Overview

April 2, 2020

Content

An educational afternoon at the #Cloud Business Center, featuring leading quant researchers and practitioners to discuss and debate the fast changing world of quantitative investing.

Followed by a private evening at the Rodin Museum, with exclusive guided tours of the museum and its famous gardens.  Attendees will also have the opportunity to participate in sculpture workshops and discover a hidden cocktail bar in a secret space in the museum’s foundations.

The Quant Vision Summit will begin at noon with lunch at the #Cloud Business Center.  Presentations will begin at 1:15 PM

Musée Rodin

77 Rue de Varenne
75007 Paris

#Cloud Business Center

10 bis Rue du 4 septembre
75002 Paris

Hosted by LFIS & QMI

Sofiene Haj-Taieb

Co-Founder and CEO, LFIS

Sofiene Haj-Taieb is co-founder and CEO of LFIS. Prior to founding LFIS in 2013, Sofiène spent over 16 years with Société Générale Corporate & Investment Banking (“SGCIB”) where he was Deputy Head of Global Markets and a member of the Executive Committee. Sofiène developed a number of financial innovations that contributed to SGCIB's position as a global leader in equity derivatives markets. Sofiène graduated from École Polytechnique and École Nationale des Statistiques et de l’Administration Economique (ENSAE).

ARNAUD SARFATI

Co-Founder, LFIS

Arnaud Sarfati is co-founder of LFIS. Prior to founding LFIS in 2013, Arnaud spent 15 years with Société Générale Corporate & Investment Banking (“SGCIB”) where his last position was Co-Head of the Cross Asset Solutions division. During his tenure, Arnaud developed a number of financial innovations that contributed to SGCIB's position as a global leader in equity derivatives. Arnaud graduated from ESSEC. He also holds a Master’s degree in Probability and Finance from Paris VI.

Gaëlle Le Fol

Scientific Director, QMI & Professor of Finance, Université Paris – Dauphine

Gaëlle Le Fol is full Professor of Finance at Université Paris – Dauphine and Research Fellow at the CREST (Center for Research in Economics and Statictics). She is the Scientific Director of the QMI. Professor Le Fol’s research focuses on the liquidity in Financial markets, the modelling of stock prices and fund flows as well as the modelling and forecasting of volume. Gaëlle’s recent research has included investor behavior and the impact on trading characteristics, market liquidity, contagion and systemic risk. Her work has appeared in various international academic journals. Gaëlle is an economics and econometrics graduate from Paris 1 University Panthéon – Sorbonne and holds a Ph. D. in Economics from the same university.

Agenda

COMMON SPACE

Buffet Lunch

12:00

THE HUB

Opening Remarks: Arnaud Sarfati & Gaëlle Le Fol

1:15

Keynote Address: Ten Applications of Financial Machine Learning

1:30

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Ten Applications of Financial Machine Learning

Speaker: Marcos López de Prado - CIO of True Positive Technologies, and Professor of Practice at Cornell University

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Guest Asset Manager Keynote: Harnessing Big Data for Multi Asset Strategies

2:15

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Harnessing Big Data for Multi Asset Strategies

Transforming unstructured data into systematic Global Macro strategies

Speaker: Dr. Markus Ebner - Senior Associate Partner, Team Manager Multi Asset – Quoniam Asset Management

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Implementation Challenges: Forecasting Portfolio Weights

2:45

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A Novel Methodology to Measure Dynamic Optimal Portfolio Allocations

LFIS/QMI Funded Research Update: Overview of initial findings and work completed to date

Speaker:

  • Hughes Langlois – Assistant Professor of Finance - HEC Paris
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Investor Panel: Liquidity & Diversification - Is Quant the Answer for Uncorrelated Returns?

3:15

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Liquidity & Diversification - Is Quant the Answer for Uncorrelated Returns?

Moderated by :

  • Karen Gabay - Director, Business Development - LFIS

Speakers:

  • Dr. Ranjan Bhaduri - CEO Bodhi Research Group
  • Christian Jost - CFA, Senior Investment Analyst - Zurich Invest AG

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COMMON SPACE

Coffee Break

4:00

THE HUB

Derivatives in Asset Management

4:45

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Derivatives in Asset Management

Speakers:

  • Oualid Saidi - Head of Managed Futures - LFIS
  • Yann Le Her - Senior Portfolio Manager - LFIS
  • Benjamin Jacot - Quantitative Risk Manager - La Française Group

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QMI Keynote: Human Behavior and (Ethical) Expectations – The Limits to Using AI?

5:15

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Human Behavior and (Ethical) Expectations – The Limits to Using AI?

Speaker: Dr. Andrea Weihrauch - Assistant Professor in Marketing: Faculty of Economics and Business, University of Amsterdam

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Panel: ESG Visions

5:45

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Panel: ESG Visions

Moderated by :

  • Giselle Comissiong - Director, Head of Marketing & Communications - LFIS

Participants:

  • Guillaume Garchery - Head of Quantitative Research & Development - LFIS
  • Sylvain Forté - Co-Founder and CEO of SESAMm
  • Pierre Lenders - Head of ESG - Capital Fund Management

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Event Concludes

6:45

Rodin Museum

Private Evening at the Rodin Museum

7:30

Keynote Speaker

Marcos López de Prado

CIO of True Positive Technologies, and Professor of Practice at Cornell University

Marcos López de Prado has over 20 years of experience developing investment strategies with the help of machine learning algorithms and supercomputers. He has recently sold his patents to AQR Capital Management, where he was a principal and AQR’s first head of machine learning. Marcos also founded and led Guggenheim Partners’ Quantitative Investment Strategies business, where he developed high-capacity investment algorithms that consistently delivered superior risk-adjusted returns, receiving up to $13 billion in assets. Concurrently with the management of investments, between 2011 and 2018 Marcos was a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). He has published dozens of scientific articles on machine learning and supercomputing in the leading academic journals, and SSRN ranks him as the most-read author in economics.

Speakers Include

Christian Jost

CFA, Senior Investment Analyst, Zurich Invest AG

Mr. Jost is a Senior Investment Analyst at Zurich Invest Ltd., one of the largest Swiss asset foundations dedicated to Swiss Pension Fund assets. He joined Zurich Invest Ltd. in 2016 and since then he is part of the Manager Selection & Controlling team with responsibilities across asset classes. Prior to that, he managed Fund-of-Funds at HelvInvest from 2014 to 2016 and was a Relationship Manager in Private Banking from 2007 to 2014. He holds the Diploma as a Swiss Certified Banking Specialist, is a CFA Chartholder and most recently succeeded all levels of the CAIA exams.

Dr. Ranjan Bhaduri

CEO Bodhi Research Group

Dr. Ranjan Bhaduri is the Founder, President & CEO of Bodhi Research Group. Bodhi Research Group is focused on research and education in the alternative investments industry. Dr. Bhaduri has extensive experience in hedge fund research, hedge fund factorization, portfolio management, and due diligence (investment, operational, and structural). Dr. Bhaduri has designed and implemented an institutional due diligence and research program. Dr. Bhaduri’s experience includes being on an Investment Committee at Morgan Stanley where he conducted due diligence and helped design customized portfolios of Alternatives. Earlier, he was at a Canadian Fund of Funds, and at a multi-billion dollar capital management firm where he was involved in all aspects of its fund of hedge funds and structured finance business. He has also worked with two major Canadian investment banks in the Financial Strategy Consulting Group and in Global Risk Management & Control, respectively. Dr. Bhaduri has a winning track record of leadership and training. Several of his former analysts and interns have gone on to have successful careers and have held positions at prestigious organizations, including the following firms: Ontario Teachers’ Pension Plan, Goldman Sachs, J.P Morgan, Wisconsin Alumni Research Foundation, Securities Exchange Commission (SEC), Neuberger Berman, and Crabel Capital Management. Dr. Bhaduri has held an advisory role at the East-West Center, a leading think tank on the Asia-Pacific region. He has taught finance and mathematics at several universities and lectured on Derivatives for the Montreal Exchange. Dr. Bhaduri has published papers on and been invited to speak worldwide regarding hedge fund issues, and advanced portfolio and risk management techniques. Dr. Bhaduri was invited by the CME to be part of a special delegation that met with regulators in Beijing and Taipei to discuss hedge fund issues. Dr. Bhaduri holds both the CFA and CAIA charters. He is a member of the American Mathematical Society, the Mathematical Association of America, the Toronto CFA Society, and PRMIA. Dr. Bhaduri previously served as a member of the All About Alpha Editorial Board and has previously served on the CAIA Chicago Chapter Executive. Dr. Bhaduri recently served on the Board of Directors of AIMA Canada, co-chair of AIMA Canada Managed Futures Committee, and on the AIMA Global Research Committee.

Yann Le Her

Senior Portfolio Manager, LFIS

Yann joined LFIS in January 2015. Yann started as a proprietary dispersion trader in 2005 at BNP Paribas. Yann successfully developed and led the Equity Exotic Trading activity in Europe for 5 years. Prior to LFIS, Yann spent 9 years at HSBC trading and managing Equity Derivatives Trading desks. In his last role for HSBC in New York, he headed the Equity Derivatives Trading for Americas; he was then in charge of both Structured and Flow Equity Derivatives Trading for North and Latin America. Yann graduated from Ecole Polytechnique and also holds a Master’s degree in financial Engineering from Paris Dauphine University.

Oualid Saidi

Head of Managed Futures, LFIS

Oualid joined LFIS in September 2019. Previously, Oualid founded and ran Agrakal, a financial services company providing consulting services and developing strategies on world markets. Prior to founding Agrakal, Oualid spent over a decade at HSBC where he held a series of positions starting in 2000 as a Senior Equity Derivatives trader before moving on to roles as Co-Head of European Equity Derivatives Trading, Head of European Volatility Trading and finally Head of Global Macro Trading. Oualid began his career in 1997 at Credit Lyonnais where he was hired as a Junior Equity Derivatives Trader before being promoted to head World Book Index Trading. Oualid graduated from Ecole Polytechnique and Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE).

Dr. Markus Ebner

Senior Associate Partner, Team Manager Multi Asset, Quoniam Asset Management

Dr Markus Ebner, Senior Associate Partner, Team Manager Multi Asset, has worked at Quoniam Asset Management since 2005, where he is responsible for the Multi-asset Strategies group. He studied economics at Ruprecht-Karl University in Heidelberg and did his doctorate at Ludwig-Maximilian University (LMU) in Munich. Prior to starting at Quoniam, Dr Markus Ebner worked as a quantitative equities consultant at Deka Investment.

Pierre Lenders

Head of ESG, Capital Fund Management

Pierre Lenders is heading ESG at CFM, a Paris based quant fund. Pierre previously launched and lead Prius Partners, a FinTech set to quantify the intensity and financial effectiveness of ESG integration within any investment process using granular position and scoring data. Since 1986, he’s held various positions in investment banking, capital markets technology and fund of hedge funds, always on the investment & selection side, and gradually embracing responsible investing as financially savvier. He graduated from Ecole Polytechnique in 1984 and ENSAE in 1986 (econometric and statistics).

Benjamin Jacot

Quantitative Risk Manager, La Francaise Group

Benjamin Jacot joined La Francaise Group as a Quantitative Risk Manager in 2018. Benjamin began his career in structural engineering, focused on optimization techniques for mechanical applications. An interest in quantitative finance led him to La Française Group, where he is currently responsible for developing risk models for LFIS, specifically for the firm’s volatility and arbitrage strategies. Benjamin graduated from Ponts et Chaussées in Paris and the Massachusetts Institute of Technology. He also holds a master’s degree in Probability and Finance from Paris VII University.

Dr. Andrea Weihrauch

Assistant Professor in Marketing: Faculty of Economics and Business, University of Amsterdam

Andrea Weihrauch is an assistant professor in Marketing at the University of Amsterdam. Her research is centred around the introduction of (disruptive) innovations to the consumer space. She examines how consumer behavior changes as the lines between humans and machines become blurry and consumers are exposed to technologies such as (humanoid robots), technological human-enhancement products, artificial intelligence, and virtual/augmented reality. Her research aims to understand what drives consumers’ acceptance of such disruptive innovations, and what type(s) of “morality” consumers expect when evaluating the adoption. She is a member of the Think Forward Initiative, an initiative led by ING, Deloitte, IBM, with the goal to use technology to improve consumer well-being. She is also part of the Psychology of Technology Institute, trying to elevate the future of humanity by understanding and improving the human-technology relationship.

Charles Albert Le Halle

Senior Research Advisor, CFM & Visiting Researcher, Imperial College

Charles-Albert Lehalle is Senior Research Advisor at Capital Fund Management (“CFM”) in Paris and part of the CFM-Imperial College Institute (London). Charles-Albert’s research is focused on liquidity, market microstructure and optimal trading. Formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank, Charles-Albert has intensively studied evolutions in the market microstructure since the financial crisis and regulatory changes in Europe and the U.S. Charles-Albert chairs the Index Advisory Group of Euronext, is a member of the Scientific Committee of the French regulator (the AMF), and has been part of the Consultative Workgroup on Financial Innovation of the European Authority (ESMA). He co-authored the book "Market Microstructure in Practice" (World Scientific Publisher, 2nd Edition, 2018), analyzing the main features of the modern market microstructure.

Hugues Langlois

Assistant Professor of Finance, HEC Paris

Hugues Langlois is an Assistant Professor of Finance at HEC Paris. He holds a Masters in Financial Engineering from HEC Montreal and a BCom in Finance and Economics and a PhD in Finance from McGill University. Hugues Langlois conducts research in asset pricing with a special emphasis on investment management. His work has been published in the Review of Financial Studies, the Journal of Financial Economics, the Journal of Financial & Quantitative Analysis, and the Review of Finance. His work on downside risk in asset classes was awarded the 2015 Crowell First Prize from PanAgora Asset Management. Hugues Langlois created in 2016 the AXA-HEC MOOC Investment Management in an Evolving and Volatile World. This online course, whose lectures are jointly given by Hugues and managers at AXA Investment Management, introduces learners to asset management. So far more than 13,000 learners have enrolled to follow the course on the online platform Coursera. Hugues Langlois is also the co-author of Rational Investing – The Subtleties of Asset Management, a short and non-technical book that gives an overview of the current state of practice and academic research in asset management. Hugues Langlois was a portfolio manager at Desjardins Global Asset Management from 2007 to 2013 before co-founding another asset management firm.

Sylvain Forté

Co-Founder and CEO of SESAMm

Sylvain Forté is CEO of SESAMm. Sylvain is a young engineer passionate about Artificial Intelligence. He loves creating new products and bringing teams together around more than just work. As co-founder and CEO of SESAMm, Sylvain and his team had the opportunity to create an entirely new way of analyzing emotions to analyze financial markets. These technologies are now used by funds and major asset managers across the world, representing more than $1,000 billion of assets under management.

Guillaume Garchery

Head of Quantitative Research & Development, LFIS

Guillaume Garchery joined LFIS in 2013. Prior to joining LFIS, he spent four years at Avenir Finance IM as a quantitative portfolio manager. Guillaume began his career at Société Générale Corporate & Investment Banking in France, where he was an equity proprietary trader and responsible for the development of systematic strategies on European equities. Guillaume graduated from Ecole Normale Supérieure de Lyon. He also holds a master’s degree in probability and finance from Paris VI University.

Karen Gabay

Director - Business Development, LFIS

Karen joined the LF Group in May 2015 and is responsible for marketing LFIS’ alternative fund range to institutional investors across a number of countries in Europe and the Asia Pacific region. Karen started her career in 1994 as a government bond trader at CDC Paris. In 1997 she began working in the UK for Société Générale, where she held senior investment banking roles until 2005 including in fixed-income trading, business development and as head of the European credit sales team from 2002 to 2005. In 2006, Karen joined the alternative asset management business of Société Generale, “SGAM AI” with responsibility for business development activities in Northern Europe for the firm’s hedge fund offer. Karen holds a Master’s degree in Finance from University Paris Dauphine.

Giselle Comissiong

Director, Head of Marketing & Communications, LFIS

Giselle started her career in 1998, with Société Générale based in New York where she spent 10 years and held a range of capital markets and investment banking positions in structured products marketing, professional sports finance and advisory and leveraged loan syndications. Prior to joining LFGIS, Giselle spent 6 years, from 2009 to 2014, with Lyxor Asset Management (“Lyxor AM”) including as head of Marketing and Communications for Lyxor AM in the Americas and, most recently, as global Product Marketing Manager for alternative investments with a focus on multi-manager and advisory solutions. Giselle holds a BSBA degree in Finance from the University of Denver in Denver, Colorado, U.S.A.