• 2013 Autumn Seminar in Oxford – Presentations Available

    Seminar presentations and papers available to download

     

    Monday, 9th September 2013

    Momentum and reversal effects in stock returns: Back to fundamentals
    Peter Pope – London School of Economics
    Slides-AretzPope_ExcessCapacityMomLTR_26AUG2013_Slides
    Paper-AretzPope_ExcessCapacityMomLTR_26AUG2013_Paper

     

    Global Portfolio Trading: Exploiting Intraday Dynamics and the Intricacies of Practical Implementation
    Michael Steliaros – BAML – information on this paper is only available attendees, please contact events@lqg.org.uk

     

    The Impact of Maker/Taker Pricing on Quotation Behavior
    Larry Harris – University of Southern California, Marshall School of Business
    Paper – 201309 Harris Maker-taker pricing v0.9
    Presentation –

     

    Currency risks in domestic portfolios.
    Jason MacQueen – R Squared Risk Management
    Presentation –201309 MacQueen Currency Risk in an Age of Globalisation

     

    Thinking about Crises
    Robert Macrae – Arcus
    Presentation – Thinking about Crises Website

     

    The key role of Psychic Returns to Investment
    Steve Satchell – Trinity College, Cambridge
    Presentation – satchelloxfordtalksept13(1)

     

    Tuesday 10th September

     

    The Performance of Low Volatility Strategies: Anomaly or Algebraic Artifact
    Dan diBartolomeo – Northfield Information Services
    Presentation – dan_low_vol_2013

     

    Fundamental indexation for bond markets
    Marielle de Jong – Amundi
    Presentation – FundInd_deJong
    Paper – deJongFundIndexing

     

    Quant Investing: Past, Present, Future
    Ron Kahn – BlackRock
    Presentation – Kahn-LQG Oxford-0913(1)

     

    Lecture Notes on Risk Parity
    Bernd Scherer – FTC Capital GmbH & EDHEC
    Presentation – Will be available shortly

     

    Wednesday, 11th September

     

    Market Timing: Philosophy, Methodology, Strategy
    James Sefton – Imperial College, London
    information on this paper is only available attendees, please contact events@lqg.org.uk

     

    Active Risk Models: An Empirical Confirmation of Benefits
    Claude Greengard – Axioma
    information on this paper is only available attendees, please contact events@lqg.org.uk

     

    Dynamic CAPM: The low beta anomaly, MinVol, and other mysteries
    Edward Fishwick – BlackRock
    Presentation – Fishwick Dynamic CAPM Geometry-1