellectual discussion will examine the success of systematic strategies relative to those of human discretionary decision making.
Are humans or machines best at generating superior returns? Or, perhaps, is a "Quantamental" solution the answer?
Moderator: Bartt Kellermann, Founder & CEO Global Capital Acquisition
QUANTITATIVE TEAM
- Eugenio Perez, Director, Quantitative Trading and Research, AVM
- Vasant Dhar, PhD Artificial Intelligence, Professor, Head of the Information Systems Group, Stern School of Business at NYU
- Marco Fasoli, PhD, Managing Partner and Co-Founder and Co-CIO, TITIAN
DISCRETIONARY TEAM
- Arnab Das, Managing Director, Market Research and Strategy, Roubini Global Economics
- Denise Shull, M.A. Founder and President, ReThink Group & Trader Psyches
- Stephane Lamoine, PhD Senior Portfolio Manager Iskandia Capital Fund
|
| 11:45 |
Investor Panel: Are Quantitative Strategies poised for outperformance in 2011?
Allocations to quantitative based strategies have been impacted as markets have challenged a wide diversity of quantitative models.
Markets however are normalizing, strategies have been adjusted and investors are once again considering adding quantitative hedge funds to
their portfolios. What specifically are investors looking for in a quantitative strategy? Is the emphasis on transparency (difficult for
certain strategies) liquidity or new risk measurements and controls?
Moderator: Vivin Oberoi, Head of Global Macro Telluride Capital Management
- Michal Dziegielewski, Senior Investment Analyst, FQS Capital Management
- Jason Papastavrou, CIO, ARIS Capital Management, LLC
- Peter F. Karpen, Managing Director, Alternative Strategies, Samoset, LLC
- Anthony Gordon, Principle, Gordon Family Office
- William Liu, PhD, MD, Head of Risk Management, Pine Street Alternative Asset Management
|
| 12:15 |
Networking Lunch
|
| 2:00 |
Afternoon Keynote - Using Machine Learning to Hunt Terrorists and Trade Markets
The field of machine learning (the branch of artificial intelligence that concerns itself with algorithms that learn from data) has had explosive
growth in the past decade. Mega companies like Google, Yahoo, Netflix, and Amazon have been successfully applying machine learning to tasks as
diverse as language translation, voice recognition, advertisement selection, and product recommendation. In this talk, I will discuss some of
the interesting applications and big ideas to come out of this field, and how some of these ideas are applicable to designing investment strategies.
Could it be that machine learning will help quants build strategies that act more like people, and less like machines?
Spencer Greenberg, (PhD, Candidate, NYU's Courant Institute) CEO and Chief Software Architect, Rebellion Research
|
| 2:30 |
High Frequency Trading and Quantitative Strategies
This panel will approach the issue of HFT from the quantitative strategies' perspective and how quantitative strategies can
leverage the super high speeds offered by HFT methods.
Moderator: Irv Lustig, World Wide Optimization, IBM
- Pekka Soininen, PhD, CEO and Founder, Galisteo Capital
- Francisco J. Vaca, PhD, CEO, CIO and Founder, Vaca Capital Management
- Alexei Checkhlov, PhD Director of Research & Portfolio Manager, Systematic Alpha, LLC
- Louis R. Lovas, Director of Solutions, OneMarketData
- Maxime Dupont, CEO, QUANTAM
|
| 3:15 |
Power of News - Leveraging the News in Quantitative Strategies
Quants are frequently reminded of the lack of a computers' ability to interpret news stories (as the human mind can) and have those stories
reflected appropriately in the trading process. Significant capital and intelligence has been poured into developing news reading and interpreting
technologies and several solutions are generating significant success for quant funds. What is behind the technology and how can the solution enhance an existing model.
Moderator: Paul Hawtin, Managing Partner, Derwent Capital Markets
- Richard Brown, Global Business Manager, Machine Readable News, Thomson Reuters
- Armando Gonzalez, CEO, RavenPack
- Christopher Ahlberg, CEO Recorded Future
- Ben Weiss, Business Development, StockTwits
- Rob Passarella, VP of Financial Markets - Dow Jones
|
| 4:00 |
Late Afternoon Keynote - Reading the Mind of the Market - Investor profit and loss indicator, why technical methods are not and should be part of the quant toolbox
Kingsley Jones, PhD, International Portfolio Manager, Macquarie (Sydney, Australia)
|
| 4:30 |
Investing in Quant Strategies; UCITS, Managed Accounts or Direct - Pros and Cons
Quants are frequently reminded of the lack of a computers' ability to interpret news stories (as the human mind can) and have those stories
reflected appropriately in the trading process. Significant capital and intelligence has been poured into developing news reading and interpreting
technologies and several solutions are generating significant success for quant funds. What is behind the technology and how can the solution enhance an existing model.
Moderator: Christopher Holt, CAIA Director, CAIA Organization
- Ranjan Bhaduri, PhD, CFA, CAIA MMath MBA, AlphaMetrix
- Theresa R. Patti, CFA Managing Director, Senior Portfolio Strategist QFS Asset Management
- Giovanni Beliossi, Principal, FGS Capital
|
| 5:15 |
Networking Break
|
| 5:30 |
Battle of the Efficient Market Hypothesis: Practitioners vs. Professors
Have markets over the last three years proven the Efficient Market Hypothesis valid or invalid. In this fascinating discussion market theory thinkers and practitioners will square off to provide their viewpoints.
Moderator: Stuart Flerlage, Business Development, Bluewater Trading
- Justin Fox, Author, The Myth of the Rational Market
- Arun Motianey, PhD, Director of Fixed-Income Strategy, Roubini Global Economics
- Michiel Swaak CFA, Managing Director, Quantitative Management, QIC
|
| 6:15 |
Closing Remarks
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