Our Seminars

London Quant is about seminars in quant investment practice.

We hold approximately six Evening Seminars per year in the City of London. They are announced on the front page of this website. Our Evening Seminars are free, but you must register to attend them.

Our Spring Seminar is held every year in May in central London and is announced on the website. Spring Seminars are one-day events, with attendance fees set according to the cost of hosting the event.

Our Autumn Seminar is held every year in September in either Oxford or Cambridge and is announced on the website. Autumn Seminars are two-and-a-half-day events, with attendance fees set according to the cost of hosting the event.

  • Autumn Seminar 2016

    Autumn Seminar - September

    Sunday 11th - Wednesday 14th

    For Event Registration, click here We have reserved rooms at the old Oxford prison now the Malmaison Hotel and Worcester College. There is great demand for rooms in Oxford in early September. To simplify administration and ensure that we could reserve as many rooms as possible we offer room reservation with seminar registration combined. Book now to guarantee both a seminar place and accommodation. If the seminar and room tickets have sold out you can book a seminar only ticket but you'll need to find accommodation.... Don't leave it too late. All room bookings are for three nights from the evening of the 11th to the morning of the 14th September. Sunday September 11th 19:00 Welcome Reception and Dinner at the Malmaison Hotel Monday September 12th Dan diBartolomeo - Founder and President, Northfield Information Systems Reconciliation of Default Risk and Spread Risk in Fixed Income Abstract There are two conflicting concepts of what credit risk actually is. The classic definition has to do with the likelihood that a given fixed income instrument will default (Probability of Default, PD), and the expected severity of economic loss in the event of a default (Loss Given Default, or LGD). In this view the focus is on the “tail risk” (negative skew in the return distribution) associated with a singular default event. Many fixed income market participants prefer to think of a given fixed income instrument as offering a credit related yield spread above a comparable duration riskless instrument. These investors think of credit risk as the volatility of the credit yield spread and related impact on the market value of an instrument (conditional on the duration). Even more chaste, some fixed income participants simply use at “duration time spread” (DTS) as a market implied measure of risk. If investors are not risk-neutral, the credit spread will compensate investors for their expected loss (PD*LGD), plus provide a risk premium to induce risk averse investors to hold these instruments. These concepts of credit risk are not equivalent because credit spreads can change over time both because of changes in expected loss, and separately because aggregate investor risk aversion can change, forcing a change in the risk premium (incremental yield) which fixed income borrowers must pay. In this presentation we will review the relevant approaches to credit risk, and illustrate how to reconcile the three views in order to satisfy the default risk concerns of “buy and hold” investors, while simultaneously explaining yield spread volatility for investors who are more concerned with controlling variation in period to period returns. Mark Kritzman - CEO of Windham Capital Management Advances in Factor Replication Abstract Factor investing has gained widespread acceptance among institutional investors. Factors such as economic variables are not directly investable. Investors, therefore, need to identify a combination of securities that tracks the movements in the economic variable. Other factors, however, are directly investable, such as securities with a certain attribute. Often times, though, investors choose to invest in a sub-set of the factor securities that are inexpensive to trade, or they choose to rebalance less frequently to reduce trading costs. In order to identify the best factor-tracking portfolio, investors must estimate covariances from historical observations whose realizations in the future are prone to several types of estimation error. Conventional approaches for mitigating estimation error in covariances, such as Bayesian shrinkage and resampling, are ineffective if the replicating portfolio weights include both long and short positions that sum to zero. We introduce a non-parametric procedure to account for estimation error, which enables us to incorporate the relative stability of covariances directly into the factor replication process. We show that, unlike Bayesian shrinkage and resampling, adjusting for the stability of covariances in this way produces replicating portfolios that are significantly more reliable than portfolios that are blind to estimation error. André Perold- CIO and Co-Managing Partner of HighVista Strategies, George Gund Professor of Finance and Banking, Emeritus, Harvard Business School Risk Stabilization and Asset Allocation Abstract When asset class risks are time-varying, investors need to decide whether and how to adjust their asset allocations in response to changing estimates of risk. Traditional constant proportion policies such as 60/40 equities/bonds are unlikely to be optimal. In this session, I will examine properties of risk-conditioned strategies, including risk-stabilized portfolios that are managed to a constant conditional expected variance. I derive the portfolio Sharpe Ratio and kurtosis as a function of a) the relationship between expected return and volatility, b) the volatility of volatility, and c) the predictability of volatility. Within this framework, risk stabilized portfolios have the lowest exposure to fat tails. They have attractive Sharpe Ratios for a reasonable range of parameter values, and they have the highest Sharpe Ratio when the conditional Sharpe Ratio of the risky asset is constant. Steve Satchell - Economics Fellow at Trinity College Cambridge What proportion of the time are markets efficient? Abstract We assume that log equity prices follow multi-state threshold autoregressions and generalize existing results for threshold autoregressive models, presented in Knight and Satchell (2012) for the existence of a stationary process and the conditions necessary for the existence of a mean and a variance; we also present formulae for these moments. Using a simulation study we explore what these results entail with respect to the impact they can have on tests for detecting bubbles or market efficiency. We find that bubbles are easier to detect in processes where a stationary distribution does not exist. Furthermore, we explore how threshold autoregressive models with iid trigger variables may enable us to identify how often asset markets are inefficient. We find, unsurprisingly, that the fraction of time spent in an efficient state depends upon the full specification of the model; the notion of how efficient a market is, in this context at least, a model-dependent concept. However, our methodology allows us to compare efficiency across different asset markets. Micheal Steliaros - Managing Director at Bank of America Merrill Lynch Cherry Muijsson - BlackRock Tuesday September 13th Victor DeMiguel - Professor and Subject Area Chair Management Science and Operations, London Business School Fifty Ways to Beat the Market? Abstract More than 300 characteristics have been proposed to explain the cross-section of stock returns. The existing literature employs Fama-MacBeth regressions to examine which characteristics are significant when considered jointly, but this approach ignores portfolio selection features such as diversification and transaction costs. We study which characteristics are jointly significant for portfolio construction and why. Ron Kahn - Managing Director, Global Head of Scientific Equity Research at BlackRock TBD James Sefton - Professor at Imperial College London TBD Jason MacQueen - Legend and Head of Research Northfield Information Systems. TBD An afternoon of Punting Wednesday September 14th Marielle De Jong - Head of Fixed-Income Quant Research, Amundi Fundamental bond index including solvency criteria Chris Watkins - University of London - Dept. of Computer Science Visualising covariance Ed Fishwick - Managing Director and Global Co-Head of Risk and Quantitative Analysis at BlackRock TBD
    Venue: Worcester College, Walton St, Oxford OX1 2HB

  • 12 July seminar: The Booms and Busts of Beta Arbitrage

    Speaker: Prof. Dong Lou | London School of Economics
    Topic: The Booms and Busts of Beta Arbitrage

    Summary:Based on the August 2015 paper by Dong Lou with Shiyang Huang and Christopher Polk. In this talk Professor Dong Lou of the LSE will review the assertion that low-beta stocks deliver high average returns and low risk relative to high-beta stocks, and give professional investors an opportunity to benefit. He will argue that beta-arbitrage activity instead generates booms and busts in the strategy’s abnormal trading profits. In times of low activity, the beta-arbitrage strategy exhibits delayed correction, taking up to three years for abnormal returns to be realised. In stark contrast, when activity is high, prices overshoot as short-run abnormal returns are much larger and then revert in the long run. He will discuss a novel analysis of a positive-feedback channel operating through firm-level leverage that may facilitate these boom and bust cycles.
    Dr. Dong Lou Dr. Lou is an Associate Professor (tenured professor) in Finance at London School of Economics and Political Science. Dr. Lou has been a Researcher at the Centre for Economic Policy Research in the United Kingdom since 2013 and an Associate Editor at Management Science and Journal of Empirical Finance since 2014. Dr. Lou worked as an Assistant Professor in Finance at the London School of Economics and Political Science from 2009 to 2015. He has been an Independent Non-Executive Director of Xingye Copper International Group Ltd since August 17, 2015. Dr. Lou graduated from Columbia University with a degree of Bachelors of Computer Science in 2004 and obtained a doctoral degree from Yale University in Financial Economics in 2009.

    • LQG Evening Seminar: 12th July 2016 at 18:30
    • This seminar will be held at Thompson Reuters,
      30 South Colonnade , Canary Wharf, London, E14 5EP
    • Refreshments shall be provided.
    • While there is no cost to attend, you do need to register at Eventbright registration link here.
    • 14 June Seminar: Short term alphas and enhanced trading

      Speaker: Vinesh Jha, founder | ExtractAlpha
      Topic: Short term alphas and enhanced trading

      Summary:In this talk Vinesh Jha will demonstrate strategies using relatively fast‐moving alphas to improve the timing of trade decisions for systematic equity portfolios that use slower‐moving alpha signals. Many managers are aware of the alpha in short‐horizon signals, but do not use these alphas due to their high turnover; the portfolio may be large, or the mandate may not call for mid‐frequency trading. Short‐term alphas can be used by such managers to time trades that a longer‐horizon strategy would enter regardless, thereby improving the price of the entry and exit points without incurring incremental transaction costs. Mr. Jha will show how a basic market‐neutral fundamental and momentum strategy can be improved in raw and risk adjusted returns, with a slight reduction of turnover, by implementing simple entry and exit rules based on a short‐horizon alpha. The value added is very consistent over time, offers drawdown protection in volatile markets, and survives reasonable transaction cost and latency assumptions. Short‐horizon alphas can therefore be effective as tactical overlays which can improve risk‐adjusted returns without unduly influencing the underlying strategy. The implementation could be as straightforward as a daily pre‐trade screen on position entries and exits prior to the open.
      Vinesh Jha Vinesh founded ExtractAlpha in 2013 in Hong Kong with the mission of bringing analytical rigor to the analysis and marketing of new data sets for the capital markets. From 1999 to 2005, Vinesh was the Director of Quantitative Research at StarMine in San Francisco, where he developed industry leading metrics of sell side analyst performance as well as successful commercial alpha signals and products based on analyst, fundamental, and other data sources. Subsequently he developed systematic trading strategies for proprietary trading desks at Merrill Lynch and Morgan Stanley in New York. Most recently he was Executive Director at PDT Partners, a spinoff of Morgan Stanley's premiere quant prop trading group, where in addition to research he also applied his experience in the communication of complex quantitative concepts to investor relations. Vinesh holds an undergraduate degree from the University of Chicago and a graduate degree from the University of Cambridge, both in mathematics.

      • LQG Evening Seminar: 14th June 2016 at 18:30
      • This seminar will be held at Thompson Reuters,
        30 South Colonnade , Canary Wharf, London, E14 5EP
      • Refreshments shall be provided.
      • While there is no cost to attend, you do need to register at Eventbright registration link here.
      • 2016 Spring Seminar

        12 May 2016


        Royal Geographical Society

        1 Kensington Gore SW7 2AR London United Kingdom   from 09:00 to 17:00 (BST)   Speakers to include:
        • Alesandro Beber, Cass Business School/ BlackRock,
          Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns and FX risk on/off
        • Elijah DePalma, Thomson Reuters,
          News & Social Media Analytics for Market Mispricings
        • Dan diBartolomeo, Northfield,
          An optimized approach to scenario driven risk simulations
        • Hari Krishna and Jason McMahon, Cross Border Capital and Nowcasting,
          Now-casting capital flows and dynamic asset management
        • Scott Richardson, London Business School,
          Systematic investing in Credit Markets
        • Mark Salmon, University of Cambridge ,
          Strategy Confidence Sets

        For this year's spring seminar we have gathered six excellent speakers who will deliver their recent research and insights in an open forum that encourages discussion and debate. The engaging and thought provoking talks provide theoretical and practical insights to take away and implement.

        Enhance your industry connections while absorbing cutting edge quantitative research. This seminar returns to the elegant surroundings of the Royal Geographical Society. Lunch and coffee is included for £300 including VAT and booking fee. Spaces are limited - so book your place(s) now.

        There will also be an informal after seminar dinner at a local restaurant paid individually on the night.