LQG Events
LQG ENCORE Seminars – Engaging – New – Controversial – Original – Rigorous – Entertaining
LQG 08/02/22 – On-Line – Options in portfolios – David Buckle
LQG 08/02/22 – On-Line – “Enhanced income and costless protection” : Good options, poor choices and the hidden costs of a supposedly free lunch – David Buckle. This seminar aims to stimulate thought and discussion as the analysis’ conclusions are likely to be counter intuitive to some and controversial to others.
LQG 14/12/21 – Annual Debate – 18:30 On-Line only – AI for Stock Selection
The motion: This house believes that AI is better, stronger, faster at picking stocks for investment.
Will be proposed by Ed Fishwick Managing Director at BlackRock and opposed by Desi Ivanova PhD student at the Department of Statistics at the University of Oxford
LQG 12/11/21 – In-Person – 1 Day Autumn Seminar at Goldman Sachs – 6 talks – 9 Speakers
The the 12/11/21 one day / all day LQG autumn seminar – 6 talks delivered by 9 brilliant speakers generously hosted by Goldman Sachs
LQG 12/10/21 – On-Line – AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI – Prof. Will Cong
Highlight the utility of deep reinforcement learning in finance and invent “economic distillation” tools for interpreting AI and big data models
LQG 14/09/21 – On-Line – An analysis of Delta variant hedging impact on intraday asset price dynamics – Dori Levanoni
The impact of listed options market makers delta hedging on the dynamics of intraday asset prices. 14th September 2021 20210914
LQG 13/07/21 – On-Line – AI for Quants – Accelerated, explainable AI/ML in capital markets – Jochen Papenbrock
LQG SeminarsENCORE - Engaging New Controversial Original Rigorous EntertainingAI for Quants - Accelerated, explainable AI/ML in capital markets Seminar by Jochen Papenbrock 13th July 2021 Dr. Jochen Papenbrock returns to the LQG to discuss the implications and benefits of work completed with a team at Munich Re Markets on robust accelerated portfolio construction and market data generators which was published in the spring edition of the Journal of Financial Data Science – accessible here Business, regulatory and performance requirements demand robust, explainable, trustworthy, sustainable, efficient, transparent, and larger AI/ML models. Jochen will illuminate the current era of model building, referencing algorithmic developments including risk management techniques. Jochen will also highlight how to access freely available open source software so you can harness potentially massive improvements in processing times while retaining IT cost control and critical business flexibility - in short how to access "your own" super-computer - or more accurately your own accelerated computing platform - without having to learn a totally new language and without paying the earth for the privilege! ReferencesJaeger, M, S. Krügel, D. Marinelli, J. Papenbrock, P. Schwendner. 2021 "Interpretable Machine Learning for Diversified Portfolio Construction" Lopez de Prado, 2016. “Building Diversified Portfolios That Outperform Out of Sample.” The Journal of Portfolio Management 42 (4): 59–69. Lundberg, S., and S.-I. Lee. “A Unified Approach to Interpreting Model Predictions.” In Advances in Neural Information Processing Systems 30, edited by I. Guyon, U. V. Luxburg, S. Bengio, H. Wallach, R. Fergus, S. Vishwanathan, and R. Garnett, pp. 4765–4774. Curran Associates, 2017, Lundberg, S. M., G. Erion, H. Chen, A. DeGrave, J. M. Prutkin, B. Nair, R. Katz, J. Himmelfarb, N. Bansal, and S.-I. Lee. 2020. “From Local Explanations to Global Understanding with Explainable AI for Trees.” Nature Machine Intelligence 2 (1): 56–67. Dr. Jochen Papenbrock NVIDIA Based in Frankfurt, Germany, Jochen has spent the last 15 years in various roles on the topic of AI in Financial Services, as a thought leader, implementer, researcher and ecosystem shaper. He is a financial data scientist and received his degree and PhD from the Karlsruhe Institute of Technology (KIT). As a consultant, entrepreneur and researcher he worked with well-known asset managers, banks, insurance companies and central banks. He is a manager at NVIDIA and works with partners, communities, and developers in financial services in Europe and also in some global teams. Jochen is board member of the EU Horizon 2020 project ‘FIN-TECH’, specialty chief co-editor (Co) at Frontiers ‘AI in Finance’, and project leader in GAIA-X. He has published on AI and quantitative finance in Journal of Financial Data Science, Journal of Investment Strategies, Financial Markets and Portfolio Management, Quantitative Finance, Applied Financial Economics, Frontiers Journal of AI in Finance and Journal of Network Theory in Finance.
LQG 08/06/21 – On-Line – AI- Deep Learning The Limit Order Book – Tomaso Aste
A seminar on the prediction of transaction prices using deep learning and deep reinforcement learning and implications of the use of artificial intelligence for the automation of trade and many other activities in the financial services industry.
LQG 11/05/21 – On-Line – Building Equity Momentum Strategies Using Information From Credit Markets – Arik Ben Dor
Dr. Arik Ben Dor discusses a replicable, successful, enhanced equity momentum strategy built using insights extracted from corporate bond prices.
LQG 13/04/21 – On-Line – Why Don’t Most Mutual Funds Short Sell? – Dong Lou
An analysis of the puzzling behaviour of US mutual funds that appear not to take advantage of the short selling opportunities open to them and the implications for the funds and investors.
LQG 09/03/21 – On-Line – Systematic Investing In Credit – a seminar by Simon Polbennikov, Arik Ben Dor and Albert Desclée
9th March 2021 Systematic Investing In Credit an LQG seminar Simon Polbennikov, Arik Ben Dor and Albert Desclée
LQG 26/01/21 – On-Line – The Age Of Financial Repression – Russell Napier
LQG SeminarsENCORE - Engaging New Controversial Original Rigorous EntertainingI guess we're not in Kansas anymore! The return of the age of financial repression Seminar by Russell Napier 26th January 2021 - On-Line In the first LQG seminar of 2021 Russell Napier reviews the financial environment and draws vital inferences about the use of historic data and forecasting. "Welcome" to the new year... and a "new" financial world. From 1939 to 1979 the United Kingdom and most of the developed world’s financial system was subjected to a financial repression. Excessive debt-to-GDP ratios across the developed world mean that repression is very likely to return.Financial asset prices, determined by market forces for over forty years, will now be increasingly determined by administrative fiat.The data that tracks financial market and macro relationships post 1979 may now be irrelevant and dangerous for assessing the outlook for financial markets.What is financial repression and how should our analysis adapt to it? Russell Napier Professor and Strategist Professor Russell Napier is author of The Solid Ground investment report for institutional investors and co-founder of the investment research portal ERIC- a business he now co-owns with D.C. Thomson. Russell has worked in the investment business for over 30 years and has been advising global institutional investors on asset allocation since 1995. Russell is author of the book Anatomy of The Bear: Lessons From Wall Street’s Four Great Bottoms (‘a cult classic’ according to the FT) and he is founder and course director of The Practical History of Financial Markets course that is part of the Edinburgh Business School MBA. Russell is Chairman of the Mid Wynd International Investment Trust. He is a member of the investment advisory committees of two fund management companies, Cerno Capital and Kennox Asset Management. In 2014 Russell founded the charitable venture The Library of Mistakes a business and financial history library in Edinburgh that now has branches in India and Switzerland. Russell has degrees in law from Queen’s University Belfast and Magdalene College Cambridge. He is a Fellow of The CFA Society of the UK and is an Honorary Professor at both Heriot-Watt University and The University of Stirling. When not engaged in the activities above Russell reads too much financial history, is a keen fly fisherman and grows his own organic vegetables . His second book which covers the events of the Asian financial crisis is due to be published in 2021.
LQG 8/12/20 – On-Line – Practical fund factor analysis – Dori Levanoni
Practical ex-ante fund factor analysis – methodology applied to a simple strategy (FX Carry) and will include snippets of the python code.
LQG 03/11/20 – On-Line – Accounting And Asset Prices – Ray Ball
In this seminar Professor Ball will discuss accounting and asset prices. Earnings and returns might seem like completely different concepts, but they are closely related economic variables — much more so than commonly appreciated. … Earnings, cash flows and book values have components that are economically different.
20201013 – On-Line – LQG Evening Seminar – Alpha from esoteric markets – Chris Longworth
20201013 – On-Line – LQG Evening Seminar – Alpha from esoteric markets – Chris Longworth – Extracting alpha from esoteric markets – navigating different and challenging markets. Asset selection and portfolio diversification
20200915 On-Line – LQG Evening seminar – In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis – Ralph Koijen
Prepare to have some of your fundamental assumptions about capital markets changed or more likely, inverted by Prof. Ralph Koijen.
20200714 On-line LQG Evening Seminar – Human Input Is Critical To Model Design & Management – David Jessop
Seminar by David Jessop of Columbia Threadneedle Investments on the need for and value of human input to the development and management of complex computer based models, especially those used in finance, and the need to understand and interpret their output.
LQG 30/06/20 – On-Line – How and why Causal AI techniques can prevent overfitting – Darko Matovski
How Causal AI can prevent ovrefitting – seminar by Darko Matovski CEO of causaLens
20200616 LQG Evening Seminar – Giuliano De Rossi – 18:30 – On-Line – ETF flows & stock mispricing
ETF flows, mispricing and stock price dynamics by Giuliano De Rossi of Goldman Sachs – ETF flows affect t+1 intraday stock trading volume and volatility with cross-impact implications.
20200526 LQG Evening Seminar – Kevin Coldiron and Tim Lee – 18:30 – On-Line – The Rise of Carry
In this seminar Tim and Kevin will discuss the likely and dangerous, consequences of the rise of carry (borrowing / leverage); volatility suppression, a new financial order of deflation, decaying growth, systemic risk, recurring crises and their implications for the value of money…
20200519 LQG Evening Seminar – Katharina Schwaiger – BlackRock 18:30 – On-Line – ESG in Factors
ESG in Factors by Katharina Schwaiger
20200505 LQG Evening Seminar – Vitali Kalesnik – Research Affiliates 18:30 – On-Line
LQG seminar on 05/05/20 at 18:30 by Vitali Kalesnik of Research Affiliates. Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
LQG Spring Seminar – 4 on-line evening seminars
202005 – 4 on-line evening seminars replace the one day spring seminar.
20200414 LQG Evening Seminar – Svetlana Bryzgalova – LBS – 18:30 On-Line
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingForest through the Trees: Building Cross-Sections of Stock Returns, Svetlana Bryzgalova with Markus Pelger and Jason Zhu The LQG is very pleased that Svetlana Bryzgalova, Assistant Professor at the
20200310 LQG Evening Seminar – Dr Chris Longworth of GAM Systematic CANTAB – @18:30 at BlackRock – Postponed
20200310- LQG Evening-seminar – Scraping the bottom of the cheese barrel: Alpha from esoteric markets – 18:30 generously hosted by BlackRock
20200211 LQG Evening Seminar – Otto Van Hemert of AHL – @18:30 BlackRock
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed? Otto Van Hemert, Head of Macro Research at Man AHL The LQG is very pleased that Otto Van Hemert, Head of Macro
20200114 LQG does not meet in January
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe London Quant Group does not meet in January The first LQG meeting in 2020 will be on February 11th generously hosted by BlackRock
20200114 LQG does not meet in January
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe London Quant Group does not meet in January The first LQG meeting in 2020 will be on February 11th generously hosted by BlackRock
20191210 10th December 2019 – The LQG Annual Debate – To ESG or not to ESG?
The climax of the London Quant Group 2019 seminar series is the Annual Debate. This year two titans of both debate and finance will address the virtues, both real and imaginary, of ESG Investing.
Ed Fishwick – Managing Director at BlackRock will propose the motion.
Andrew Ang – Managing Director at BlackRock will oppose the motion.
This is a debate – a forum in which to discuss the question. The views expressed during the debate are not necessarily the views of the speakers personally nor of BlackRock or Goldman Sachs International! The debate is held under the Chatham House rule!
20191112 LQG evening seminar on at 18:30. Mining alpha from 13F Filings Seminar by Mobeen Iqbal
LQG SeminarsEngaging New Controversial Original Rigorous EntertainingMining alpha from 13F Filings Mobeen Iqbal 12th of November 2019 London Quant Group Eventing Seminar Generously hosted by Goldman Sachs International 2 Stonecutter Street, London EC4A 4AH
20191008 LQG Evening Seminar – Inigo Fraser-Jenkins – Has Value met its Waterloo?
LQG SeminarsENCORE – Engaging New Controversial Original Rigorous EntertainingHas Value met its Waterloo? Inigo Fraser-Jenkins 8th of October 2019 London Quant Group Eventing Seminar Generously hosted by Goldman Sachs International at 133 Fleet Street, London EC4A
20190908 LQG Autumn Seminar – Cambridge
The 2019 autumn seminar has 14 outstanding speakers and will be held at Magdalene College in Cambridge. It is a beautiful setting boasting the longest river frontage of all the Cambridge colleges – a fantastic venue for the London Quant Group seminar.