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 at Refinitiv

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

  • 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

Matthew Granade, Chief Market Intelligence Officer & Managing Director at Point72

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?

  • 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
Tim Baker, Global Head of Applied Innovation at Refinitiv

Tim Baker

Global Head of Applied Innovation
Refinitiv

Lindsey Burik, Managing Director, Head of Electronic Trading Americas at Mizuho

Lindsey Burik

Managing Director, Head of Electronic Trading Americas
Mizuho

Brice Rosenzweig, Global Head of Data & Innovation Group at Bank of America Merrill Lynch

Brice Rosenzweig

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

Ingrid Tierens, Managing Director at Goldman Sachs

Ingrid Tierens

Managing Director
Goldman Sachs

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

  • 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?

Zura Kakushadze, President & CEO at Quantigic Solutions

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?
Tim Baker, Global Head of Applied Innovation at Refinitiv

Tim Baker

Global Head of Applied Innovation
Refinitiv

Mark Antonio Awada, Chief Risk & Data Analytics Officer at Alpha Innovations

Mark Antonio Awada

Chief Risk & Data Analytics Officer
Alpha Innovations

Alberto Cozzini, Head of Research and Senior Portfolio Manager at Devet Capital Management

Alberto Cozzini

Head of Research and Senior Portfolio Manager
Devet Capital Management

Joel Nathaniel Bloch, Founding Partner & Chief Risk Officer at Trinnacle Capital Management

Joel Nathaniel Bloch

Founding Partner & Chief Risk Officer
Trinnacle Capital Management

Daniel Sandberg, Director, Quantamental Research at S&P Global Market Intelligence

Daniel Sandberg

Director, Quantamental Research
S&P Global Market Intelligence

12:00 pm - 12:50 pm Panel discussion: Understanding the future contributions of AI, ML & data science in the end to end investment process

  • 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
Anthony Ledford, Chief Scientist at Man AHL

Anthony Ledford

Chief Scientist
Man AHL

Sameer Gupta, Head of Data Sourcing at Point72

Sameer Gupta

Head of Data Sourcing
Point72

Sarah Hoffman, VP, AI & Machine Learning Research at Fidelity Investments

Sarah Hoffman

VP, AI & Machine Learning Research
Fidelity Investments

Claudia Perlich, Senior Data Scientist at Two Sigma

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 at Crux Informatics

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?
  • 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 

Olga Kokareva, Head of Data Sourcing and Strategy at Quantstellation

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 at SESAMm

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 at Crux Informatics

Elizabeth Pritchard

Head of Go-to-Market
Crux Informatics

STREAM A

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

L.D Salmanson, Co-Founder at Cherre

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
  • 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?

Evan Reich, Head of Data Strategy and Sourcing at BlueMountain Capital Management

Evan Reich

Head of Data Strategy and Sourcing
BlueMountain Capital Management

Stan Yakoff, Adjunct Professor at Fordham University School of Law

Stan Yakoff

Adjunct Professor
Fordham University School of Law

Mark Zwillinger, Founder at ZwillGen

Mark Zwillinger

Founder
ZwillGen

STREAM B

1:50 pm - 1:55 pm QUANT & RISK METHODS


Stuart Kozola, Global Head of FinTech Products at MathWorks

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
  • 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?

Edward Mitby, Senior AI Engineer at Vanguard

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?

Alexander Fleiss, Founder & CEO at Rebellion Research

Alexander Fleiss

Founder & CEO
Rebellion Research

Javed Ashraf, Partner at Blackbox Alpha Management

Javed Ashraf

Partner
Blackbox Alpha Management

George Mylnikov, VP, Head of Quantitative Research at Windhaven Investment Management

George Mylnikov

VP, Head of Quantitative Research
Windhaven Investment Management

Milind Sharma, CEO at QuantZ Capital Management

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
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

Stephanie Lo, Securities Finance QDR at State Street Associates

Stephanie Lo

Securities Finance QDR
State Street Associates

Jian Wu, Trading and Algorithmic Strategies at State Street Global Markets, Securities Finance

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 at Hentsū

Marko Djukic

CEO & Founder
Hentsū

STREAM C

1:55 pm - 2:15 pm Technology: The journey to the cloud
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

Andrew Janian, Head of Data Engineering at Two Sigma Investments

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?
  • 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?


Michael Beal, CEO at Data Capital Management

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
  • 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?

Michael Brett, CEO at QxBranch

Michael Brett

CEO
QxBranch

Paul Burchard, Managing Director, Technology Division at Goldman Sachs

Paul Burchard

Managing Director, Technology Division
Goldman Sachs

Yianni Gamvros, Head of Business Development at QC Ware

Yianni Gamvros

Head of Business Development
QC Ware

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

STREAM A

3:50 pm - 3:55 pm AI & DATA


Pavan Arora, Former Chief Data Officer & Director at IBM Watson

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 at Alpha Beta Investments

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?

Pavan Arora, Former Chief Data Officer & Director at IBM Watson

Pavan Arora

Former Chief Data Officer & Director
IBM Watson

Gary Kazantsev, Head of the Machine Learning Engineering Team at Bloomberg

Gary Kazantsev

Head of the Machine Learning Engineering Team
Bloomberg

Zach Lipton, Assistant Professor, Machine Learning Department at Carnegie Mellon University

Zach Lipton

Assistant Professor, Machine Learning Department
Carnegie Mellon University

Stefano Pasquali, Managing Director & Head of Liquidity Research Group at BlackRock

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?
  • 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

Zach Lipton, Assistant Professor, Machine Learning Department at Carnegie Mellon University

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 at Bloomberg

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 at GSA Capital

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 at Harvard Business School

Apurv Jain

Visiting Researcher
Harvard Business School

STREAM B

4:35 pm - 4:55 pm Putting AI to work for long-term sustainable investing
  • 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

Maarten Smit, Senior Portfolio Manager, Quantitative Equities at APG Asset Management

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
  • 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
Dmitry Green, Chief Risk Officer at Mariner Investment Group

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 at Bank of America Merrill Lynch

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
  • 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

Amit Kaushik, Head of Quantitative Research and Portfolio Manager at SciFeCap

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?
  • 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

Ksenia Semenova, Chief Marketing and Business Development Officer at Cindicator

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 at AllianceBernstein

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