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.

  • March Seminar – Estimating the Moments of Long Horizon Returns

    • Speaker: Anthony Neuberger | Professor of Finance, Cass  Date: 15th March 2017 Place: BlackRock Topic: Estimating the Moments of Long Horizon Returns
    • Click here to register.
    • Summary:  The moments of long horizon market returns are important for asset pricing but hard to measure with any precision. In the literature, a variety of proxies have been used: option implied moments, estimates from quantiles of the historic distribution, tail statistics of the constituents of the market, and moments of high frequency returns. The moments can also be estimated by fitting parametric models to the price process. None of these methods is entirely satisfactory. The present paper shows that, under rather general conditions (the discounted price process being martingale and ergodic with finite moments), the skewness coefficient of long horizon returns comprises just two components: the skewness of short horizon returns, and a leverage effect, which is the covariance between contemporaneous variance and lagged returns. Similarly the kurtosis of long horizon returns comprises three components: the kurtosis of short horizon returns, the covariance between cubed short horizon returns and lagged returns, and the covariance between squared short horizon returns and lagged squared returns. The paper analyses the skew and kurtosis of the US market index and how they vary with horizon and over time.
    • About Anthony Neuberger Anthony Neuberger read Mathematics and Philosophy at Trinity College, Cambridge where he was a Senior Scholar. He was appointed to the Central Policy Review Staff in the Cabinet Office under Lord Rothschild, and moved to a permanent position at the Department of Energy where he worked on the financial regulation of the electricity supply industry, and international trade in nuclear fuel and on a Green paper on Energy Policy. He left the Civil Service to do an MBA at London Business School. On graduating with distinction, he joined the faculty of LBS and did his PhD there. He was appointed to Associate Professor and became the first Academic Director of the full-time Masters in Finance programme. He subsequently left LBS to take up a chair at Warwick Business School where he was Director of the Financial Mathematics MSc and then became Head of the Finance Group. He joined Cass as Professor of Finance in 2013. His research interests include option pricing and hedging, market microstructure and pensions policy, and he has published in the Journal of Finance, the Review of Financial Studies, and the Journal of Financial and Quantitative Analysis. He has consulted for Government Departments, banks, stock exchanges and other bodies.
    • This seminar is kindly hosted by Blackrock The London Quant Group is very grateful to BlackRock for hosting this event
    • BlackRock 12 Throgmorton Avenue London EC2N 2DL
     

  • AGM and evening seminar 6th December

    We are pleased to announce the last evening seminar of this year will be a special Christmas event on December 6th at 6.30pm.

    TOPIC:  Event Risk and Active Management SPEAKER: Ed Fishwick | Managing Director and Global Co-Head of Risk and Quantitative Analysis - BlackRock,

    SUMMARY: Winner of the speakers' prize at the 2016 autumn seminar Ed Fishwick will discuss the challenges and opportunities that pivotal political and economic events offer active managers and their clients.

    Venue and registration 

    • LQG Evening Seminar: December 6th at 6.30pm
    • This seminar will be held at BlackRock,
      12 Throgmorton Avenue, London EC2N 2DL
    • Refreshments shall be provided.
    • While there is no cost to attend, you do need to register at Eventbright registration link here.
    • November Seminar Factor Strategies and allocations for the ESG-aware investor

      Speaker: Dimitris Melas | Global Head of Equity Research MSCI 
      Date: 8th November 2016
      Topic: Factor strategies and factor allocation for the ESG-aware investor
      Summary:  In this talk Dr. Melas will explore the increasing influence of Environmental, Social and Governance (ESG) considerations over the last 10 years as they have become increasingly integrated into mainstream portfolio management. The integration of ESG criteria into portfolios raises many important empirical questions that include :

      • The impact of ESG on portfolio performance
      • How ESG alters the risk profile and the factor exposures of portfolios.
      • How ESG affects the ability of different investment strategies to pursue their stated investment objectives.
      The impact on passive strategies and their ability to capture the equity risk premium. The ability of factor strategies such as value, size, momentum, quality, yield and low volatility able to maintain appropriate exposure to their target factors.  Using a consistent portfolio construction framework to answer these and other questions, Dr. Melas will show the impact of ESG integration on different investment strategies.
      About Dimitris Melas Ph.D. MSc. CFA Dimitris is Managing Director and Global Head of Equity Research at MSCI. Prior to joining MSCI in 2006, Dr. Melas worked at HSBC Asset Management as Head of Research and Head of Quantitative Strategies. Dr. Melas is a Chartered Financial Analyst and holds an MSc in Electrical Engineering, an MBA in Finance, and a Ph.D. in Applied Probability from the London School of Economics. He serves as Editorial Board Member of the Journal of Portfolio Management. This seminar is kindly hosted by Blacrock The London Quant Group is very grateful to BlackRock for hosting this event BlackRock 12 Throgmorton Avenue London EC2N 2DL