LQG 2024/09/04 – 2024/09/07 – 2 Day – Autumn Seminar – at Cambridge – Robinson College – IP *OLO* Hybrid

The LQG 2024 Autumn Seminar – Hybrid

​LQG 2024/09/04 to 2024/09/07 In-Person and On-Line
at
Robinson College, Grange Road, Cambridge CB3 9AN

click here for a  college map

The Outline Agenda

Scroll down for speakers and topics.

Download the Summary Agenda /  Download the Detailed Agenda

Arrive on the afternoon / evening of Wednesday the 4th September 2024 (2024/09/04) to enjoy a welcome buffet.
Starting on Thursday the seminar will be held in Robinson College’s “CWB” the Crausaz Wordsworth Building, an amazing space in which we will enjoy the research and insights of eleven speakers of international renown.  The all important speaker rankings – assessed by in-person attendees – will be announced at the final dinner in Robinson College on Friday night.
On Saturday you can take advantage of the opportunity to enjoy a stroll around Cambridge and possibly some punting along “The Backs” on the river Cam.
Experienced LQGers please note that the 2024 seminar format does not allow for the punting challenge to be an integral part of the seminar as it has been in previous years.
Robinson College has delightful grounds and facilities close to the centre of Cambridge. The seminar room is marvellous: The college bedrooms rooms can be seen here :
One ticket – for the seminar, meals and accommodation
All room bookings are for 3 nights including the Friday night.
Guests: Should you wish to bring a guest, please buy an additional guest ticket to cover the social events and meals only. No seminar attendance is included with the guest ticket.
There is car parking available. If you need parking it is important that you buy an additional parking only ticket.
There are some twin rooms available. Please only book a twin if you really need one.
Technology allowing all seminar sessions will be made available to the on-line audience.
The LQG looks forward to you joining the seminar.

To book your place use the red Access Code in the invitation sent by e-mail to those on the LQG mailing list which you can join by using the Sign Up menu option above.

Register for the In-Person seminar here.  The all-inclusive in-person seminar fee includes the seminar, accommodation in a single room with en-suite facilities and all meals.  A  few twin rooms are also available at modest incremental cost.  Guest tickets are available to join the social activities only.

Click here for the Robinson College site MAP

Register for the On-Line seminars here.  The support of the LQG’s sponsors, BlackRock, Snowflake, Bloomberg and especially the vision of LQG chairman Ed Fishwick means that the entire LQG autumn seminar will be available to on-line LQGers for free. 

Voluntary donations to support the LQG are happily accepted when you register.

The London Quant Group (LQG) is a seminar organiser which contracts with Cambridge Colleges for the use of facilities; this event otherwise has no connection or association with the University of Cambridge or its Colleges.

Speakers, talk titles, abstracts and speaker biographies.

Click on the title or speaker name to reveal the abstract / summary.

 

Venue:  Robinson College, Grange Road, Cambridge CB3 9AN

Seminars will be delivered in the Crausaz Wordsworth Building – “The CWB” on the Robinson College site map.

Click here to download the Summary Agenda        /       Click here to download the Detailed Agenda

 

 

Causality with AI/AGI

The world is changing fast. The advancements in new and powerful AI tools suggest that, in the next 5 years, we could experience an exponential increase in personal productivity, intelligence, and overall capacity to influence the world. Remaining relevant in this new era requires embracing and integrating these tools. But what would it take to excel and thrive? What are the implications for companies, investors and society at large? These will be the central questions of this talk. As we delve into them, we will cover some of the most exciting AI/ML research of this year, highlighting the notable advancements in Generative AI. Finally, we will discuss key trends shaping the future of the field, including possible existential threats posed by superintelligent systems.

Desi Ivanova - PhD. Student, University of Oxford and 2021 LQG debate winner.

Desi Ivanova

Desi Ivanova

PhD. Student, University of Oxford

Desi Ivanova is at the Department of Statistics at the University of Oxford, working on both theory and applications of probabilistic machine learning. Her main research interest is in the intersection of information theory and deep learning, and the related fields of representation learning and approximate inference. In applied settings, she is very passionate about the proper use of statistics and advocates for rigorous evaluation of statistical and machine learning methods.

Before joining Oxford in 2020, Desi was part of the Systematic Trading Strategies (STS) R&D team at Goldman Sachs and prior to that she was a member of the Quantitative Research unit at UBS . She holds a Masters degree in MORSE (Mathematics, Operational Research, Statistics and Economics) from the University of Warwick, from where she graduated in 2016.

Important Note:  In 2021 Desi became the first and so far the only person to win the annual LQG debate with Ed Fishwick.

Leverage Dynamics and Learning about Economic Crises

Models of learning about economic crises generate risk premia that rise at the onset of a crisis, but then fall as belief uncertainty fades. In contrast, empirical risk premia remain elevated during crises. We resolve this tension via leverage dynamics generated by the impact of learning on optimal default and capital structure decisions within a representative agent consumption-based model. Endogenously time-varying leverage creates a feedback loop: the learning-induced slow recovery in equity prices raises leverage, thereby further depressing equity values and keeping the equity premium and credit spreads persistently high as the crisis unfolds. We structurally estimate the model and show it closely matches the joint dynamics of consumption, equity risk premia, credit risk, and leverage, especially during crises, together with the term structure of credit risk and default probabilities.

Harjoat Bhamra Associate Professor of Finance Imperial College Business School

Associate Professor of Finance
Imperial College Business School

It will be awesome.

Ron Kahn - Global Head of Systematic Investment Research, BlackRock

Ronald Kahn

Global Head of Systematic Investment Research, BlackRock

Ronald N. Kahn, PhD, Managing Director, is Global Head of Systematic Equity Research at BlackRock. He has overall responsibility for the research underpinning the Systematic Active Equity (SAE) products.

His service with the firm dates back to 1998, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining BGI, he worked as Director of Research at Barra, where his research covered equity and fixed income markets.

Ronald Kahn is a well-known expert on portfolio management and quantitative investing. He has published numerous articles on investment management, and, with Richard Grinold, authored the influential book Active Portfolio Management: Quantitative Theory and Applications. The two of them are the 2013 winners of James R. Vertin award, presented periodically by the CFA Institute to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. He is a 2007 winner of the Bernstein Fabozzi/Jacobs Levy award for best article in the Journal of Portfolio Management. He serves on the editorial advisory boards of the Financial Analysts Journal, the Journal of Portfolio Management and the Journal of Investment Consulting. The 2007 book How I Became a Quant includes his essay describing his transition from physics to finance.

He teaches the equities half of the course, “International Equity and Currency Markets” in UC Berkeley’s Master of Financial Engineering Program.

He earned an AB degree in physics, summa cum laude, from Princeton University, and a PhD in physics from Harvard University. He was a post-doctoral fellow in physics at University of California, Berkeley.

A Unified Model Of Investor Utility And Asset Pricing

Dan will present this work which develops a new and intuitive expression of investor utility. To motivate the discussion, it starts with an empirical test that is a conjecture of a general valuation model applied to three popular publicly traded market composites. This experiment evaluates the quality of price estimates produced by the suggested model and compares it to the quality of a traditional valuation model that reflects mean and variance efficiency. Thereafter, the work resorts to conceptual means to justify the usage of the proposed model in the experiment. The model derivation is grounded in maximization of the logarithm of investor wealth. The main difference between the utility function developed herein and previous models that build on a relationship with the logarithm of wealth is that the new model explicitly incorporates the investor time horizon, discretionary consumption, and the effect of potential investor default as determinants of loss aversion. The new utility form treats both external borrowing and non-discretionary future consumption as leverage, and it assumes that investor equity absorbs all losses before affecting the ability to repay debt or finance future non-discretionary consumption. In addition to developing a portfolio optimization objective, the utility function gives the ability to explicitly estimate the fair value of a portfolio – a result which supports the conjecture model used in the initial empirical test. The new utility and valuation model is free of most constraints and assumptions in existing investor utility models with respect to the statistical properties of the portfolio stochastic process. The model also aligns closely with the principles of risk aversion in the Expected Utility Theory.

Dan DiBartolomeo President and Founder Northfield Information Services, Inc.

Dan diBartolomeo

Dan diBartolomeo

Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club. His publication record includes fifty books, book chapters and research journal articles. In addition, Dan has been a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts. He became editor in chief of the Journal of Asset Management at the start of 2019.

?? - This is actually the working title!

Interest rates and a return to normalcy.
A discussion of interest rates, unintended consequences, central bank hubris, accidentally doing “the right thing” and making the financial system safer.

David Buckle – Chairman of INQUIRE UK

David Buckle

Chairman INQUIRE UK

David has been in the asset management industry for over 25 years, primarily as a portfolio manager or analyst. He has been made redundant many more times than he would have liked and therefore has worked for many blue-chip asset managers including JP Morgan Asset Management, Putnam Investments, Merrill Lynch Investment Managers, Blackrock, UBS Global Asset Management and Fidelity. He also ran an investment boutique for several years deploying overlay strategies. Throughout his career he has contributed to the investment literature, especially in the area of the theory of active management.
Having become a bit disenchanted with the industry of late, David now has a plurality of roles, including being the CEO and CIO of a tiny real asset investment company, running a handful of multi asset portfolios, and is the chairman of the Institute for Quantitative Investment Research (INQUIRE). He spends much of his time authoring articles and is in the process of writing a couple of books on investment matters.
David’s background is as a Phd. mathematician and that discipline remains his hobby. His most recent article is the interpretation of some cuneiform mathematics scribed on a Babylonian stone from 2000BCE.

It will be awesome.

Svetlana Bryzgalova - Assistant Professor of Finance at London Business School

 

Svetlana Bryzgalova

Svetlana Bryzgalova

Assistant Professor of Finance at London Business School

Svetlana Bryzgalova is an Assistant Professor of Finance at London Business School. Her research is focused on empirical asset pricing and macrofinance. In particular, she uses financial econometrics and data science to better understand the cross-section of asset returns, and the sources of systematic risk in the economy. Her research received numerous awards, including Best Paper in Asset Pricing awards from the SFS Cavalcade and Midwest Finance Association. She holds a PhD from London School of Economics, and previously worked at Stanford GSB before joining LBS.

It will be awesome.

 

 

 

Lisa Goldberg - Managing Director, Head of Research at Aperio Group by BlackRock. Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk, University of California, Berkeley

Lisa Goldberg

Managing Director, Head of Research at Aperio Group by BlackRock. Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk, University of California, Berkeley.

Lisa Goldberg is Head of Research at Aperio Group, now part of BlackRock, and Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk at University of California, Berkeley. She has worked in topology, dynamical systems, quantitative finance, sports statistics and causal inference. She has published more than 60 articles and is co-author of Portfolio Risk Management, which was published by Princeton University Press in 2010. Lisa is inventor on five patents and serves on editorial boards of four quantitative finance journals and two book series. She is a member of the Advisory Council for the Museum of Mathematics, an arXiv moderator and an expert judge for the Moskowitz Prize for Socially Responsible Investing. Lisa is 2/3 of the way to her lifetime goal of swimming a lap around the equator.

Accommodation

Robinson College

 

Venue:  Robinson College, Grange Road, Cambridge CB3 9AN

Seminars will be delivered in the Crausaz Wordsworth Building – “The CWB” on the Robinson College site map.

Download the Summary Agenda /  Download the Detailed Agenda

 

Robinson College has delightful grounds and facilities close to the centre of Cambridge. The seminar room is marvellous:
The college bedrooms rooms can be seen here :

One ticket – for the seminar, all meals and accommodation – what a deal!
All room bookings are for 3 nights including the Friday night.
College rooms are obviously college rooms – they are not 5* hotel quality but perfectly functional and comfortable.
Guests: Should you wish to bring a guest, please buy an additional guest ticket to cover the social events and meals only. No seminar attendance is included with the guest ticket.
There is car parking available. If you need parking it is important that you buy an additional parking only ticket.
There are some twin rooms available. Please only book a twin if you really need one.

If you do not want to stay in college please make your own arrangements.  The LQG does not reserve hotel rooms.

Dinners and lunches

Robinson college is proud of its catering and the LQG shall make optimal use of it.
To ensure some variety we will have dinner on Thursday at a local-ish restaurant in Madingley.  Weather prmitting the energetic will walk to Madingley.

  • Wednesday night – Informal BBQ / buffet dinner on arrival
  • Thursday lunch – hot and cold buffet
  • Thursday dinner – 3 course dinner in Madingley
  • Friday lunch – hot and cold buffet
  • Friday dinner – 3 course dinner
  • Saturday lunch – haven’t you got a home to go to??

Breakfast is included for all staying in college rooms.

Punting – Cambridge

The link between a quant conference and punting is of course the “quant”.  Quant is the proper name for the pole used for punting.  The punting opportunity is why you are asked for your T-shirt size when you register. You can of course wear your T-shirt during the seminar as well as for punting when It may be supplemented (or disguised) as required, according to temperature and propriety.  The T-shirt has a helpful reminder of the dictionary definition of a quant.  

For over 3o years the LQG annual seminar included the annual punting challenge.  The 2 day format for this seminar does not allow for the punting challenge to be part of the seminar.  However… those who choose to stay for dinner in college on Friday will clearly want to work off some energy on Saturday …

… which will be an excellent opportunity to demonstrate elegance, skill, fitness, and power in punting as well as making and keeping friends.

Punting is both easier… and can be harder than it looks – but above all it is to be enjoyed with friends in a beautiful setting.  So Saturday will provide a great opportunity to enjoy punting along the backs of the colleges in Cambridge.  The more adventurous may choose to make a trip out to Granchester.

Clothes for punting
Please bring loose fitting informal clothes to wear for the punting.

There is the possibility of getting wet as rain is always a possibility.

Trainers or sailors’ deck shoes are ideal.