Conference Day Two: March 20 2019

7:45 am - 8:50 am Welcoming tea, coffee and registration

KEYNOTES & OPENING PLENARY SESSIONS

8:50 am - 9:00 am Chair's opening remarks

9:00 am - 9:20 am Keynote: Creating an international top tier data science and AI team

Matthew Granade - Chief Market Intelligence Officer & Managing Director, Point72
  • Building a vision: understanding and defining the data requirements 
  • Selling the business case: do you need quick wins to sustain the long-term vision?
  • Growing and developing the functionality: refining, improving and scaling up

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Matthew Granade

Chief Market Intelligence Officer & Managing Director
Point72

9:20 am - 10:00 am Panel discussion: How are investment banks leveraging their quant and data science teams to build new business models and add value to clients?

Sylvain Champonnois - Systematic Trading, BNP Paribas
Benoit Mondoloni - Director, Bank of America Merrill Lynch
  • How to add value in the age of access to alt data?
  • Identifying trade ideas your client hasn’t considered yet
  • Leveraging the vast reams of historical data that banks have stored
  • Implementing AI and ML to help manage the regulatory burden
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Sylvain Champonnois

Systematic Trading
BNP Paribas

Benoit Mondoloni

Director
Bank of America Merrill Lynch

10:00 am - 10:30 am Keynote: Risk models for quant trading

Zura Kakushadze - President & CEO, Quantigic Solutions
  • How to build risk models for short-horizon & ephemeral ML-based data-mined alphas?
  • How to make the covariance matrix out-of-sample stable & invertible for short lookbacks?
  • Can using ML-based methods (e.g., clustering) for building such risk models add value?
  • Should PMs allocate resources for building custom risk models or use commercial ones?

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Zura Kakushadze

President & CEO
Quantigic Solutions

10:30 am - 11:10 am Networking refreshment break in the exhibition area


  • Evaluating new and emerging strategies to maximise alpha from a blended man and machine approach
  • Measuring effectiveness: understanding the ROI on your strategies – are they always practical and cost-effective to execute?
  • When and how will quant funds consistently outperform a traditional approach?
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Mark Antonio Awada

Chief Risk & Data Analytics Officer
Alpha Innovations

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Alberto Cozzini

Head of Research and Senior Portfolio Manager
Devet Capital Management

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David Pope

Managing Director of Quantitative Research
S&P Global Market Intelligence

  • Hear these leading data scientists discuss the latest techniques, concepts and trends
  • Evaluate where technology can take potential achievements in data science
  • Ask your questions to the esteemed panel for unique insights and takeaways
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Sameer Gupta

Market Intelligence – Sourcing Director
Point72

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Sarah Hoffman

VP, AI & Machine Learning Research
Fidelity Investments

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Anthony Ledford

Chief Scientist
Man AHL

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Claudia Perlich

Senior Data Scientist
Two Sigma

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Michael Sun

Vice President of Data Science
Prudential

12:50 pm - 2:00 pm Networking lunch in the exhibition area


AFTERNOON STREAMS

STREAM A

2:00 pm - 2:05 pm DEALING WITH DATA

STREAM A

2:05 pm - 2:25 pm What do good data management processes look like?
Olga Kokareva - Head of Data Sourcing and Strategy, Quantstellation
  • Significant work is required before a data set is fit for purpose, with months of analysis, tidying, infrastructure set up, fitting into algorithms and strategies without overfitting. What are the biggest stumbling blocks and how can they be avoided?
  • Internal comms between engineers and data scientists
  • Building internally vs vendor selection
  • Using ML in data processing and cleanup 

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Olga Kokareva

Head of Data Sourcing and Strategy
Quantstellation

STREAM A

2:25 pm - 2:35 pm Spotlight on data management
Sylvain Forté - Co-founder & CEO, SESAMm

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Sylvain Forté

Co-founder & CEO
SESAMm

STREAM A

2:35 pm - 2:45 pm Spotlight on data management

  • What are the ethics of good data practice and who is responsible for ensuring these are followed as data hungry algorithms process larger and larger quantities from more and more diverse sources?
  • Best data practices: where does the responsibility for the data you are using lie?
  • Evaluating the insider risk: has your purchased data set offered jigsaw pieces or the whole picture?
  • GDPR and regulatory risk: Has your data been anonymised? Does it meet data privacy requirements?

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Emmett Kilduff

Founder
Eagle Alpha

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Evan Reich

Head of Data Strategy and Sourcing
BlueMountain Capital Management

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Matthew Shoenthal

General Counsel & Chief Compliance Officer
M Science

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Stan Yakoff

Quant Compliance
Marshall Wace

STREAM B

2:00 pm - 2:05 pm QUANT & RISK METHODS


STREAM B

2:05 pm - 2:25 pm Practical Applications of Reinforcement Learning in the Investment Optimization Process
Edward Mitby - Senior AI Engineer, Vanguard
  • A major challenge for quantitative/systematic investing is identifying regime change.
  • Reinforcement learning solves for an optimal policy based on dynamically updated states.
  • How can reinforcement learning be used to tactically allocate asset classes based on changing macro investment regimes?

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Edward Mitby

Senior AI Engineer
Vanguard

  • How can you accurately predict in an undefined universe without overfitting?
  • Interpretability: Can you ever really trust a black box to make the right decisions without human understanding, and will the regulators agree?
  • Examining the success of your algorithm in different market conditions: have you correctly identified the relevant factors?
  • Coping with tail/extreme events: are you prepared for the unexpected?

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Alexander Fleiss

Founder & CEO
Rebellion Research

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George Mylnikov

VP, Head of Quantitative Research
Windhaven Investment Management

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Milind Sharma

CEO
QuantZ Capital Management

STREAM B

3:05 pm - 3:25 pm Bridging the gap: Leveraging academic theory and quantitative techniques in models for broad audiences
Stephanie Lo - Head of Quantitative Driven Research, State Street Securities Finance
Jian Wu - Trading Strategist, State Street Securities Finance
How do you develop research for a wide audience, from the fundamentals to the quants?
  • Alt Data + Quant Methods + PhDs/Quants/Academic Partners => Partnerships: academic  and business
  • Research approach: Academic/financial theory, alt data, and quant techniques 
  • Applied examples of our approach

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Stephanie Lo

Head of Quantitative Driven Research
State Street Securities Finance

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Jian Wu

Trading Strategist
State Street Securities Finance

STREAM C

2:00 pm - 2:05 pm UTILIZING CLOUD & OPEN SOURCE TECHNOLOGIES


STREAM C

2:05 pm - 2:25 pm Technology: The journey to the cloud
Andrew Janian - Head of Data Engineering, Two Sigma Investments
As acceptance for cloud increases, the questions become how to use and implement it.
  • Understanding the benefits of a cloud based infrastructure: scalability with flexibility
  • Data and storage improvements and forecasts
  • The disruptor’s take on cloud for AI: enabling David to compete with Goliath
  • Implementing cloud in your company and systems: pitfalls to be avoided

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Andrew Janian

Head of Data Engineering
Two Sigma Investments

STREAM C

2:25 pm - 2:45 pm The open source culture: why is the industry and this fund embracing a new age of openness?
Michael Beal - CEO, Data Capital Management
  • The merits of open source: culture: attracting talent, efficiencies and the hive mind
  • Considering the impact on your internal procedures
  • Is there a downside and how can this be mitigated?


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Michael Beal

CEO
Data Capital Management

STREAM C

2:45 pm - 3:25 pm Panel discussion: Quantum computing: Closer than ever – understanding the landscape, risks and opportunities
Michael Brett - CEO, QxBranch
Matt Johnson - CEO, QC Ware
  • How and why quantum computing will change the world of finance as we know it: can you trust the liquidity of your system should its very foundations change?
  • What is the current state of quantum computing and how is finance adopting the technology?
  • What will be the area of biggest impact within capital markets once quantum computing becomes a reality?
  • As a highly automated sector, how can Finance prepare for the changes?

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Michael Brett

CEO
QxBranch

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Matt Johnson

CEO
QC Ware

3:25 pm - 3:40 pm Networking refreshment break in the exhibition area

STREAM A

3:40 pm - 3:40 pm AI & DATA


STREAM A

3:40 pm - 4:00 pm The very latest AI developments machine learning for security selection and the dangers of overfitting
  • Data prep and feature engineering: Is the AI built over the data based on solid foundations?
  • Issues of overfitting and maximizing the signal to noise ratio
  • Evaluating your algorithm choice: what do you want to achieve?
  • Understanding fake signals: when machine learning fails

  • The risks of the person behind the AI/model: how to remove bias?
  • Coping with tail risks
  • Can you ever model all circumstances in an undefinable and constantly moving market?
  • How can AI measure a risk it hasn’t seen yet?
  • Balancing the compliance and risk demands of creating human understanding of complex models 
  • Overfitting: Have you applied diversification in your quant strategies? A variety of asset classes? Appropriate algorithm choices?
  • Would a failure of model or liquidity mean you have inappropriate risk management in place?

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Gary Kazantsev

Head of the Machine Learning Engineering Team
Bloomberg

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Zach Lipton

Assistant Professor, Machine Learning Department
Carnegie Mellon University

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Stefano Pasquali

Managing Director & Head of Liquidity Research Group
BlackRock

STREAM A

4:40 pm - 5:00 pm The critical issues of interpretability: understanding what it really means?
Zach Lipton - Assistant Professor, Machine Learning Department, Carnegie Mellon University
  • Underspecified and unclear: have you appropriately defined your model and the properties it satisfies?
  • Understanding causal structure: validating the decisions your machine made
  • Resilience and robustness: The importance of factoring in domain adaptation and distribution shift
  • Anomaly detection: quantifying and actively compensating by modifying your beliefs and constraints

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Zach Lipton

Assistant Professor, Machine Learning Department
Carnegie Mellon University

STREAM B

3:40 pm - 3:40 pm QUANT & RISK METHODS
Bruno Dupire - Head of Quantitative Research, Bloomberg

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Bruno Dupire

Head of Quantitative Research
Bloomberg

STREAM B

3:40 pm - 4:00 pm Portfolio model risk for systematic/ quant trading
Gordon Ritter - Former Senior Portfolio Manager, GSA Capital

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Gordon Ritter

Former Senior Portfolio Manager
GSA Capital

STREAM B

4:00 pm - 4:20 pm Developing macro predictions using alternative data
Apurv Jain - Visiting Researcher, Harvard Business School

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Apurv Jain

Visiting Researcher
Harvard Business School

STREAM B

4:20 pm - 4:40 pm ESG Quant methods: how can you develop a long only equity strategy that is more sustainable and creates a better world?
Maarten Smit - Senior Portfolio Manager, Quantitative Equities, APG Asset Management
  • How can your team of data scientists build a canopy tool that can automate NLP sustainable investment data sourcing and processing?
  • Building ESG factors and data into your models and investment approach

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Maarten Smit

Senior Portfolio Manager, Quantitative Equities
APG Asset Management

STREAM B

4:40 pm - 5:00 pm How your asset class will influence your quantitative methods
Dmitry Green - Chief Risk Officer, Mariner Investment Group
  • Evaluate the different approaches required based on the underlying asset class of your investment strategy
  • Understanding the different approaches to fixed income, equity, commodities and more
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Dmitry Green

Chief Risk Officer
Mariner Investment Group

STREAM C

3:40 pm - 3:40 pm CRYPTO/BLOCKCHAIN
Roland Fejfar - Executive Director, IBD Fintech,, Morgan Stanley



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Roland Fejfar

Executive Director, IBD Fintech,
Morgan Stanley

STREAM C

3:40 pm - 4:00 pm Generating Alpha from Crypto with systematic strategies
Amit Kaushik - Head of Quantitative Research and Portfolio Manager, Blockseed Investments
  • Systematic strategies as a hedge against a long-only strategy
  • A Crypto strategy with low correlation against BTC and CCi30
  • Small BTC exposure leads to a jump in the Sharpe ratio of a stock portfolio
  • Limits to arbitrage in a crypto strategy

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Amit Kaushik

Head of Quantitative Research and Portfolio Manager
Blockseed Investments

STREAM C

4:00 pm - 4:20 pm How can blockchain enable certain asset classes to become tradeable?
  • Understanding the benefits of a natively digital trading technology to maximise data and analytical capabilities
  • Practical applications in new asset classes such as syndicated loans
  • Its application within algorithms: removing the interpretability issue

STREAM C

4:20 pm - 4:40 pm The very latest AI & ML developments
Following a big focus on deep learning techniques, where might the use of AI techniques in finance go? Where are increases in computing power being directed by the big players and how might this impact investment management?

STREAM C

4:40 pm - 5:00 pm The very latest AI & ML developments
Following a big focus on deep learning techniques, where might the use of AI techniques in finance go? Where are increases in computing power being directed by the big players and how might this impact investment management?

KEYNOTES AND CLOSING PLENARY SESSIONS

5:00 pm - 5:20 pm Closing keynote: A vision of success for 2020

  • Hear members of our Advisory Board outline their vision for the coming year
  • Evaluate the most important factors for success and growth in the coming months
  • Preparing for the inevitable changes to the foundations of finance

5:20 pm - 5:30 pm Closing summary


5:30 pm - 5:30 pm Close of conference