Replay QVS 2018

An educational afternoon at the #Cloud Business Center, featuring the brightest quant minds from both
the academic and the investing world to discuss and debate the future of quantitative investing.

The inaugural Quant Vision Summit event organized by LFIS and QMI took place in Paris on October 4, 2018. The event brought together over 150 professionals in quantitative finance, including academics, quantitative asset managers and institutional investors from across Europe and beyond.

 

Presentations from QVS 2018 in Full

Overview

Organised by LFIS and the Quantitative Management Initiative

Content

An educational afternoon at the #Cloud Business Center, featuring the brightest quant minds from both the academic and the investing world to discuss and debate the future of quantitative investing.

Followed by a private evening at the Picasso Museum, where guests will receive an exclusive guided tour of the special exhibition “Picasso: Masterpieces!”. Thanks to exceptional loans, masterpieces from all over the world will be displayed alongside those from the museum’s own collection.
Visits will be organized around cocktails and dinner.

The Quant Vision Summit will begin at noon with lunch at the #Cloud Business Center.  Presentations will begin at 1:30 PM

#Cloud Business Center

10 bis Rue du 4 septembre
75002 Paris

Musée Picasso

5 Rue de Thorigny
75003 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

Welcome Lunch

12:00

THE HUB

Opening Remarks: Sofiene Haj Taieb & Gaelle Le Fol

1:30

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Opening Remarks: Sofiene Haj Taieb & Gaelle Le Fol

  • Sofiene Haj Taieb, Co-Founder of LFIS & Gaelle Le Fol, Scientific Director of QMI
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Keynote Address: Leda Braga

1:40

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Keynote Address: Leda Braga

  • Leda Braga, CEO of Systematica Investments
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THEME 1: Market Anomalies & Transaction Costs

2:00

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THEME 1: Market Anomalies & Transaction Costs

Portfolio Modelling & Dynamic Risk Management - Market Anomalies & Transaction Costs
Confirmed Speakers:

  • Marie Lambert – Associate Professor, HEC-Management School, University of Liège
    "Factoring Characteristics into Returns : A Clinical Approach to Fama-French Portfolio Decomposition"
  • Charles-Albert Lehalle - Senior Research Advisor, CFM & Visiting Researcher, Imperial College
    "Implementation Costs of Factors: From Empirical Results to Generic Modelling"
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Panel: Quantitative Approach - the Allocator Perspective

2:50

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Panel: Quantitative Approach - the Allocator Perspective

A Quantitative Approach to Investing – the Allocator Perspective
Moderated by:

  • Toby Goodworth - Managing Director and Head of Risk & Diversifying Strategies, bfinance

Participants:

  • Vladimir Spirito – Head of Alternative Investments, ENPAM
  • Max Townshend - Investment Director, Head of Diversifying Strategies, LPP
  • Barton Wallace - Senior Investment Officer-Absolute Return, CN Investment Division
  • Jean-Christophe Wibault - Investment Manager, Aviva France
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COMMON SPACE

FinTech Coffee Break

3:20

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FinTech Coffee Break

New Frontiers for AI in Asset Management with:

  • SESAMm – Analyzing Emotions to Make Investment Decisions
  • Nephelai – AI at the Service of Operational Excellence

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THE HUB

Guest Speaker: Rama Cont

4:00

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Guest Speaker: Rama Cont

  • Rama Cont, Chair of Mathematical Finance, University of Oxford & Recipient of the Louis Bachelier Prize in Applied Mathematics
    "Liquidity Risk in Asset Allocation"
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THEME 2: Implementation Challenges in Factor Investing

4:20

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THEME 2: Implementation Challenges in Factor Investing

Implementation Challenges in Factor Investing - Theory and Practice of Alternative Beta
Confirmed Speakers:

  • Antti Suhonen - Professor of Practice in Finance, Aalto University
    "A Decade of Risk Premia Investing: What Have We Learned"
  • Luc Dumontier - Partner, Head of Factor Investing, LFIS
    "Foreign Exchange Premia: An Attractive Diversifier Once Singular Risks are Addressed"
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Panel: Quant Vision of Tomorrow: AI and Machine Learning

5:10

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Panel: Quant Vision of Tomorrow: AI and Machine Learning

Quant Vision of Tomorrow: AI and Machine Learning in Quantitative Asset Management
Moderated by:

  • Rob Mannix – Editor, Risk.net

Participants:

  • Emmanuel Bacry - Senior researcher at CNRS, University Paris-Dauphine, PSL | Associate Professor, Head of Data Science Initiative, Ecole Polytechnique | Member of QMI
  • Sylvain Forté – CEO, SESAMm
  • Guillaume Garchery – Partner, Head of Quantitative Research and Development, LFIS
  • Eléonore de Vial – Co-Founder and CEO, Nephelai
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Event Concludes

5:45

Picasso Museum

Private Evening at the Picasso Museum

7:30

Keynote Speaker

LEDA BRAGA

CEO Systematica Investments

Leda acts as CEO of Systematica Investments, a Jersey based institutional hedge fund manager with around $8.2 billion in assets under management. Systematica was formed in January 2015 as a spin-off of BlueCrest Capital, where Leda was President and Head of Systematic Trading for 14 years since 2001. Prior to BlueCrest Leda was part of Cygnifi Derivatives Services (a J.P. Morgan spin-off). At Cygnifi she was part of the management team and was head of its Valuation Service. Prior to Cygnifi, Leda spent nearly seven years at J.P. Morgan as a Quantitative Analyst in the derivatives research team. Her past experience includes modelling of interest rate exotics, FX/interest rate hybrid instruments and equity derivatives. She holds a PhD in Engineering from Imperial College London, where she worked as a lecturer and led research projects for over three years prior to joining J.P. Morgan. In addition Leda has served as an advisor to the board of the pension fund of the CERN in Geneva and she is currently on the advisory board of the London School of Economics’ Systemic Risk Centre.

Speakers Include

Emmanuel Bacry

Senior researcher at CNRS, University Paris-Dauphine, PSL | Associate Professor, Head of Data Science Initiative, Ecole Polytechnique | Member of QMI

Emmanuel Bacry graduated from Ecole Normale Supérieure (Ulm, Paris, France) in 1990. He received the Ph.D. degree in Applied Mathematics from the university of Paris VII (France) in 1992 and obtained the “Habilitation à diriger des recherches” four years later. He is a senior researcher fellow at the Centre Nationale de Recherche Scientique (CNRS) at Université Paris-Dauphine pSL and an Associate Professor at the Centre de Mathématiques Appliquées (CMAP) at Ecole Polytechnique, Palaiseau. Since 2014, he is the head of the “Big Data and Data Science Initiative” of Ecole Polytechnique. In the last decades, he focused his research interest on various subjects including multifractal theory, statistics of random processes, random process in interaction, large dimension, machine learning and Big Data with a constant focus on various applications including financial statistics and health. He is currently heading a project between Ecole Polytechnique and the Caisse Nationale d'Assurance Maladie (CNAMTS) consisting on data-mining the french public health database which is one of the biggest health database in the world. He has been regularly acting as a consultant for many startups as well as many large companies including Deutsche Bank, Société Générale, BNP-Paribas, Chevreux, Havas Media, etc. He is a member of the scientific advisory board of Havas and Institut Louis Bachelier.

Rama Cont

Chair of Mathematical Finance, University of Oxford

Professor Rama Cont holds the Chair of Mathematical Finance at the University of Oxford. Prior to joining Oxford in 2018, Rama held academic appointments at Imperial College London from 2012 to 2018, Columbia University (New York) and Ecole Polytechnique and Universite Paris VI. Rama’s research is focused on the mathematical modeling of extreme market risks: discontinuities in market behavior, liquidity risk, endogenous risk and systemic risk. Rama was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance and the Royal Society Award for Excellence in Interdisciplinary Research in 2017 for his research on systemic risk.

LUC DUMONTIER

Partner, Head of Factor Investing, La Française Investment Solutions

Luc Dumontier is a partner and Head of Factor Investing at LFIS. Prior to joining LFIS at its inception in 2013, Luc was Head of Absolute Return Management at HSBC AM. From 2004 to 2011, Luc was in charge of Absolute Return Management at Sinopia where he developed quantitative strategies including Global Bond Market Neutral, Currency Overlay, Global Tactical Asset Allocation and Multi Government Bonds. Luc started his career in 1998 as an equity portfolio manager. He has led a “Portfolio Management” class at the SFAF (French Society of Financial Analysts) since 2002 and at the AFG (French Asset Management Association) since 2011. Luc holds a Master’s degree of Economy and a Master’s degree in money, bank and finance from Panthéon-Sorbonne University.

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

Partner, Head of Quantitative Research and Development, La Française Investment Solutions

Guillaume Garchery is a partner and Head of Quantitative Research and Development at LFIS. Guillaume joined LFIS at its inception in February 2013. Guillaume began his career at Société Générale Corporate & Investment Banking where he was an equity proprietary trader and responsible for the development of systematic strategies on European equities. Prior to joining LFIS, Guillaume spent four years at Avenir Finance IM as a quantitative Portfolio Manager. Guillaume graduated from Ecole Normale Supérieure of Lyon. He also holds a Master’s degree in Probability and Finance from Paris VI University.

TOBY GOODWORTH

Managing Director and Head of Risk & Diversifying Strategies, bfinance

Toby Goodworth is Head of Risk & Diversifying Strategies at bfinance, and a member of the firm's Senior Management Team. Previously Toby was Head of Risk Management at Key Asset Management, one of Europe's oldest fund of hedge funds, where he designed and ran the firm's bespoke risk models.

MARIE LAMBERT

Associate Professor, HEC-Management School, University of Liège

Marie Lambert is Associate Professor and Vice-Dean for Research at HEC Liège, Liège Université. She holds the Deloitte Chair in Financial Management and Corporate Valuation. Marie has a joint Ph.D. in Finance from the Universities of Liège and Luxembourg (2010) on "Hedge Funds and Higher-Order Comoment Equity Risk Premiums". She leads the concentration "Banking and Asset Management" and teaches courses on Asset Management, Alternative Investments, Corporate Finance and Financial Modeling. Marie is also Affiliate Professor at EDHEC Business School (Nice) and at Paris Dauphine as well as a Research Associate at the EDHEC Risk Institute. She is also a Visiting Associate Professor at the Luxembourg School of Finance. She collaborates regularly with the industry and has developed research partnerships with BNP Paribas Fortis and Deloitte (Belgium and Luxembourg). Her current research interests include asset pricing models, market anomalies and investment styles (value, growth investing), hedge funds as well as private equity and valuation issues in corporate finance (e.g. real options).

CHARLES-ALBERT LEHALLE

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.

Rob Mannix

Editor, Risk.net

Rob Mannix is the asset management editor at Risk.net, writing about quantitative investment as well as risk management, derivatives and regulatory issues as they affect the buy side. Rob joined Risk in 2008, having previously worked at Euromoney Institutional Investor, covering legal and regulatory issues affecting capital markets.

Vladimir Spirito

Head of Alternative Investments, ENPAM

Vladimir is the Head of Alternative Investments at ENPAM. Vladimir previously headed the asset management activities of a number of companies between 2009 and 2016, including SudTirol Bank, Alpenbank and Advance Sim. From 2005 to 2008, he was responsible for the market risk management department at Banca Sella Holding then the asset management unit of the investments division of Stella Group. Vladimir started his career as a quantitative analyst, at Fondicri Asset Management between 1998 and 1999 and then at Capitalia Asset Management. Vladimir holds a degree in Business Economics from the University of Roma La Sapienza.

ANTTI SUHONEN

Professor of Practice in Finance, Aalto University

Antti Suhonen holds a position as Professor of Practice in Finance at Aalto University School of Business in Helsinki, Finland. His teaching and research interests include alternative investments, financial institutions, and fixed income and credit markets. Antti has also been with Allenbridge, the Investment Advisory division at MJ Hudson, as Director of Solutions since June 2017. Antti has over twenty years’ experience in banking, capital markets, investments, and derivatives, and has acted as an adviser to financial institutions, institutional investors, and family offices. Antti previously held various derivatives structuring, product development, sales, and trading roles in investment banking, most recently as Managing Director at Barclays Capital, concentrating on alternative investments and quantitative investment strategies. Antti holds a Ph.D. in Finance and a M.Sc. in Economics from Helsinki School of Economics and Business Administration.

Max Townshend

Investment Director, Head of Diversifying Strategies, LPP

LPP is a pension service provider to UK Local Government Pension Schemes (LGPS) and other public sector pension funds. Today LPP manages £16b of pension assets and provides pensions administration services to 547,000 members. Max is responsible for managing the Diversifying Strategies portfolio at LPP. This allocation focuses on relative value and macro directional return drivers in liquid assets, along with opportunities in alternative asset classes like insurance markets and riparian rights. Max joined LPP in 2016 from the London Pensions Fund Authority, one of LPP’s founding clients. He previously worked at Record Current Management, undertaking quantitative research in FX, rates and options markets. Max graduated from the University of Bristol with a degree in Aeronautical Engineering. - Dans la rubrique "Implementation Challenges in Factor Investing - Theory and Practice of Alternative Beta "

Eléonore de Vial

Co-Founder and CEO, Nephelai

Eléonore de Vial is co-founder and CEO at Nephelai. Prior to co-founding Nephelai in 2017, she spent over 10 years at Misys where she was leading the Middle and Back Office roadmap of the Sophis solution. 4 years ago, Eléonore introduced AI at Misys with a hackthon winning project. She then created and lead the AI product management team until she decided to found Nephelai. She holds an Electronic Engineering degree from Queen Mary University of London

Barton Wallace

Senior Investment Officer-Absolute Return, CN Investment Division

Barton Wallace joined the CN Investment Division in 2015 where he developed systematic strategies for the Absolute Return team. He has worked on strategies in the alpha, alternative beta and tail risk protection fields primarily using derivatives across Equities, Fixed Income, Commodities, FX and Volatility. He is also involved in portfolio construction and quantitative risk measurement of the fund of fund activity. He holds a Ph.D. in Nuclear Physics from Laval University where he developed modern statistical techniques for low signal high noise spectrum analysis and FPGA implementation of detection systems

Jean-Christophe Wibault

Investment Manager, Aviva France

After graduating with a MSc in Financial Engineering at the University Pierre et Marie Curie - Paris VI, Jean-Christophe Wibault moved towards alternative management. Today, as responsible for monitoring investments in Aviva France since 2009, he selects for with profit funds various investment strategies /solutions (rates, credit, equities mutual funds, structured products and alternative investments). He provides quantitative analysis, qualitative monitoring of investment vehicles and recommendations. Before joining Aviva France, Jean-Christophe was senior analyst-pm for Allianz Alternative Asset Management (from 2007 to 2009) acquired by UBP in 2012, for ERAAM (from 2004 to 2007) and for Amilton AM (ex Swan Capital from 2000 to 2003).