9th Annual Global Quantitative Investment Strategies Conference
Tuesday 12 May 2015
Nomura - Worldwide Plaza – 28th FloorAgenda
- 8:30 AM - 9:15 AM
Registration and Breakfast
- 9:15 AM - 9:30 AM
Opening Remarks
- 9:30 AM - 10:00 AM
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Joe Mezrich, Head of Quantitative Investment Strategy, Nomura Securities International Inc.
- 10:00 AM - 10:30 AM
Advances in Quantitative Meta-Strategies
Marcos Lopez de Prado, Senior Managing Director, Guggenheim Partners, Research Fellow, Lawrence Berkeley National Laboratory
- 10:30 AM - 11:00 AM
Coffee Break
- 11:00 AM - 11:30 AM
Using Factors with Different Alpha Decay Times: The case for non-linear combination
Inigo Fraser-Jenkins, Global Head of Quantitative Strategy, Nomura International plc
- 11:30 AM - 12:00 PM
Trading Strategies Using Deep Machine Learning
Nadav Ben-Efraim, CEO, Binatix
- 12:00 PM - 1:00 PM
Lunch
- 1:00 PM - 1:30 PM
Artificial Intelligence: Taking Data Discovery the Last Mile with Advanced Natural Language Generation
Kris Hammond, Chief Scientist, Narrative Science
- 1:30 PM - 2:00 PM
Japanese Quantitative Strategy
Akihiro Murakami, Chief Quantitative Strategist, Japan, Nomura Securities Co., Ltd
- 2:00 PM - 3:00 PM
Panel: Indicators of Success in Active Management
Russel Kinnel, Director of Fund Research, Morningstar, Inc.
Darby Nielson, Managing Director of Quantitative Research, Fidelity Management & Research
Lee Norton, Senior Investment Analyst, The Vanguard Group
Antti Petajisto, Portfolio Manager, Scientific Active Equities, BlackRock
- 3:00 PM - 3:30 PM
Coffee Break
- 3:30 PM - 4:00 PM
Volatility Risk Premia in Equities
Nick Firoozye, Managing Director, Fixed Income Research, Nomura International plc
- 4:00 PM - 4:30 PM
Only Time Will Tell -- Risk optimization from a dynamics perspective
Ole Peters, External Professor, Santa Fe Institute, and Fellow, London Mathematical Laboratory
- 4:30 PM - 5:00 PM
Puzzles, Premiums, and Popularity
Roger Ibbotson, Yale School of Management
- 5:00 PM - 6:30 PM
Cocktail Reception