• Big Data: A revolution for financial markets and the asset management industry?

    Université Paris - Dauphine, Paris, France from 2017/03/08 to 2017/03/08

    Université Paris-Dauphine, March 8, 2017

    For some years now, the Big Data revolution is underway in the financial industry and is in everybody’s mind. For many, the question is no more whether to focus on Big Data but rather how not to miss innovations that promise to transform the financial markets quickly. This conference aims at understanding the implications of the Big Data revolution. How to survive as a quant and a trader as Big Data takes over? What changes asset managers must operate to adapt to this new technology? What are the regulation challenges? There are the important questions that our experts have been answering during the conference.

     

    Panel session: Big Data: A revolution for financial markets and the asset management industry?
    Chairman: Nicolas Doussinet ( Big Data Solution Manager & Big Data Architect)

    • Philippe Marie-Jeanne, Chief Risk Officer & Head of the Data innovation Lab at AXA France
    • Lucia Marin, Policy Desk Officer at ESMA
    • Jean-François Paren, Managing Director, Global Head of Markets Research at Credit Agricole CIB
    • Pierre-Alexandre Pautrat, Head of Global Markets, Risks, P&L and Finance ecosystem Bigdata community at Natixis

    Watch the short video  or the long one  Note that the two videos are in french.

    This conference was organised by the with the support of   , sponsored by ,  and organized 

  • 10th CSDA International Conference on Computational and Financial Econometrics (CFE 2016)

    Sevilla, Spain from 2016/12/10 to 2016/12/12

    Quantitative asset management, session C0309.

    S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI

    • Currency carry trade and the cross section of hedge fund returns, A. Becam, Université Paris-Dauphine
    • Joint inference on market and estimation risks in dynamic portfolios, J.M. Zakoian, CREST and Member of the QMI
    • Measuring hedge fund performance: A Markov regime-switching with false discoveries approach, G. Mero, Université Cergy - Pontoise and Member of the QMI
    • About the risks of alternative risk premia, Guillaume Monarcha, Orion Financial Partners

    Inference in time series volatility models, C0369

    J.-M. Zakoian, Chairman and organizer, CREST, Member of the QMI

    • Inferring volatility dynamics and risk premia from the S& P 500 and VIX markets E. Gourier, Queen Mary University of London
    • Cholesky-GARCH, theory and application to conditional beta S. Darolles, Université Paris-Dauphine, Member of the QMI
    • Goodness-of-fit tests for log and exponential GARCH models C. Francq, CREST and University Lille III
    • Noncausal heavy-tailed AR(p) processes S. Fries, CREST

    Managing liquidity, C0501

    Gaëlle Le Fol, Chairman and organizer, Université Paris-Dauphine, Member of the QMI

    • Event-studies and (endogenous) zero returns, F. Riva, Université Paris-Dauphine, Member of the QMI
    • Cholesky-GARCH, theory and application to conditional beta R. Sun, Université Paris-Dauphine
    • Financial market liquidity: Who is acting strategically, G. Le Fol, Université Paris-Dauphine, Member of the QMI
    • Multivariate Hawkes processes: A microscope for high-frequency order book dynamics S. M. Rambaldi, CMAP - Ecole Polytechnique
       
  • QMI Annual Research Conference

    Université Paris - Dauphine from 2016/02/23 to 2016/03/17

    The third QMI Annual Research Conference will explore and presente new findings on the following topics: Investment strategies, Liquidity and contagion, and more generally all subjects dealing with Portfolio and Risk Management. It will take place in the Université Paris-Dauphine in Paris.

  • 9th CSDA International Conference on Computational and Financial Econometrics (CFE 2015)

    London, UK from 2015/12/10 to 2015/12/12

    Statistical signal processing in asset management, session CS18.

    S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
    R. Molinero, Organizer, Molinero Capital Management

    • Using quantitative risk management as a trading tool in a commodities trading company, S. Boutaleb, Invivo Trading
    • A speculative volume based covariance model for currency portfolios, G. Bagnarosa, ESC Rennes
    • Serial correlation and time-varying liquidity in the hedge fund industry, A. Becam, Université Paris - Dauphine
    • Active risk-based investing, E. Jurczenko, Ecole Hotelière de Lausanne, Member of QMI

    Econometrics of dynamic portfolios and risk, C0540

    J.-M. Zakoian, Chairman and organizer, CREST, Member of the QMI
     

    • Real uncertainty and the zero lower bound, G. Rousselet, NYU Stern School of Business
    • Filtered historical simulations for estimating the conditional risk of a dynamic portfolio, C. Francq, CREST and University Lille III
    • Deep conditional portfolio sorts, B. Moritz, Ludwig Maximilian University of Munich
    • On the empirical saddlepoint approximation with application to asset pricing, B. Holcblat - BI Norwegian Business School
    • A speculative volume based covariance model for currency portfolios, G. Bagnarosa, ESC Rennes
    • Serial correlation and time-varying liquidity in the hedge fund industry, A. Becam, Université Paris - Dauphine
    • Active risk-based investing, E. Jurczenko, Ecole Hotelière de Lausanne, Member of QMI
  • 8th CSDA International Conference on Computational and Financial Econometrics (CFE 2014)

    Pisa, Italy from 2014/12/04 to 2014/12/06

    Liquidity and contagion, session CS17.

    G. Le Fol, Chairman and organizer, Université Paris – Dauphine, CREST, Scientific Director of the QMI
    S. Darolles, Organizer, Université Paris-Dauphine, CREST, Member of the QMI

    • Illiquidity transmission from spot to futures markets, E. Theissen, University of Mannheim
    • The determinants of ETF liquidity: theory and evidence from European markets, L. Deville, Universite de Nice Sophia Antipolis - Cnrs
    • Tracking illiquidities in daily and intradaily characteristics, G. Mero, Cergy Pontoise University, Member of the QMI
    • Non-synchronous market impact and hedge fund portfolio construction, S. Darolles, Université Paris - Dauphine, CREST, Member of the QMI

    Statistical signal processing in asset management, session CS18.

    S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
    R. Molinero, Organizer, Molinero Capital Management

    • Mixture of experts for binary classification: application to the S&P500 index prediction, M. Mitri, Ecole Polytechnique
    • Practical uses of signal processing in asset management, R. Molinero, Molinero Capital Management
    • Trend-following meets Risk-Parity, N. Baltas, UBS
    • Simulating and analyzing order book data: the queue-reactive model, M. Rosenbaum, University Pierre and Marie Curie, Member of QMI
    • On the joint dynamics of equity and bond - a no arbitrage dynamic asset pricing approach, L. Liu, University of Notre Dame, USA
  • 7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013)

    Senate House, University of London, London from 2013/12/14 to 2013/12/16

    Statistical signal processing applied to asset management, session CS17.

    S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
    E. Jay, Chairman, QamLab, Member of the QMI

    • Model for price and trades high-frequency dynamics, E. Bacry, CNRS, Ecole Polytechnique and Member of the QMI

     Liquidity Risk, session CS40.

    G. Le Fol, Chairman and organizer, Université Paris – Dauphine, CREST, Scientific Director of the QMI
    S. Darolles, Organizer, Université Paris-Dauphine, Member of the QMI

    • Large tick assets: Implicit spread and optimal tick size, M. Rosenbaum, , Member of the QMI
    • Liquidity risk estimation in conditional volatility models, S. Darolles, Université Paris - Dauphine, Member of the QMI
  • Institutional Management FORUM, Paris, March 2013

    Palais Brongniart, Paris from 2013/03/21 to 2013/03/22

    In collaboration with the Institut Louis Bachelier (ILB), Morningstar and the Financial Research and Innovation forum. The aim of this forum (Forum GI) was to offer a point of contact between academia, technological innovation and practical applications, so as to encourage experts and practitioners to think about financial mechanisms in a new way. Four members of the QMI participated in this initiative (in french):

     

    • Bacry, E. (X & QMI) “Modélisation de la dynamique haute fréquence du prix et des transactions ”
    • Jay, E. (QAMLab & QMI) “Méthodes Robustes de construction de portefeuilles ”
    • Le Fol, G. (Université Paris-Dauphine & QMI) “M-Liq: une méta mesure de liquidité
    • Jurczenko, E. (ESCP Paris & QMI) “Generalized-Based Investing”
  • 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012)

    Oviedo, Spain from 2012/12/01 to 2014/06/13

    Statistical signal processing applied to asset management, session CS17.
    S. Darolles, Chairman and organizer, Université Paris-Dauphine and CREST, Member of the QMI
    E. Jay, Chairman, QamLab, Member of the QMI

    Financial markets liquidity, session CS32.
    G. Le Fol, Chairman and organizer, Université Paris - Dauphine, Scientific Director of the QMI
    S. Darolles, Organisateur, Université Paris-Dauphine and CREST, Member of the QMI
     

  • Econometric Society European meeting (EEA-ESEM)

    Málaga (Andalucia, Spain) from 2012/08/27 to 2012/08/31

    Survival of Hedge Funds: Frailty vs Contagion
    S. Darolles, Université Paris - Dauphine and CREST, Member of the QMI

    Liquidity contagion a look at emerging market
    J. Dudek, CREST and Université Paris - Dauphine, Member of the QMI

    Tracking illiquidities in intradaily and daily characteristics
    G. Méro, Université Cergy - Pontoise, Member of the qmI

  • MATLAB Seminar

    Paris from 2012/03/20 to 2012/03/20

    The applications of Signal Treatment to Quantitative Management
    E. Jay, Chairman, QamLab, Member of the QMI

  • Institutional Management FORUM

    Paris from 2012/03/13 to 2012/03/14

    In collaboration with the Institut Louis Bachelier (ILB), Morningstar ran the Financial Research and Innovation forum. The aim of this forum was to offer a point of contact between academia, technological innovation and practical applications, so as to encourage experts and practitioners to think about financial mechanisms in a new way. Two members of the RI participated in this initiative.

    The applications of Signal Treatment to Quantitative Management
    E. Jay, Chairman, QamLab, Member of the QMI

    Presentation of the Major Research Themes of the QUANTVALLEY/FdR Research Initiative, Development of Quantitative Research
    F. Riva, IAE de Lille - LEM, Member of the QMI