Conference Day Two
The key discussion points will include:
- Using AI to quantify unstructured data on ESG/SDG factors and associated non-financial risks
- The use of Natural Language Processing and ESG/SDG taxonomies to quantify textual data in multiple languages
- Ranking and benchmarking stocks based on ESG/SDG factors to implement Thematic, Long-Short and ESG/SDG-Tilted investment strategies
- The relevance of SDG and non-financial risk factors for Alpha Research, Fiduciary Duty, Materiality Assessments, Country Risk and Risk Management
Richard V. Rothenberg:
Global AI Corporation & Research Affiliate, Lawrence Berkeley National Laboratory
Richard V. Rothenberg: Executive Director, Global AI Corporation, New York, NY and Research Affiliate, Lawrence Berkeley National Laboratory, Berkeley, CA
- How Data Science is Impacting Multi-Asset Risk Measurement
- How Data Science is Impacting Multi-Asset Trading Strategies
- How Data Science is Impacting Multi-Asset Model Portfolio Programs
Director of Quantitative Research, Portfolio Research & Consulting Group, Natixis Investment Managers
Joseph Simonian: Director of Quantitative Research, Portfolio Research & Consulting Group, Natixis Investment Managers
Joseph Simonian is the Director of Quantitative Research in the Portfolio Research and Consulting Group at Natixis
Investment Managers. In this role, he leads quantitative research and portfolio strategy for the team’s model portfolio program, as well as customized solutions for the firm’s institutional and advisory clients. Dr. Simonian also leads thought leadership efforts for the team.
Dr. Simonian has over 12 years of investment industry experience and has served previously at Lehman Brothers,
PIMCO, JP Morgan, and Fidelity’s Global Institutional Solutions group. He has been widely published in leading industry journals and is the co-editor of the Journal of Financial Data Science.
Abstract: Machine learning is rapidly transforming the field of quantitative finance. In this talk, we discuss how two distinct subfields of machine learning, namely reinforcement learning and supervised learning, can be combined into a single model that harvests the power of reinforcement learning in handling multi-period problems with delayed rewards and costs, and simultaneously harvests the power of supervised-learning to learn the structure of a non-linear model with interactions. Our technique fuses the two within the framework of generalized policy iteration by generating training sets which are then used by the supervised learner to learn a better representation of the action-value function, which is then used to generate a better training set for the next iteration. We show that our method outperforms tabular Q-learning in a simulation involving trading a very illiquid asset, and can handle discrete as well as continuous predictors.
Senior Portfolio Manager, GSA Capital
Gordon Ritter: Senior Portfolio Manager, GSA Capital
Gordon Ritter completed his PhD in mathematical physics at Harvard University in 2007, where his published work ranged across the fields of quantum computation, quantum field theory, differential geometry and abstract algebra.
Prior to Harvard he earned his Bachelor’s degree with honours in Mathematics from the University of Chicago. Gordon is currently a senior portfolio manager at GSA Capital, and leader of a team trading a range of high-Sharpe absolute return strategies across geographies and asset classes. GSA Capital has won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards including in the long-term performance category.
Prior to joining GSA, Gordon was a Vice President of Highbridge Capital and a core member of the firm’s statistical arbitrage group, which although less than 20 people, was one of the most successful quantitative trading groups in history, responsible for billions in pro_t and trillions of dollars of trades across equities, futures and options.
Concurrently with his positions in industry, Gordon teaches courses ranging from portfolio management to econometrics, continuous-time finance, and market microstructure in the Department of Statistics at Rutgers University, and also in the MFE programs at Baruch College (CUNY) and New York University (both ranked in the top 5 MFE programs).
He has published several articles on modern portfolio theory in top practitioner journals including Risk, and academic journals including European Journal of Operational Research.
I describe specific opportunities and challenges of leveraging machine learning within context of quantitative investment and wealth management. Such applications include forecasting of financial time series, classification of alternative data, identification of market regimes, clustering-based portfolio diversification, assessment of risk factors.
(Presenter and topic to be confirmed)
Director, Portfolio Analytics Bank of America Merrill Lynch
Cristian Homescu: Director, Portfolio Analytics Bank of America Merrill Lynch
Cristian is part of the Portfolio Analytics team within Chief Investment Office, Global Wealth and Investment Management division Bank of America Merrill Lynch. He is developing and investigating quantitative solutions in areas such as investment strategies, goals-based wealth management, asset allocation, machine learning and big data analysis, factor-based investing and risk factor models, portfolio risk and attribution, stress testing and scenario construction. He is very interested in application of state-of-the-art algorithms and numerical methods in wealth and investment management, and in high-performance computing. Prior to joining Bank of America Merrill Lynch, Cristian was a front office quant for Wachovia and Wells Fargo. After supporting interest rate trading desk, he was the lead quant for FX and Commodities trading desks. He has a PhD from Florida State University in computational and applied mathematics, and MSc degrees from University of Paris XI and University of Craiova.
Using Machine Learning to Forecast Realized Volatility
Professor and Dept. Chair of FRE Tandon, New York University
Peter Carr: Professor and Dept. Chair of FRE Tandon, New York University
Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.
In the 2 years Dr. Carr been FRE dept. chair, applications increased from 1,300 per year to 1,900 per year. The number of FRE Masters students in residence was the highest in any 2-year period. For the incoming 2018 class, current verbal GRE is 169/170 and GPA is 3.82. FRE moved up in Quantnet rankings both years. An online summer course was initiated last summer and an on-campus bootcamp will be initiated this summer. Six electives on machine learning in finance were introduced. The distance learning room will become operational this summer.
“Risks and Regulatory Framework around using AI Models”
Executive Director, Quantitative Analytics Group (Model Risk), Morgan Stanley
Amit Srivastav: Executive Director, Quantitative Analytics Group (Model Risk), Morgan Stanley
- Why artificial intelligence for capital markets investing?
- Challenge 1: Data acquisition, integration, processing power
- Challenge 2: Artificial intelligence and its subcomponents
- Where should financial services professionals focus their effort?
CEO, Data Capital Management
Michael Beal: CEO, Data Capital Management
Michael M. Beal is Chief Executive Officer of Data Capital Management. Previously he was Co-Founder and Head of Strategy & Finance at JPMorgan Intelligent Solutions, Deal Associate at TPG Capital and M&A Investment Banking Analyst at Morgan Stanley. Mr. Beal earned a B.A from Harvard College with honors in Economics and an M.B.A from Harvard Business School with distinction.
- Equity factors
- Volatility surface
- Style investing
Quantitative Researcher, Bloomberg LP
ShengQuan Zhou: Quantitative Researcher, Bloomberg LP