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Main Conference Day 3
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Main Conference Day 3
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Streams
Formats
08:30 - 09:0030 mins
Registration & welcome coffee
09:00 - 09:055 mins
Plenary
Chair's opening remarks
09:05 - 09:4540 mins
Plenary
Machine learning: Separating fact from fiction
- Marcos López de Prado - Global Head - Quantitative Research & Development, ABU DHABI INVESTMENT AUTHORITY
09:45 - 10:0015 mins
Plenary
Short break
10:00 - 10:3030 mins
Plenary
Lessons on Decision Making from a Poker Champion
- Liv Boeree - Poker Champion, Strategic Thinker, Broadcaster & Founder, Raising for Effective Giving
10:30 - 10:4515 mins
Plenary
Short break
10:45 - 11:1530 mins
Plenary
How can Formula 1 help?
- Peter van Manen - Former Managing Director, McLaren Applied Technologies Limited
11:15 - 11:4530 mins
Morning coffee & networking break
11:45 - 11:505 mins
A: FX, Commodities & Trading Innovations
Chairs opening remarks
11:45 - 11:505 mins
B: Risk Management & Liquidity
Chair’s opening remarks
11:45 - 11:505 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Chair's opening remarks
11:50 - 12:2030 mins
A: FX, Commodities & Trading Innovations
One step forwards, one step back: Finite difference algebras and perfect discretization
- Peter Austing - Quantitative Researcher, Eisler Capital
11:50 - 12:2030 mins
B: Risk Management & Liquidity
Liquidity at Risk: joint modeling of liquidity and solvency risk
- Rama Cont - Chair of Mathematical Finance, University of Oxford
11:50 - 12:2030 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Applications of machine learning to portfolio allocation
- Richard Turner - Head of Research, Currency Alpha, Mesirow Financial
12:20 - 12:3515 mins
A: FX, Commodities & Trading Innovations
Short break
12:20 - 12:3515 mins
B: Risk Management & Liquidity
Short break
12:20 - 12:3515 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Short break
12:35 - 13:0530 mins
A: FX, Commodities & Trading Innovations
Fourier-based methods for the management of complex insurance products
- Laura Ballotta - Reader in Financial Mathematics, Cass Business School
12:35 - 13:0530 mins
B: Risk Management & Liquidity
Pricing & hedging under uncertainty
- Nadhem Meziou - Head of Fixed Income Quantitative Research, Natixis
12:35 - 13:0530 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Quantitative Investment Strategies – Where to look next?
- Sandrine Ungari - Head of Cross-Asset Quantitative Research, SGCIB
13:05 - 14:0055 mins
A: FX, Commodities & Trading Innovations
Lunch
13:05 - 14:0055 mins
B: Risk Management & Liquidity
Lunch
13:05 - 14:0055 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Lunch
14:00 - 14:3030 mins
A: FX, Commodities & Trading Innovations
Opportunities in FI/FX hedging with the cross currency basis
- Jessica James - Managing Director, Senior Quantitative Researcher, Commerzbank AG
14:00 - 14:3030 mins
B: Risk Management & Liquidity
Risk Parity in a Regime Switching Context
- Chris Kelliher - Quantitative Analyst, Global Asset Allocation team, Fidelity Investments
14:00 - 14:3030 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Bond curve modelling
- Paul McCloud - Head of Global Fixed Income Quantitative Research’, Nomura
14:30 - 14:4515 mins
A: FX, Commodities & Trading Innovations
Short break
14:30 - 14:4515 mins
B: Risk Management & Liquidity
Short break
14:30 - 14:4515 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Short break
14:45 - 15:1530 mins
A: FX, Commodities & Trading Innovations
A Lognormal Type Stochastic Volatility Model With Quadratic Drift
- Sander Willems - Quantitative Analyst, NatWest Markets
14:45 - 15:1530 mins
B: Risk Management & Liquidity
IM forecast quality: certain uncertainties and uncertain certainties
- Vladimir Chorniy - Senior Technical Lead, BNP Paribas
- Sergii Arkhypov - Risk Specialist, .
14:45 - 15:1530 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Yield Curve Forecasting: Aspects of Mathematical Finance and Computational Statistics
- Daniel Zimarev - Financial Engineer, Killik & Co
15:15 - 15:3015 mins
A: FX, Commodities & Trading Innovations
Short break
15:15 - 15:3015 mins
B: Risk Management & Liquidity
Short break
15:15 - 15:3015 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Short break
15:30 - 16:0030 mins
A: FX, Commodities & Trading Innovations
Modeling Energy Forward Curves in the Framework of the Reproducing Kernel Hilbert Spaces
- Valery Kholodnyi - Pauli Fellow, Wolfgang Pauli Institute
15:30 - 16:0030 mins
B: Risk Management & Liquidity
Full Probabilistic Control for Direct, Robust, Systematic and Targeted Stressing of the Correlation Matrix
- J.D. Opdyke - VP-Head of Enterprise Risk Analytics, Allstate
15:30 - 16:0030 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Interpretable ML for fundamental analysis during extreme event
- Maxim Kartamyshev - Quant, Norges Bank Investment Management
16:00 - 16:3030 mins
Afternoon tea & networking break
16:30 - 17:0030 mins
A: FX, Commodities & Trading Innovations
Exploring neural networks for pricing and calibration of stochastic volatility and term structure models
- Jörg Kienitz - Lecturer, Faculty of Mathematics, Bergische Universität Wuppertal and University of Cape Town
16:30 - 17:0030 mins
B: Risk Management & Liquidity
An Arbitrage Free Surface in the Model Free Space
- Alexander Skabelin - Quantitative finance manager, Bank of America
16:30 - 17:0030 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Reinforcement Learning for Optimal Execution in the Limit Order Book
17:00 - 17:1515 mins
A: FX, Commodities & Trading Innovations
Short break
17:00 - 17:1515 mins
B: Risk Management & Liquidity
Short break
17:00 - 17:1515 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Short break
17:15 - 17:4530 mins
A: FX, Commodities & Trading Innovations
Local Stochastic Volatility Numerics
- Nic Hutchings - Executive Director, Morgan Stanley
- Yaroslav Melnyk - Quantitative Analyst, FX derivatives modelling team, Morgan Stanley
17:15 - 17:4530 mins
B: Risk Management & Liquidity
Do we need to update our models after the crisis?
- Robert Carver - Visiting Lecturer, Queen Mary, University of London
17:15 - 17:4530 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
How AI discovered Large-Scale Pair-Trading on S&P500?
- Kamer Ali Yuksel - Chief Data Scientist, hawk:AI
17:45 - 17:505 mins
A: FX, Commodities & Trading Innovations
Chair’s closing remarks
17:45 - 17:505 mins
B: Risk Management & Liquidity
Chair's closing remarks
17:45 - 17:505 mins
C: QuantMinds Alpha - Algo Trading, E-trading & Machine Learning
Chair's closing remarks
17:50 - 19:0070 mins
Networking reception and roundtable discussions
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