• Big Data & Finance

    University of Toronto from 2016/08/30 to 2016/11/14

    New Challenges for Big Data in Economics and Finance

    Fileds Institute, University of Toronto, November 11-12, 2016

    The recent increase of computational technology allows for collection of "Big data". "Big data" is a term for data set that is so large or complex that traditional methods of analysis are inadequate. The goal of this conference is to bring expert from economics and finance to discuss the challenges that large data sets present, the questions such data might help us answer, and present the new avenues of research related to this issue.
     

    Preliminary Program

    Friday, November 11th

    9:00-10:20 Networks.
    Chairman: Prosper Dovonon (Concordia Univ.)
    - Stephane Gaiffas (Ecole Polytechnique): "Introduction to Machine Learning, Application to Hawkes Processes".
    - Yves Atchadé (University of Michigan): "Bayesian Inference of Exponential Random Graph Models for Large Social Networks".
    10:20-10:50  Coffee break
    10:50-12:10  Marketing
    Chairman: Victor Aguirregabiria (Univ. of Toronto)
    Sanjog Misra (Chicago Booth): "Big Data and Marketing Analytics in Gaming: Combining Empirical Models and Field Experimentation".
    - Christian Gouriéroux (Univ. of Toronto & QMI): "Double IV Estimation of Factor Model with Application to Big Data".
    12:10-13:20 Lunch break
    13:20-14:40 Statistical Inference
    Chairman: René Garcia (Univ. Montréal)
    Nancy Reid (Univ. of Toronto): "Approximate Likelihoods"
    - Ivana Komunjer (Univ. California San Diego): "Statistical Inference on Manifolds".
    14:40-16:00 Asset Management
    Chairman: Angelo Melino (Univ. of Toronto)
    Ronnie Sadka (Boston College): "What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?".
    - Serge Darolles (Univ. Paris – Dauphine & QMI): "Liquidity Risk and Investor Behavior: Issues, Data and Models".
    16:00-16:20 Coffee break
    16:20-17:20

    Panel session: big data opportunities and challenges  
    Chairman: Gaëlle Le Fol (Univ. Paris – Dauphine & QMI)
    Hicham Hajhamou, AQR
    - Axel Pierron, Opimas
    - Ronnie Sadka, Boston College

    18:30-20:30 Dinner


     

    Saturday, November 12th

    9:00-10:20  Causal inference 
    Chairman : Yuanyuan Wan (Univ. of Toronto)
    - Ivan Fernandez-Val (Boston University): "Program Evaluation and Causal Inference with High-Dimensional Data".
    Alberto Abadie (Harvard University): "The Risk of Machine Learning"
    10:30-11:00 Coffee break
    11:00-12:30  Factor Models
    Chairman: Silvia Goncalves (Univ. of Western Ontario)
    - Marc Hallin (Univ. Libre de Bruxelles): "Networks, dynamic factors, and the volatility analysis of high-dimensional
    nancial series
    ".
    - Jianqing Fan (Princeton Univ.): "Validating Market Risk Factors and Forecasting Bond Risk Premia using Innovated Factor Models".
    12:30-14:00 Lunch break
  • Singapore Workshop 2015

    ESSEC Asia-Pacific, 2, One-North Gateway, Singapore 138502 from 2015/12/10 to 2015/12/15

    Systemic Risk

    At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes.

    This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with the support of Unigestion, CFA Society of the UK and UBS. It will take place: LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ, Thursday 5 November.

    FRIDAY, 11 DECEMBER 2015

    9.00am – 9.25am: Registration

    9.25am–9.30am: Welcome address

    Martine Bronner , Dean of ESSEC Asia-Pacific

    9.30am–10.30am: Keynote Speech

    Chair: Jun Yu (Singapore Management University)

    - Peter C. B. Phillips (Yale University): Asymptotics of the HP Smoother

    10.30am – 11.00am: Coffee Break

    11.00am–12.30pm: Contributed Session 1

    Chair: Cheng Liu (Wuhan University)

    - Serge Darolles (Université Paris – Dauphine & QMI): Contagion and Systematic Risk: an Application to the Survival of Hedge Funds
    - Laura Parisi (Universita di Pavia): Modeling Systemic Risk with Correlated Stochastic Processes
    - Cheng Liu (Wuhan University): A Combination of Low and High Frequency Data in Portfolio Study

    12.30pm – 1.30pm: Lunch Break

    1.30pm –3.30pm: Contributed Session 2

    Chair: Haoxi Yang (Nankai University)

    - Xingguo Luo (Zhejiang University): The Dynamic Correlations among the G7 and China: Evidence from both Realized and Implied Volatilities
    - Michael Stutzer (University of Colorado): Entropy in Financial Contagion Research
    - Haoxi Yang (Nankai University): Implications of Returns Predictability across Horizons for Asset Pricing Models
    - Jeroen Rombouts (ESSEC Business School and CREST): Sparse Change-Point Time Series Models

    3.30pm – 4.00pm: Coffee Break

    4.00pm–5.30pm: Invited Session 1

    Chair: Junye Li (Essec Business School)

    - Christian Brownlees (Universitat Pompeu Fabra): Community Detection in Partial Correlation Networks
    - Yoosoon Chang (Indiana University): A New Approach to Regime Switching

    7pm – 9.00pm: Conference Dinner

    Venue : The Halia at Botanic Gardens

    SATURDAY, 12 DECEMBER 2015

    9.30am–10.30am: Keynote Speech

    Chair: Andras Fulop (Essec Business School)

    - Yacine Ait-Sahalia (Princeton University): A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

    10.30am – 11.00am: Coffee Break

    11.00am–12.30pm: Contributed Session 3

    Chair: Yalin Gunduz (Deutche Bundesbank)

    - Jun Kyung Auh (Georgetown University): The Role of Margin and Spread in Secured Lending: Evidence from the Bilateral Repo Market
    - Yalin Gunduz (Deutche Bundesbank): Mitigating Counterparty Risk
    - Jun Yu and Liang Jiang (Singapore Management University): New Methodology for Constructing Real Estate Price Indices Applied to the Singapore Residential Market

    12.30pm – 1.30pm: Lunch Break

    1.30pm –3.30pm: Contributed Session 4

    Chair: Ser-Huang Poon (Manchester Business School)

    - Francesco Violante (Aarhus University): Modelling dynamics of variance risk premia
    - Ser-Huang Poon (Manchester Business School): News Analyses of International Stock Markets Jumps
    - Andras Fulop (Essec Business School): Parameter Uncertainty, Volatility Dynamics and Variance Risk Premium Estimation
    - Tao Huang (Shanghai Advanced Institute of Finance): R&D Information Quality and the Cross-Section of Stock Returns

    3.30pm – 4.00pm: Coffee Break

    4.00pm–5.30pm: Invited Session 2

    Chair: Gaëlle Le Fol (Université Paris – Dauphine & QMI)

    - Jin-Chuan Duan (National University of Singapore): Non-Gaussian Bridge Sampling with an Application
    - Joon Y Park (Indiana University): Econometric Analysis of Continuous Time Asset Pricing Models

  • London 2015 Workshop

    LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ from 2015/10/01 to 2015/10/23

    Risk Based and Factor Investing

    November 5, 2015

    At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes.

    This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with the support of Unigestion, CFA Society of the UK and UBS. It will take place: LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ, Thursday 5 November.

    8.30am – 9.00am: Registration

    9.00am–9.30am: Opening address

    Alex Michaelides, Imperial College Business School
    Emmanuel Jurczenko, EHL and QMI
    Fiona Frick, Unigestion
    David Jessop, UBS

    9.30am–11.00am: Risk-based portfolio construction – session 1

    Chair: David Jessop (UBS)

    - Thierry Roncalli (Lyxor Asset Management): Smart beta : choosing the right diversification constraint in minimum variance portfolios
    Discussion: Marie Brière (Amundi)
    - Jérôme Teiletche (Unigestion): Risk-based investing but what risks?
    Discussion: Daniel Giamouridis (Athens University of Economics and Business)

    11.00am – 11.15am: Coffee Break

    11.15am–12.45pm: Risk-based portfolio construction – session 2

    Chair: Jérôme Teiletche (Unigestion)

    - Nick Baltas (UBS): Trend-following meets risk-parity
    Discussion: Rafael Molinero (Molinero Capital Management)
    - Bernd Scherer (Deutsche Bank Asset Management): Frictional diversification costs : evidence from a panel of fund of hedge fund holdings
    Discussion: Thierry Michel (Lombard Odier)

    1.00pm – 2.00pm: Lunch Break

    2.15pm–4.15pm: Factor investing session

    Chair: Gaëlle Le Fol (Université Paris – Dauphine and QMI)

    - Raul Leote de Carvalho (BNP Paribas Investment Partners): Low risk anomaly everywhere : evidence from equity sectors
    Discussion: James Sefton (Imperial College)
    - Felix Goltz (ERI Scientific Beta, EDHEC Risk Institute): Designing multi-factor equity portfolios
    Discussant: Michael Steliaros (Bank of America Merrill Lynch)
    - Serge Darolles (Université Paris-Dauphine & QMI): Robust allocation with systematic risk contribution restrictions
    Discussion: Tristan Froidure (TOBAM)

    4.15pm – 4.45pm: Coffee Break

    4.45pm–5.45pm: Define and implement factor investing: panel session

    Moderator: Barbara Petitt (CFA Institute)

    - David Buckle (Fidelity)
    - David Jessop (UBS)
    - Alexei Jourovski (Unigestion)
    - Lise Renelleau (Axa Investment Managers)

    5.45pm – 7.00pm: Cocktail

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  • Venice Workshop

    Ca' Foscari University of Venice, Auditorium Santa Margherita, Campo Santa Margherita, Dorsoduro 3689, Venezia from 2014/05/16 to 2014/05/16

    Diversification & Risk

    May 16, 2014

    At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic  papers on this theme and discussed during the panel session that will follow.


    This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and Finance (ICEF) of the Ca' Foscari University of Venice, with the support of Euronext and CFA Society Italy.


     

    CFA Society Italy has determined that this program qualifies for 3,5 CE credit hours under the guidelines of the CFA Institute Continuing Education Program.

     

     

    1.45pm – 2.00pm: Registration

    2.00pm–4.00pm: Academic Presentations

    Chair: Arnaud Chretien (Founder & CIO, Aequam & President, QuantValley)

    - Monica Billio (University of Venice): Diversification and Systemic Risk
    - Serge Darolles (Université Paris-Dauphine & QMI): The Hidden Risks of Smart Indices
    - Emmanuel Jurczenko (ESCP Europe & QMI): Generalized Risk Based Investing
    - Attilio Meucci (KKR & SYMMYS): (Re)Defining and Managing Diversification

    4.00pm – 4.30pm: Coffee Break

    4.30pm – 5.15pm: Keynote Speech

    Robert Fernholz (Founder and Chairman of the Investment Committee, INTECH)
    Diversification, Volatility and "Surprising Alpha"

    5.15pm – 6.30pm: Panel Session

    Moderator: Christian Gouriéroux (CREST, University of Toronto & QMI)

    - Daniele Bernardi (Owner, Diaman SCF)
    - Yves Choueifaty (CEO, TOBAM)
    - Gianluca Oderda (Head of Quantitative Investments, Ersel Asset Management SGR S.p.A.)
    - Vassilios Papathanakos (Deputy Chief Investment Officer, INTECH)

    6.30pm – 7.30pm: Cocktail

  • London Workshop

    NYSE EURONEXT, Cannon Bridge House, 1 Cousin Lane, LONDON from 2013/12/16 to 2013/12/16

    Liquidity Risk & Tick Size

    December 16, 2013

    The discussions about liquidity risk per se and/or the price impact of the tick size, show that the liquidity issue is at the heart of today's preoccupations. The liquidity issue will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel session that will follow.

    This event is organized by the QMI/Quantvalley Research Project and Imperial College London Business School, with the support of NYSE Euronext. 

    1.45pm – 2.00pm: Registration

    2.00pm–4.00pm: Academic Presentations

    Chair: Gaelle Le Fol (Université Paris-Dauphine & QMI)

    - Robert Kosowski (Imperial College Business School): Geography, Liquidity and Fund Performance: New Evidence from UCITS Hedge Funds
    - Serge Darolles (Université Paris-Dauphine & QMI): Liquidity Risk Estimation in Conditional Volatility Models
    - Kevin Sheppard (University of Oxford): Measuring Market Speed
    - Mathieu Rosenbaum (UPMC & QMI): Large Tick Assets: Implicit Spread and Optimal Tick Size

    4.00pm – 4.30pm: Coffee Break

     4.30pm – 6.00pm: Panel Session

    Moderator: Laurent Fournier (Head of Business Statistics & Data Intelligence European Markets, NYSE Euronext)

    - Jean-René Giraud (CEO, Koris International)
    - Mathieu Rosenbaum (Professor, UPMC & QMI)
    - Giovanni Beliossi (Managing Partner & CEO, FGS Capital)
    - Kee-Meng Tan (Head of the Electronic Trading Group, KCG Europe Limited)

    6.00pm – 7.00pm: Cocktail

  • Geneva Workshop

    Fédération des Entreprises Romandes Genève, 98 Rue de Saint Jean, Geneva from 2013/09/26 to 2013/09/26

    Risk-Based Portfolio Construction

    September 26, 2013

    The objective of this event is to promote exchange of ideas on risk-based portfolio construction, a topic of increasing importance both in the asset management industry and in the academic literature. The event will start with an academic session where speakers will review the different methodologies from different angles. A panel will follow where institutional investors and asset managers will discuss what are the pitfalls and opportunities of these approaches and how they apply (or could apply) them in practice.


    This event is organized by Université de Genève, GFRI and QMI/QuantValley, with the support of Genève Place Financière and NYSE Euronext 


    All the talks will be in french
     

    14.00-16.00: Research paper presentation

    Chair: O. Scaillet (Université de Genève and Swiss Finance Institute)
     
     - S. Darolles (Université Paris-Dauphine & QMI): Robust Portfolio Allocation with Systematic Risk Constribution Restrictions [slides] [paper]
     - E. Jurczenko (ESCP Europe & QMI): Generalized Risk-Based Investing [slides] [paper]
     - T. Berrada (Université de Genève): It Does Pay to Diversity [slides]
     - T. Froidure (TOBAM): Properties of the Most Diversified Portfolio [slides]


    16.00-16.30: coffee break


    16.30-18.00: Panel discussion

    with the participation of:

     - Y. Choueifaty (CEO, TOBAM) 
     - F. Frick (CEO, Unigestion)
     - G. Haenni (PhD, CIO, CERN Pension Fund)
     - S. Ledermann (Director, Head of Investments, Retraites Populaires)
     - C. Schaer (Head of Treasury & ALM, Fonds de compensation AVI/AI/APG)
     - J. Teiletche (Head of Solutions Group, Lombard Odier IM)

     

    18.00-19.00: Cocktail