Events/Seminars

From Thalesians
Jump to: navigation, search

Contents

Introduction

The Thalesians Quantitative Finance Seminars are a series of talks for dedicated finance professionals to learn about state-of-the-art quantitative finance methodology from seasoned speakers.

We provide a unique opportunity for finance professionals to further their careers by sharing expertise and cross-pollinating new methodology and ideas in the wider context of the finance industry.

Come along to our seminars in Canary Wharf (LDN), Midtown Manhatten (NYC) or downtown San Francisco (SF) and join us for a quantitative finance talk by a guest speaker followed by discussions.

Videos

Videos of some of the London talks are available: both Flash streaming videos and downloadable in MP4 format for iPod/iTunes.

Venues

London, UK

Private meeting rooms at Marriott Hotel Canary Wharf
Hertsmere Road
Canary Wharf
London
E14 8JJ

Venue home page: http://www.marriott.co.uk/hotels/travel/loncw-london-marriott-hotel-west-india-quay/

Map of Marriott Hotel Canary Wharf

New York City, USA

NYU Kimmel Center
Room 914, 60 Washington Square South
NY 10012, NY
or
lower level conference room 014/015
New York Public Library: Science Industry and Business Library
188 Madison Avenue, New York, NY

San Francisco, USA

Location: 5th floor, GGU
536 Mission Street
San Francisco, CA

Cost

The London seminars charge £15 at the door for events to cover the venue hire and other expenses. Admittance to the IAFE/Thalesians NYC seminars is strictly by online registration only and is $25 for non-IAFE members.

Registration

  • For UK talks, please contact Paul Bilokon, paul, who is at thalesians.com, to reserve your place and/or sign up to our official seminar list.
  • For US talks, please contact Matthew Dixon, matthew, who is at thalesians.com, or Harvey Stein, harvey, who is at <tt>thalesians.com to reserve your place and/or sign up to our official seminar list.
  • However, the quickest and easiest way to register (and pay online) is on http://www.meetup.com/thalesians/

Forthcoming Seminars for 2015

IAQF-Thalesians Seminar (New York) — Dr. Andrew Weisman — Forced Liquidations, Fire Sales, and The Cost of Illiquidity

Andrew Weisman

Agenda

Monday, January 12, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

Institutional investors seeking diversification often build portfolios using collections of securities with widely varying characteristics. To facilitate diversification, investors rely on the “common currencies” of reported return, volatility, and correlation, and employ them as inputs to portfolio construction/ optimization models or processes. Investors using this approach are often drawn to investment opportunities that appear to exhibit diversifying properties because of their limited price discovery. Such opportunities tend to be relatively illiquid when compared to traditional investments—investors simply take for granted that they receive a “liquidity premium” that compensates them for the lack of liquidity. Illiquidity in such investments (like hedge funds, private equity or structured credit) is most often measured by serial correlation in the reported return series of the investment, because such autocorrelation is viewed as a sign of price smoothing caused by an inability to accurately price less liquid securities or investments. More sophisticated investors may adjust the return data by taking into consideration observed serial correlation in order to decode the true volatility of the portfolio; thereby correcting both the volatility and the risk adjusted performance of the investment. Such simple adjustments for serial correlation, however, fail to capture a major cost associated with illiquidity—that of forced liquidations and “fire sales”. This presentation examines an intuitive, rigorous method for pricing this cost.

Speaker

Andrew Weisman is Chief Investment Officer, Liquid Alternatives. In this role, Mr. Weisman serves as the firm’s subject-matter expert and thought leader on multi-asset strategies. Mr. Weisman also co-manages Janus’ liquid alternative strategies and is a member of the Janus Capital Group Global Allocation Committee. Mr. Weisman uses proprietary, allocation methodologies to assist clients in combining traditional and non-traditional asset risk premia. Prior to joining the firm in 2012, Mr. Weisman was CEO of WR Platform Advisors, Inc., a technology platform and service provider of managed accounts, risk analytics, and investor reporting for hedge funds. Before that, he was Managing Director and Chief Portfolio Manager for Merrill Lynch's Hedge Fund Development and Management Group. Prior to that he was Chief Investment Officer and Member of the Board of Directors for Nikko International. Mr. Weisman has published an extensive collection of articles on asset allocation and risk issues related to hedged portfolios. His research awards include the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in The Journal of Portfolio Management in 2002 and the 2003 GAIM Research Paper of the Year. He has a bachelor's degree from Columbia College, a master's in international affairs from Columbia and was awarded a doctoral fellowship to Columbia University's Graduate School of Business, where he completed all coursework and comprehensive exams toward a PhD. He has over 26 years of experience in portfolio construction and risk management, particularly in alternative asset strategies. He serves on the board of the International Association for Quantitative Finance, the Editorial Advisory Board of the Journal of Portfolio Management, and as Treasurer of the Society of Columbia Graduates.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


Thalesians Workshop & AlphaScope Conference — Speakers including Bilokon & Amen — Quant trading strategies & much more

Paul Bilokon

Date and Time

3rd - 5th Feb 2015.

Venue

InterContinental Hotel, Geneva

To sign up

You can register for this event and pay online at the AlphaScope website: http://www.alphascope-event.com/

Members of the Thalesians also have a special discount (please contact saeed who happens to be at thalesians.com for details!)

Abstract

AlphaScope is the Event That Brings New Thinking In Quantitative Investment Management, Trading & Asset Allocation, from the team which brought you Global Derivatives!

Not To Be Missed At The Only Quantitative & Systematic Investment Event That Matters.

  • The Only Event Of Its Kind To Combine In-depth Scientific Research With Innovative Networking Opportunities And Catering For All Levels Of Technicality: Advanced Thinking & Engaged Conversations.
  • Keynote Interview, Hosted By Maneet Ahuja of CNBC and author of THE ALPHA MASTERS, and exclusive book signing.
  • Not afraid of controversy! Two hot debate topics, as well as Too Hot To Touch closed-door sessions to really pose the big questions.
  • Exclusive Insights And One-to-one Networking Time With Genuine End Investors & Allocators *20+ top investor and allocator names already confirmed to speak*
  • Focus On The Science Behind The Strategy *Hear From Strategists & Portfolio Managers Behind Leading Systematic & Quant Strategies, Including AHL, PANAGORA, FQS and more ...*
  • 'Big-Think' Thinking: Guest Insights From Academic Professor Didier Sornette, Guest Speaker Major-General Jonathan Shaw and Regulator Michael Hume of the BANK OF ENGLAND
  • Academic Insights To Inspire New Ideas & Shed Light On Old Headaches read more

Thalesians Workshop at AlphaScope

The Thalesians will be running a workshop at AlphaScope covering, which will be led by Saeed Amen and Paul Bilokon, who have a combined experience of two decades in this field. It will cover areas including

  • Systematic trading strategies in both cash and spot
  • News based trading
  • Electronic trading

You can book the workshop at http://www.alphascope-event.com/page/workshops


IAQF-Thalesians Seminar (New York) — Dr. Roger Lee — Transformations of volatility skews into leveraged volatility skews

Roger Lee

Agenda

Monday, February 23, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

We prove a set of simple relationships which directly link the volatility skew of a leveraged product with the volatility skew of the reference asset. Error estimates are included.

Speaker

Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He serves also as an Associate Editor of Mathematical Finance and an Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University and a BA summa cum laude from Harvard University.

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


IAQF-Thalesians Seminar (New York) — Dr. Andrew Lesniewski — TBD

File:AndrewLesniewski.jpg
Andrew Lesniewski

Agenda

Monday, March 16, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

To be determined

Speaker

People/Biographies/AndrewLesniewski

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.


MathFinance 2015 (Frankfurt - External Event) — Speakers including Wystup & Amen — Quant event

Date and Time

23-24th March 2015

Venue

Frankfurt School of Finance & Management

To sign up

You can register for this event and pay online at the MathFinance website: https://mathfinance2.com/Conferences/2015 (contact saeed at thalesians.com for a discount code, which is available for Thalesians members)

Abstract

The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 23-24th March 2015.

For over 13 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.

Speaker

Many speakers who have also spoken at the Thalesians will be speaking, including Saeed Amen (co-founder of the Thalesians) and Uwe Wystup.


IAQF-Thalesians Seminar (New York) — Dr. Tim Leung — Exchange-Traded Funds and Related Trading Strategies

Tim Leung

Agenda

Wednesday, April 22, 2015:

  • 5:45 PM Registration
  • 6:00 PM Seminar Begins
  • 7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event on Meetup here

Registration fees are complimentary for IAQF members. Go to the IAQF-Thalesians Events site for further details.

Abstract

We discuss a number of static and dynamic portfolios related to exchange-traded funds (ETFs). We first discuss the price dynamics of futures-based ETFs and leveraged ETFs. This leads us to develop futures-based strategies for the objective of leverage replication, and discuss their applications to VIX and commodity (L)ETFs. We also analyzed several trading strategies involving multiple leveraged ETFs, accounting for their leverage ratios, volatility decays, expense ratios, and tracking errors. The performance and risk characteristics of these portfolios are studied both analytically and empirically.


Speaker

People/Biographies/TimLeung

IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.

Past Seminars

Seminars from 2014

Seminars from 2013

Seminars from 2012

Seminars from 2011

Seminars from 2010

Seminars from 2009

Personal tools