Conference Day Two: March 20 2019

8:00 am - 8:50 am Welcoming tea, coffee and registration

KEYNOTES & OPENING PLENARY SESSIONS

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

Tim Baker - Global Head of Applied Innovation, Refinitiv
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Tim Baker

Global Head of Applied Innovation
Refinitiv

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

  • 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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Tim Baker

Global Head of Applied Innovation
Refinitiv

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Lindsey Burik

Managing Director, Head of Electronic Trading Americas
Mizuho

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Brice Rosenzweig

Global Head of Data & Innovation Group
Bank of America Merrill Lynch

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Ingrid Tierens

Managing Director
Goldman Sachs

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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Tim Baker

Global Head of Applied Innovation
Refinitiv

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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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Joel Nathaniel Bloch

Founding Partner & Chief Risk Officer
Trinnacle Capital Management

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Daniel Sandberg

Director, Quantamental 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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Anthony Ledford

Chief Scientist
Man AHL

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Sameer Gupta

Head of Data Sourcing
Point72

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Sarah Hoffman

VP, AI & Machine Learning Research
Fidelity Investments

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Claudia Perlich

Senior Data Scientist
Two Sigma

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


AFTERNOON STREAMS

STREAM A

1:50 pm - 1:55 pm DEALING WITH DATA
Elizabeth Pritchard - Head of Go-to-Market, Crux Informatics

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Elizabeth Pritchard

Head of Go-to-Market
Crux Informatics

STREAM A

1:55 pm - 2:15 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

2:15 pm - 2:25 pm Spotlight on data management
Sylvain Forté - Co-founder & CEO, SESAMm

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Sylvain Forté

Co-founder & CEO
SESAMm

STREAM A

2:25 pm - 2:35 pm Spotlight on data management
Elizabeth Pritchard - Head of Go-to-Market, Crux Informatics

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Elizabeth Pritchard

Head of Go-to-Market
Crux Informatics

STREAM A

2:35 pm - 2:45 pm Spotlight on data management
L.D Salmanson - Co-Founder, Cherre
  • From raw data to actionable signal - programmatic use of data requires a clean and streamlined data pipeline, otherwise it's garbage in garbage out.
  • "Real-time" vs Streaming data - overhead and practicality considerations.
  • Programmatic source management and evaluation - data sources continue to expand, and discovery and testing for signal needs to be programmatic.
  • Data fusion as a service - manual processes are not scalable, and automated approaches have to be utilized.
  • Red flags - signs that you have a bad process at scale.

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L.D Salmanson

Co-Founder
Cherre

STREAM A

2:45 pm - 3:25 pm Panel discussion: Effectively navigating the potential legal and regulatory risk associated with alt data sets
Evan Reich - Head of Data Strategy and Sourcing, BlueMountain Capital Management
Stan Yakoff - Adjunct Professor, Fordham University School of Law
Mark Zwillinger - Founder, ZwillGen
  • 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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Evan Reich

Head of Data Strategy and Sourcing
BlueMountain Capital Management

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Stan Yakoff

Adjunct Professor
Fordham University School of Law

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Mark Zwillinger

Founder
ZwillGen

STREAM B

1:50 pm - 1:55 pm QUANT & RISK METHODS
Stuart Kozola - Global Head of FinTech Products, MathWorks


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Stuart Kozola

Global Head of FinTech Products
MathWorks

STREAM B

1:55 pm - 2:15 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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Javed Ashraf

Partner
Blackbox Alpha Management

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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 - Securities Finance QDR, State Street Associates
Jian Wu - Trading and Algorithmic Strategies, State Street Global Markets, 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

Securities Finance QDR
State Street Associates

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Jian Wu

Trading and Algorithmic Strategies
State Street Global Markets, Securities Finance

STREAM C

1:50 pm - 1:55 pm UTILIZING CLOUD & OPEN SOURCE TECHNOLOGIES
Marko Djukic - CEO & Founder, Hentsū


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Marko Djukic

CEO & Founder
Hentsū

STREAM C

1:55 pm - 2:15 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

2:15 pm - 2:35 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

2:35 pm - 3:25 pm Panel discussion: Quantum computing: Closer than ever – understanding the landscape, risks and opportunities
Michael Brett - CEO, QxBranch
Paul Burchard - Managing Director, Technology Division, Goldman Sachs
Yianni Gamvros - Head of Business Development, 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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Paul Burchard

Managing Director, Technology Division
Goldman Sachs

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Yianni Gamvros

Head of Business Development
QC Ware

3:25 pm - 3:50 pm Networking refreshment break in the exhibition area



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Pavan Arora

Former Chief Data Officer & Director
IBM Watson

STREAM A

3:55 pm - 4:15 pm Cutting edge applications of AI
Mohsen Chitsaz - Founder & Chief Investment Officer, Alpha Beta Investments


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Mohsen Chitsaz

Founder & Chief Investment Officer
Alpha Beta Investments

  • 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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Pavan Arora

Former Chief Data Officer & Director
IBM Watson

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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

4:55 pm - 5:15 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

3:50 pm - 3:55 pm QUANT & RISK METHODS
Bruno Dupire - Head of Quantitative Research, Bloomberg

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Bruno Dupire

Head of Quantitative Research
Bloomberg

STREAM B

3:55 pm - 4:15 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

4:15 pm - 4:35 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

4:35 pm - 4:55 pm Putting AI to work for long-term sustainable investing
Maarten Smit - Senior Portfolio Manager, Quantitative Equities, APG Asset Management
  • Innovation to maximize pension value: returns, risk, costs, and ESG
  • Building and integrating ESG factors and data into your models and investment approach
  • How to set up and organize an effective data science capability

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Maarten Smit

Senior Portfolio Manager, Quantitative Equities
APG Asset Management

STREAM B

4:55 pm - 5:15 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

3:50 pm - 3:55 pm NEW APPLICATIONS FOR ML/DEEP LEARNING
Benoit Mondoloni - Head of PB Analytics, Bank of America Merrill Lynch



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Benoit Mondoloni

Head of PB Analytics
Bank of America Merrill Lynch

STREAM C

3:55 pm - 4:15 pm Generating Alpha from Crypto with systematic strategies
Amit Kaushik - Head of Quantitative Research and Portfolio Manager, SciFeCap
  • 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
SciFeCap

STREAM C

4:15 pm - 4:35 pm How can blockchain enable certain asset classes to become tradeable?
Ksenia Semenova - Chief Marketing and Business Development Officer, Cindicator
  • 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

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Ksenia Semenova

Chief Marketing and Business Development Officer
Cindicator

STREAM C

4:35 pm - 5:15 pm Time series forecasting utilizing deep learning techniques
Jeffrey Yau - Chief Data Scientist, AllianceBernstein

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Jeffrey Yau

Chief Data Scientist
AllianceBernstein

KEYNOTES AND CLOSING PLENARY SESSIONS

5:15 pm - 5:30 pm Closing summary


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