Battle of the Quants
Battle of the Quants
27 Mar 2012 - 28 Mar 2012
Website: click here
Tuesday, March 27th 8:00 Quantitative Capital Introduction Roundtable (Investors Only)
10:15 Welcoming Coffee, Opening Remarks and QUANT: “The Movie” Trailer Preview
10:20 Keynote Address: “The State of the Quants”
10:50 The Main Battle: Man vs. Machine (Humanizing the Machine or Automating the Man)
The panel will consist of two viewpoints on how best to generate alpha in trading strategies. The intellectual discussion will examine the success of systematic strategies relative to those of human discretionary decision making. Are humans or machines best at generating superior returns? Or, perhaps, is a “Quantamental” solution the answer?
11:20 Quantitative Investor Panel: The Other side of Alpha!
Determining the right benchmark for quantitative strategies is a critical issue for investors in determining alpha. Without a clear benchmark, we cannot determine Alpha. Once determined, can we assess whether the source(s) of that alpha are sustainable. Like fishing the oceans, is there a point at which excess alpha hurts future alpha as the source(s) decline or perish? Or is it possible that there are natural forces present in the market which produce an alpha equilibrium, limiting the harvesters and protecting the source.
11:50 Systematic Models Issue of the Day: Would you ever override your Trading System? This is an increasingly relevant issue to investors in systematic trading because unexpected and unusual market moves are becoming de rigueur in today’s financial markets. The issue is highlighted in a recent WSJ article “Computer-driven traders are learning that sometimes you just have to go with your gut. Big currency hedge funds ... are tweaking, and in some cases overriding, computer models ... this year. These models, which tell traders when to buy and sell based on factors such as market trends and economic reports, sometimes require weeks' worth of data before they spit out the right trading strategy. That wait has proved a liability lately amid a series of sudden and unexpected events that have whipsawed the euro by cents at a time...”
12:30 Networking Luncheon
1:15 Afternoon Keynote: Artificial Intelligence: The Time has Come!
Has the promise of Artificial Intelligence made decades ago finally been achieved in hedge funds? If markets are driven by fear and greed, can AI systems incorporate emotion? Will humans be relegated to being behind the scenes programmers of trading machines? AI systems such as IBM Watson are able to interpret trillions of bytes of data accessible through the internet in seconds and rendering confidence level answers. Is this a tool or a replacement for humans? When will we see the impact or are we already?
1:45 High Frequency Trading – The Most Successful HFT Strategies Now and in the Future
This panel will approach the issue of High Frequency Trading from the quantitative strategies’ perspective and how quantitative strategies can leverage the super high speeds offered by HFT methods.
2:30 Texts, Tweets, Twits – How is Market Sentiment Analysis of Value in Quantitative Trading
Quants are frequently reminded of the lack of a computers’ ability to interpret text news stories (as the human mind can) and have those stories reflected appropriately in the trading process. Significant capital and intelligence has been poured into developing news reading algorithms, measuring new social media interactions for sentiment and even creating information arbitrage strategies, all to gain predictive capabilities in market moves. Several solutions are generating significant success for quant funds. What is behind the technology and how can the solution enhance an existing model.
3:15 Networking Break
3:45 Investing in Quant Strategies; UCITS, Managed Accounts or Direct – Pros and Cons
Many avenues are available to the investor for allocations to quantitative based Hedge Funds. Experts will discuss the different vehicles and why, when buying a quant based fund, how you invest will have an impact on the control and safety of the assets. Also, the panel takes a closer look at why quant funds have a unique ability to rapidly qualify for the UCITS platform.
4:20 Unexpected and Sudden Severe Market Shocks: Which Quantitative Strategy is Best
Equipped to Stem Losses.
Unexpected market gyrations are becoming more frequent than ever expected. Investors are increasingly asking how managers’ quantitative strategies are prepared to preserve capital and stem losses during severe market moves. This panel will examine the strategies that are best positioned and architected for these challenging times.
5:00 Cocktail Networking Reception 6:00 Battle of the Quants Awards Gala Dinner (The FIRST NYC Quant Awards Celebration) 9:00 End of Day 1
Day 2 March 28th
8:00 Quant Hedge Fund CIO Breakfast (Invitation Only) 10:00 Welcoming Coffee
10:15 Keynote Address “How to Secure a Seat into Earth’s Orbit”
Sentiment Analysis Morning
10:45 Sourcing Data for Sentiment Analysis Models: News vs. Social Networking
Is news the best sentiment resource because of traditional reliable somewhat unbiased news reporting or are the millions of tweets, twits, facebook comments and Blogs more reflective of sentiment? 11:30 Trading on the Sentiment Data: Exclusive and as an additional Factor Model? Are implementations for sentiment trading engines based exclusively on the data input from one source of sentiment or simply a marginal factor model amongst many.
11:30 What Works? How have Quant Funds fared with this new concept of reading the market?
We examine the successes and failures in how to best implement this technology. What will be the next source of gauging sentiment come along that are more accurate? Have models fully exploited the information available today.
12:20 Networking Lunch
High Frequency Trading Afternoon 1:00 Afternoon Keynote “The Death of High Frequency Trading”
1:40 The “Pico” Second and the Race to the Bottom.
This panel will examine the incredible speeds being achieved by UHFT systems and where this will take the industry and who will be the winners. As speed becomes paramount for the well healed hedge funds, why are other players changing their strategy and opting for slower speeds. Will they be able to make money? If so how?
2:15 Is the Real Race to Zero Latency, or Consistent Latency?
Will your HFT system function as quickly when everyone is racing to the door? How can you architect a system that will ensure consistent latency? 3:00 Regulation and Ethics of HFT On everyone’s mind, what are the regulators thinking?
3:45 Afternoon Networking Coffee Break
4:15 The Future of High Frequency Trading and the Impact on the Global Financial System What are the challenges as next generation technology innovation accelerates. 5:00 Networking Cocktail Party
7:30 End of Conference