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QuantMinds In Focus: 5 issues on the Quant agenda in 2021

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With 2021 well underway and the new-normal in full swing, at QuantMinds HQ we’ve been reviewing our learnings from 2020 and the feedback from the quant community to better inform the event programme for 2021.

Our first successful QuantMinds International digital event in October proved that there is no less appetite for knowledge in lockdown, with over 400 attendees tuning in to over 140 speakers delivering over 130 presentations across the week.

Since then we have polled our community to find out their focus for 2021 and we were not surprised with the top 5 issues that emerged:

Quant focus for 2021

As we now can’t get together again physically before December, but there is still just as much, if not more, research done and models defined, we are running a week of digital summits to focus on the key areas above.

Introducing QuantMinds in Focus

Artificial Intelligence & Machine Learning

Monday 24th May

“The bigger picture is that quant finance is being subsumed within machine learning; ML is having such big effect on all aspects of finance, but particularly on derivatives. There is so much to discuss around ML and it permeates through every topic on the quant agenda”

John Hull, Maple Financial Group Chair, Derivs. & Risk Management at Joseph L. Rotman School of Management, University Of Toronto

With AI now underpinning so many aspects of finance, one of the most well attended debates at QuantMinds 2020 considered the explainability of AI. This year the debate has moved on to further question how to benchmark, test, and indeed regulate these algorithms without sacrificing anonymity and the integrity of datasets used.

Alpha and Quant Investing

Tuesday 25th May

In 2020, we saw a great disparity in the performance between different managers, with the pandemic playing havoc with hitherto successful classical funds and manager set-ups. With increasing pressure to find alpha in a volatile market, manager strategies are evolving and quants are looking to AI and cost effective open source tools to find alpha.

Another key trend for 2021 is the shift in priority and imperative of implementing ESG criteria across investment strategies and the new challenge for quants is how to fit these criteria to quantitative strategies and better still, generate alpha.

Interest Rate & IBOR

Wednesday 26th May

When we surveyed the QuantMinds audience at the end of 2020, only 22% of the audience stated that they were well prepared for the transition and deadlines – it was clear that there is still much to be considered and we look forward to bringing practitioners together in May to tackle outstanding modelling questions and share solutions.

In May, we will have an update from Fabio Mercurio, Global Head of Quant Analytics, Bloomberg L.P. on his research into backward-looking rates and their application as a replacement for LIBOR.

Pricing, Trading and Volatility

Thursday 27th May

May 2021 will be the ideal time to review what has been learned from the volatility of 2020 and consider what will be the next generation of volatility models. Quants have been considering the impact on pricing of growing but less established assets such as crypto currencies.

Risk Management & Modelling

Friday 28th May

As much as the scale of the Covid-19 pandemic is unprecedented, pandemics will continue to arise and disrupt in the future. The question to be considered in May is how to balance pre-Covid historical data with the unique 2020 data and future expectations of disruption. Quant teams and risk managers have been re-considering model risk and looking to other sectors, such as insurance, to provide a fresh approach.

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QuantMinds In Focus

24 - 28 May 2021, BST (British Summer Time, GMT+1)
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