Studying Bear markets in search of consistent equity drawdown diversification identifies several persistent characteristics which can be exploited using systematic derivative and/or long-short strategies
The asset pricing in a granular economy. A few firms are exceedingly large. Results: reduced diversification across stocks and heightened aggregate risk.
The LQG will debate the motion: This house believes that: “This time is different”. AI and other technologies will boost global growth and justify current asset prices.
To Infinity and Beyond Bonds – systematic techniques applied to improve risk adjusted returns while applying trend-following and going long/short quality stocks.
A methodology to approximate a stock’s true unobservable market beta while mitigating systematic biases using machine learning.
The LQG 2024 Autumn Seminar – 11 great speakers and topics – in its 38th year.
3D optimization – Optimizing Risk, Return and Sustainability (or something else important). Superior to 2D approach with constraints.
AI : What is real, and what is hype? What capabilities? What can’t they do? Explore the current state of the art in AI applications
A framework that produces a superior frontier by integrating trading-cost-aware portfolio optimization with machine learning
Allocating between three fundamental elements of multi-asset portfolio sources of risk: beta, factors, and alpha.
Geoff looks at the inherent limitations of forecasting, where analysts go wrong, and how models can be made more useful.
In a setting of defaultable sovereign bonds, the forward bias can be negatively linked to sovereign credit risk…and more.
The LQG annual debate is the climax of the London Quant Group 2023 seminar series. Fun, informative and educational – Not to be missed
Stress tests: Are results credible? Are the tests useful or just a tick-box exercise? What is needed for credibility and usefulness?
A model of optimal asset allocation with a market that has the potential to decouple. Includes certainty equivalents of foregoing investment in the potentially decoupling market and investigate a range of comparative statics including varying the probability of decoupling.
Since my last edition, I’ve published my Businessweek story on stock-market skewness. I interviewed Hendrik Bessembinder, who wrote what I consider the academic finance paper of the FAANG era…
Evaluating and comparing risk model performance for risk forecasting, portfolio construction and return attribution – a comparison framework.
Lisa Goldberg : James–Stein for the leading eigenvector and how to make each portfolio construction optimisation unique with less error. Lisa’s research identifies and mitigates bias in the leading eigenvector of a sample factor-based covariance matrix estimated in the high-dimension low sample size (HL) regime. …and more!
The legendary LQG autumn seminar – 11 awesome speakers will deliver seminars on quantitative investment to inform, inspire and discuss.
Simon Polbennikov introduces an approach to measuring the effect of ESG investing in Credit – with cool results! This time it’s different!
Markus Gesmann & Quentin Moore will discuss Insurance as an asset class – What could possibly go wrong?
There is much more to insurance than you thought!
Gold is a controversial investment. Pim studies the safe haven hypothesis and analyses a strategic allocation to gold, low-volatility stocks, and bonds for a loss-averse investor with a one-year evaluation horizon.
Ben introduces Causal AI techniques with examples and then discusses applications and the assumptions, limitations and weaknesses to separate success potential from possible or probable pitfalls.
Dr. Scherer offers cross-sectional insights into Robo-advisory portfolio structures.
The LQG will debate the motion: This house believes that
Risk Is A Fate Not A Choice.
Proposer: Jon Danielsson
and
Opposer: Ed Fishwick
Occasional summaries of LQG events
Dan diBartolomeo will discuss spectacular failures in past risk management practice and warns of commonly used shortcuts that may lead to the next disaster.
Blockchain, the Essence of Bitcoin and a Mathematical Introduction to Bitcoin – the machines, maths and people that make it work.
LQG 31/08/22 to 02/09/22 In-Person Autumn Seminar at Girton College, Cambridge with 11 speakers of international renown – after two years of lockdown it is great to be back!
LQG July 2022 seminar delivered in person by Andrew Ang of BlackRock – Asset Allocation with Crypto: Application of Preferences for Positive Skewness – Beware there be dragons!
Explore the types and sources of inflation and then explore the various impacts on assets’ prices. That knowledge can help guide both strategic and tactical asset allocations for both return and risk improvements.
The significant benefits of using Multi Asset Class Factor Premia for overlay strategies over an investor’s lifecycle
The calming of short-term market fears and its long-term consequences: The central banks’dilemma – J.P. Zigrand
This paper models weights and parameters as uncertain. Evaluating a portfolio across the range of possibility measures risks better and surfaces latent fragility. Contributions to risk are reported with a center and spread.
LQG 08/02/22 – On-Line – “Enhanced income and costless protection” : Good options, poor choices and the hidden costs of a supposedly free lunch – David Buckle. This seminar aims to stimulate thought and discussion as the analysis’ conclusions are likely to be counter intuitive to some and controversial to others.
The motion: This house believes that AI is better, stronger, faster at picking stocks for investment.
Will be proposed by Ed Fishwick Managing Director at BlackRock and opposed by Desi Ivanova PhD student at the Department of Statistics at the University of Oxford
The the 12/11/21 one day / all day LQG autumn seminar – 6 talks delivered by 9 brilliant speakers generously hosted by Goldman Sachs
Highlight the utility of deep reinforcement learning in finance and invent “economic distillation” tools for interpreting AI and big data models
The impact of listed options market makers delta hedging on the dynamics of intraday asset prices. 14th September 2021 20210914
AI for Quants – Accelerated, explainable AI/ML in capital markets with robust accelerated portfolio construction and market data generators – Seminar by Jochen Papenbrock
A seminar on the prediction of transaction prices using deep learning and deep reinforcement learning and implications of the use of artificial intelligence for the automation of trade and many other activities in the financial services industry.
Dr. Arik Ben Dor discusses a replicable, successful, enhanced equity momentum strategy built using insights extracted from corporate bond prices.
An analysis of the puzzling behaviour of US mutual funds that appear not to take advantage of the short selling opportunities open to them and the implications for the funds and investors.
9th March 2021 Systematic Investing In Credit an LQG seminar Simon Polbennikov, Arik Ben Dor and Albert Desclée
Refresh your understanding of balance sheet data and how they can lie. Learn how to spot creative accounting, earnings management and other forms of possible fraud.
LQG SeminarsENCORE - Engaging New Controversial Original Rigorous EntertainingI guess we're not in Kansas anymore! The return of the age of financial repression Seminar by Russell Napier 26th January 2021 - On-Line In the first LQG seminar of 2021 Russell Napier...
Practical ex-ante fund factor analysis – methodology applied to a simple strategy (FX Carry) and will include snippets of the python code.
In this seminar Professor Ball will discuss accounting and asset prices. Earnings and returns might seem like completely different concepts, but they are closely related economic variables — much more so than commonly appreciated. … Earnings, cash flows and book values have components that are economically different.
20201013 – On-Line – LQG Evening Seminar – Alpha from esoteric markets – Chris Longworth – Extracting alpha from esoteric markets – navigating different and challenging markets. Asset selection and portfolio diversification
Prepare to have some of your fundamental assumptions about capital markets changed or more likely, inverted by Prof. Ralph Koijen.
Seminar by David Jessop of Columbia Threadneedle Investments on the need for and value of human input to the development and management of complex computer based models, especially those used in finance, and the need to understand and interpret their output.
How Causal AI can prevent ovrefitting – seminar by Darko Matovski CEO of causaLens
ETF flows, mispricing and stock price dynamics by Giuliano De Rossi of Goldman Sachs – ETF flows affect t+1 intraday stock trading volume and volatility with cross-impact implications.
In this seminar Tim and Kevin will discuss the likely and dangerous, consequences of the rise of carry (borrowing / leverage); volatility suppression, a new financial order of deflation, decaying growth, systemic risk, recurring crises and their implications for the value of money…
ESG in Factors by Katharina Schwaiger
LQG seminar on 05/05/20 at 18:30 by Vitali Kalesnik of Research Affiliates. Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
202005 – 4 on-line evening seminars replace the one day spring seminar.
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingForest through the Trees: Building Cross-Sections of Stock Returns, Svetlana Bryzgalova with Markus Pelger and Jason Zhu The LQG is very pleased that Svetlana Bryzgalova, Assistant Professor at the
20200310- LQG Evening-seminar – Scraping the bottom of the cheese barrel: Alpha from esoteric markets – 18:30 generously hosted by BlackRock
Mike Kollo delivers a series of excellent discussions between technically-minded professionals in the fields of financial services, technology and data science – search for The Curious Quant
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed? Otto Van Hemert, Head of Macro Research at Man AHL The LQG is very pleased that Otto Van Hemert, Head of Macro
LQG SemianrsEngaging New Controversial Original Rigorous EntertainingThe London Quant Group does not meet in January The first LQG meeting in 2020 will be on February 11th generously hosted by BlackRock
Dr. Svetlana Borovkova will discuss mapping Environmental Social Governance (ESG) variables to assess and measure a company’s or portfolio’s contribution towards the UN’s Sustainable Development Goals (SDGs).
The climax of the London Quant Group 2019 seminar series is the Annual Debate. This year two titans of both debate and finance will address the virtues, both real and imaginary, of ESG Investing.
Ed Fishwick – Managing Director at BlackRock will propose the motion.
Andrew Ang – Managing Director at BlackRock will oppose the motion.
This is a debate – a forum in which to discuss the question. The views expressed during the debate are not necessarily the views of the speakers personally nor of BlackRock or Goldman Sachs International! The debate is held under the Chatham House rule!
LQG SeminarsEngaging New Controversial Original Rigorous EntertainingMining alpha from 13F Filings Mobeen Iqbal 12th of November 2019 London Quant Group Eventing Seminar Generously hosted by Goldman Sachs International 2 Stonecutter Street, London EC4A 4AH
LQG SeminarsENCORE – Engaging New Controversial Original Rigorous EntertainingHas Value met its Waterloo? Inigo Fraser-Jenkins 8th of October 2019 London Quant Group Eventing Seminar Generously hosted by Goldman Sachs International at 133 Fleet Street, London EC4A
The 2019 autumn seminar has 14 outstanding speakers and will be held at Magdalene College in Cambridge. It is a beautiful setting boasting the longest river frontage of all the Cambridge colleges – a fantastic venue for the London Quant Group seminar.