2016 Agenda 

 
 
08:00

BREAKFAST & REGISTRATION

 
08:50

Chairman's Opening Remarks

 
 
Panel discussion
09:00

A brave new world for HFTs – going public, attracting talent and battling public perception

  • Will Virtu’s IPO in 2015 set a precedent for other HFT IPOs in the coming years?
  • Is regulatory scrutiny, coupled with a lukewarm public perception of HFT, just short-term noise or a significant concern for firms considering launching an IPO?
  • Regulation AT – how would the CFTC’s landmark proposal affect proprietary traders, market fairness and systemic risk?
  • Do the potential benefits justify significantly lowering the bar for government access to intellectual property?
  • Can the long-term investment styles employed by institutional investors benevolently co-exist with microsecond-sensitive strategies used by HFTs?
  • Are we seeing an exodus of top technology talent from finance to other verticals and industries?
  • What can the trading and investing industry do to attract, retain and develop the next generation of leadership?
  • How can the industry effectively educate the “average” investor about the merits of HFT?
 
 
 
 
 
09:40

Quantum quants – the future of finance

  • Why many of today’s popular optimization techniques, like mean-variance optimization and co-integration models, fail to perform as advertised and are actually detrimental to finance
  • Why today’s models are not felicitous to real-world applications, which require a degree of complexity and robustness that simple models cannot satisfy
  • How quantum computers can allow us to develop models cognizant of reality’s complexity and free us from an overreliance on dumb-downed models and heuristics
 
 
10:10

SPEED NETWORKING & MORNING REFRESHMENT BREAK

 
 
Automated Trading & HPC
10:55

Untapped alpha – the origins of quant trading and future of alpha

  • What role does quantitative trading have in maintaining efficient, liquid markets for the short and long-term future?
  • The importance of understanding the sources of returns when designing trading strategies
  • How will advances in quantitative research help uncover new sources of alpha?
 
Quant World & Big Data in Finance
10:55

Deactivating “active share”

  • What is active share, and how are mutual funds and institutional money managers using this metric to influence asset allocation decisions?
  • How, if at all, does it correlate to benchmark returns, fund returns and overall performance?
  • Should institutional money managers emphasize active share as a manager selection tool or an appropriate guideline for portfolios?
 
 
Automated Trading & HPC
11:20

HPC strategy for capital markets – how are you modernizing storage, software and server technology to meet current demands?

  • Data analytics solutions  – how to deploy Hadoop, Spark, Cassandra and other software frameworks for data-intensive workloads
  • Total IT virtualization & software-defined data centers  – can you automate your data center by using policy-based software to manage pooled networking, server and storage computing resources?
  • OpenStack  – working with vendors to streamline installation, configuration, deployment and maintenance
 
 
 
Dino Vitale,   Director, Distributed Platform Engineering,  TD Securities
 
Quant World & Big Data in Finance
11:20

Risk analytics – how are you applying big data technologies to manage and mitigate risk?

  • Predictive analytics  – how are you using predictive tools to measure risk?
  • Automation & real-time analysis  – what hardware, software and computing resources are necessary to automate risk management in real time?
  • Barriers to implementation  – data security, budgetary limitations, unorganized and siloed data
 
 
 
 
Pouya Taaghol, PhD,   CEO,  Big Data Federation, Inc
 
 
 
Automated Trading & HPC
12:00

Next-generation infrastructure – FPGAs, acceleration technologies and low-latency networks

  • Budget balancing  –speed vs. capacity and latency vs. performance
  • Parlaying speed into intelligence  – how are new classes of server technology enabling deterministic performance in addition to cutting latency?
  • Measuring the value of FPGA enhanced functionality  – how can they optimize trade workflow and be applied beyond the traditional domains of market data acquisition and distribution?
  • Key differentiators for high-performance servers  – what features can provide latency-sensitive trading firms with superior performance in connectivity, data access and computation?
  • Scalable flash storage  – is the growing market for flash storage an optimal alternative for data-driven hedge funds, trading firms and banks using traditional performance-optimized HDDs?
  • What advantages can flash-based configurations offer in terms of flexibility, efficiency and scalability for large-scale big data and analytics applications?
  • Deploying Java virtual machines (JVM) for enterprise workloads to improve deployment time for new algorithms, maximize operational efficiency and remove tail risk
 
 
 
 
Quant World & Big Data in Finance
12:00

Hedge funds in the doldrums – will underperformance, high fees and disruptive technology spell the end of traditional active management?

  • Exiting pensions –  do recent hedge fund divestitures by NYCERS and CALPERS spell imminent transformative change for active management, or is this nothing more than a blip on the long-term radar?
  • Compensation structure –  is it time to re-think the fee structure for active managers?
  • Alternative options –  how much are smart beta funds, robo-advisories and other low-cost actively managed ETFs threatening the traditional fee model? How can institutional asset managers respond to the increasing threat of disruptive investment technology?
  • Man vs. machine –  will AI-driven investing make discretionary investing obsolete or complement the traditional model? What would a hybrid approach look like?
  • Regulation and performance –  how has Dodd-Frank, MiFID and other regulatory initiatives hampered hedge fund performance?
 
 
 
 
 
 
12:40

NETWORKING LUNCH

 
 
Automated Trading & HPC
13:50

‘Best ex’ standards – what is the buy-side looking for from brokers?

  • Buy-side control –  what is driving buy-side firms to seek more power in the execution process? How would more buy-side control affect clearing costs?
  • Cross-asset market microstructure –  how are Reg NMS and MiFID changing firms’ approach to sourcing liquidity? Has regulation ultimately improved or hindered execution?
  • Execution strategy –  how are firms deploying algorithms in both dark and lit venues to locate the best price with minimal price leakage?
  • Broker innovation –  how can savvy brokers evolve strategies and differentiate algorithms to meet buy-side demands?
 
 
 
 
Quant World & Big Data in Finance
13:50

Sharing is caring – how can firms capture ‘alpha’ through open source technology?

  • Are cost pressures the only driving force behind the open source movement among trading firms, hedge funds and banks?
  • Market participants are highly protective over the source code powering their trading systems, but are human factors equally important to a firm’s competitive advantage?
  • How can we create an environment that encourages firms with proprietary technology to contribute back to open source projects?
  • Docker and open-source container applications – how do these new technologies benefit enterprise infrastructure development?
  • How will open source solutions shape the future of quant and algorithmic trading?
 
 
 
 
 
 
Automated Trading & HPC
14:30

Quit yankin’ my blockchain – will distributed ledger technology actually live up to its enormous expectations for disruption?

  • Blockchain champions rave about its potential to facilitate faster, cheaper, safer and more transparent financial transactions – are you buying into the value statement?
  • Measuring the response from banks and governments around the world –   are key market players encouraging the development and integration of distributed ledger technology?
  • Regulatory considerations and industry standards – how should this technology be governed to both minimize transactional risks and encourage mass-market adoption?
  • Which existing pain points, business applications and revenue-generating use cases are most favorable for blockchain adoption and integration?
 
 
 
 
 
Quant World & Big Data in Finance
14:30

Combining Black-Litterman, exotic beta and risk parity – a unique approach to portfolio optimization

  • Creating a robust, flexible framework for portfolio construction by integrating three traditionally alternative techniques, Black-Litterman optimization, exotic beta and risk parity
  • Implementing exotic beta as a prior alpha model in the classic Black-Litterman approach
  • Using the risk parity portfolio as the efficient starting portfolio for Black-Litterman optimization on both theoretical and practical grounds
  • How can this integrated methodology create a robust, flexible framework beneficial to a wide range of investors?
 
 
 
Quant World & Big Data in Finance
14:50

‘The present of futures’ – new findings on pricing derivatives

  • The convexity conundrum in the old world
  • The multi-curve framework
  • The convexity conundrum in the new world
  • Numerical examples
 
 
15:10

AFTERNOON NETWORKING BREAK

 
15:30

INTERACTIVE ROUNDTABLES (CLICK TO EXPAND)

These small group discussions don’t require any presentation or preparation, and are simply designed to serve as platforms for networking, collaboration and information exchange between like-minded professionals.

Since roundtable sessions run concurrently, you can choose 1 session that is most interesting.

Click on above text to expand list of roundtable topics and the respective discussion leaders.
 
Automated Trading & HPC
16:10

How are you leveraging the financial data explosion to create a faster, more intelligent front office?

  • How are you minimizing latency in active decision making
  • How are you deploying analytics (both visual and statistical) to facilitate profitable trading decisions?
  • Regulation and execution – data-savvy approaches to achieving best execution while meeting transparency requirements mandated by MiFID II and Reg NMS
  • Connecting to the big or tick data ecosystem – how are you integrating Hadoop, Spark, Cassandra, Kafka compared to tick databases, messaging and CEP engines into your technology stack?
Moderator:   Michael Dobrovolsky,   Lead Architect, Enterprise Big Data Solutions & Advanced Analytics,  Morgan Stanley
 
 
 
 
Drew Carey,   Sales Director,  BATS Global Markets
 
Quant World & Big Data in Finance
16:10

Programming wars – which language is the best for quant developers?

  • C++, Java, C#, Python, MATLAB, R, Julia – is there a clear winner?
  • Which languages would you recommend early-stage quants to master?
  • What criteria should lead developers and CTOs consider when committing to a particular language?
 
 
 
 
 
 
Automated Trading & HPC
16:50

Fully autonomous trading – how next-generation AI systems can trade like humans without any manual intervention

  • Evaluating the impact of human emotions, biases and errors on returns
  • To what extent are human psychology factors introduced into trading algorithms?
  • Quant and high frequency vs. fully autonomous trading – what are the differences?
  • Forecasting future developments in artificial intelligence and implications for financial markets – have we entered a second machine age?
 
 
 
Quant World & Big Data in Finance
16:50

Unspanned stochastic volatility and conformal symmetry

  • Combining calibration flexibility of market models with tractability and computational efficiency of shot rate models
  • Enabling robust calibration to the whole variety of caps and swaptions with various expirations, strikes and tenors
  • How Backward induction via low dimensionality allows for efficient valuation of Bermudan swaptions without resorting to suboptimal American Monte Carlo
 
17:10

Trading, poker and game theory

  • Game theory versus random walk models
  • Strategic positions versus strong positions
  • Winning frequently versus winning big pots
 
 
17:40

CHAIRMAN’S CLOSING REMARKS & NETWORKING COCKTAIL PARTY

 
last published: 03/Oct/16 18:25 GMT