New York Agenda

Wednesday, June 21st, 2017
6:00 pm – 8:00 pm (details to follow)

Thursday, June 22nd, 2017
8:00 am – 7:30 pm

8:00am Meet the Quants: Quantitative Capital Introduction Roundtable (Investors Only)
Managers rotate every 15 minutes to meet over 100 Quant focused Investors.
9:30am==Registration & Coffee==
10:00amKeynote: Exploiting Alternative Data in the Investment Process - Bringing Semantic Intelligence to Financial Markets
The emergence of big data in finance has shifted the alpha focus away from being faster to being smarter and more efficient than the competition. Access to alternative data sources is considered a key input to such a process. During his talk, Peter Hafez will provide an overview of the changing investment landscape and provide the “winning formula” for successful quant investing. He’ll discuss issues related to unstructured content, crowd-sourced alpha, and proprietary vs. public content.

Peter Hafez, Chief Data Scientist, RavenPack
Peter holds a Master's degree in Quantitative Finance from Sir John Cass Business School along with an undergraduate degree in Economics from Copenhagen University. He is a recognized speaker at quant finance conferences on alternative data and AI, and has given lectures at some of the world’s top academic institutions including London Business School, Courant Institute of Mathematics at NYU, and Imperial College London.
10:40amInvestor Panel
Two prominent investors share their views on the quantitative landscape. From volatility compression to the proliferation of strategies, how have markets changed as machines are now responsible for nearly 30% of trades executed. Have investors been able to come up to speed on the intricacies of systematic strategies and is the level of conviction adequate for significant capital allocation?

Moderator: Bartt C. KellermannCEO & Founder, Battle of the Quants
Adam Duncan, Senior Investment Director, Cambridge Associates
Jackie Rosner, Managing Director, Head of Global Macro and Systematic Trading Strategies, PAAMCO Prisma

11:10am== Coffee & Networking ==
11:30amBattle: Structured Data vs. Unstructured Data
The insatiable thirst for data continues as new unstructured data sources continue to surface. But don’t abandon traditional data yet. Maybe a clever combination can lead to success.

Moderator: Michael O’Rourke, Head of Machine Intelligence, Nasdaq
Peter Hafez, Chief Data Scientist, RavenPack
Vinesh Jha
, CEO, ExtractAlpha
Aida Mehonic
, Financial Services Lead, ASI Data Science
Dr. David Martin, Chairman, M*CAM International
Tom Evans
, Director of Strategic Accounts, Planet
12:00pmBlockchain: A Rainbow of Opportunities in Asset Management
How is Blockchain enabling new asset classes for trading? The “meteoric rise” of Blockchain technology, along with its application using artificial intelligence and big data represent the disruption and seismic shifts in the hedge fund industry. Blockchain is enabling new asset classes for trading thereby opening new opportunities for investors to have access to new non-correlated and diversified investments.

Moderator: Cristina Dolan, Founder and CEO, InsideChains
Michael Oved
, Founder, Swap Protocol
Ryan Rugg, Director, R3
Beth Kramer, Partner, Chadbourne & Parke LLP
Mitchell Dong, President and CEO, Pythagoras Investment Management

12:30pmIs your Quant Strategy Vulnerable to Today’s Market Structure?
This fascinating discussion will focus on how different quant strategies affect market structure. From rapid HFT Traders to the slower Long Only and Smart Beta traders, how are markets influenced and why. Discussions will include an analysis of the August 2007 Quant Meltdown and how each strategy played what part. The answers will then be extrapolated and compared to today’s structure to predict possible outcomes and what strategies will be impacted the most.

Moderator: Bill Libby, Head of Electronic Quant Sales in the Americas, Goldman Sachs
Manoj Narang
, CEO & Founder, MANA Partners
Henry Pang
, PhD, Research & Risk Strategist, Global Sigma
Maximilian Roos
, CIO, Sixty Capital Advisors
1:00pm== Lunch & Networking ==
2:00pmCrowdsourcing Algo Developers and Data Scientists
How does the mechanism work and which business model is showing early signs of success?

Moderator: Tom Ducrot, Founder, Fides + Ratio
Jonathan Larkin, CIO, Quantopian
J. Morgan Slade, CEO, CloudQuant
Martin Froehler
, CEO, Quantiacs
Rich Brown, CEO, WorldQuant Virtual Research Center
2:30pmUsing Machine Learning and Intangible Unstructured Data to Generate Alpha
Do intangible assets held by firms characterize the economic consequence of these assets on the underlying enterprise? To find out, we quantitatively examined the world’s largest repository of state-granted rights from over 160 countries representing, in some instances, over 200 years of historical data. Using our unstructured text linguistic genomic algorithms, we measure the quality of these rights and associate them with business transactions reported in financial statements, contracts, bid proposals, trade records and other publicly available (but hard to find) data. Unique differences from our analysis between better and worse performers was discovered and will be examined.

Dr. David Martin, Managing Director, M*CAM
3:00pmBreaking Down the Alpha Engine! Which Metrics Apply When Selecting Your Alpha Investments?
If the debate over alpha vs beta is over, the debate over how to distinguish between alphas and betas has barely begun: having separated the two, how should an absolute return investor evaluate and compare competing sources and styles of alpha? And for the newly minted alternative-beta manager, faced with a rapidly proliferating menu of choices, which metrics apply? How are these problems compounded by short track records and low ex ante information ratios?

Moderator: Michelle Knudsen, Senior Principal, Partners Capital Investment Group
Scott Kerson
, Head of Systematic Strategies, Gresham Investment Management
Patricia A. Halper
, CFA, Partner & Co-CIO – Equities, Chicago Equity Partners
Dr. Hamish Macalister, Portfolio Manager & Deputy CIO, Firth Investment Management
3:30pm== Coffee & Networking ==
3:50pmArtificial Intelligence, Big Data, Machine Learning
AI represents the biggest revolution in markets and the world today. In the hedge fund industry, we are at the beginning of the cycle and there are a limited number of AI hedge funds available for investment. Several AI programs are bolt on components of existing multistrat hedge funds, others are organically developed strategies from the ground up. Which initiatives are more likely to thrive and when will current models being incubated start to be made available?

Moderator: Bartt C. KellermannCEO & Founder, Battle of the Quants
Michael Weinberg, Senior Managing Director, Protege Partners
Guillaume Vidal, CEO, Walnut Algorithms
Jeff Holman, CIO, Sentient Investment Management
4:20pmHow to Leverage Big Data to Determine Market Impact, Trading Risk and Change - Point Detection
Market Impact, Trading Risk and Recursive Change-Point Detection are important pre-trade analytics derived from petabytes of structured tick data. We are actively conducting research in this space and would like to share the many struggles we encountered on our journey of grappling with such a large amount of data. We will discuss how we embraced kdb+ and q, through the Velocity Analytics 8 platform, to truly harness the power of massive times series. We’ll also provide a behind-the-scenes look at the technology stack used by our research team on other projects with an overview of some interesting data sets (structured and unstructured) we’ve explored.

Adam J. Baron, Director, Big Data Quantitative Research, Thomson Reuters
4:50pmQuantum Computer Algorithms and “Qubits”
Quantum Computing represents a leap into the future that will bring about mind-boggling technological and societal changes that mankind has never seen before. The powerful technology exists in the strange world of “Qubits” where the rules of ordinary reality don’t apply.

Scott Crowder, Quantum Computing Strategy & Transformation, IBM
5:30pm== Cocktail Reception ==