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Trading Show New York_2015
- 1. 2015 AGENDA
08:00 BREAKFAST & REGISTRATION
08:50 CHAIRPERSON'S OPENING REMARKS
Quant World & Big Data in Finance09:00
Artificial intelligence, machine learning and the automation of risk management - where do we
go from here?
Using non-linear decision-making programs to simulate human intelligence
Modern machine learning tools for risk management – support vector machines, neural networks and
self-organizing maps
New trends and theoretical development in deep learning architectures, training methods, paradigms,
software and hardware
Where is artificially intelligent risk management headed?
Igor Halperin, Executive Director, Quantitative Research, JPMorgan
Automated Trading & HPC09:00
The U.S. dollar safe haven myth and the “United States hedge fund”
Debunking the US dollar “Safe Haven” theory
Empirical analysis of US capital flows
Designing a simple, and economically intuitive, FX investment strategy
Alessio de Longis, Vice President & Portfolio Manager, Oppenheimer Funds
Quant World & Big Data in Finance09:20
Predictive analytics as a competitive differentiator – how can you transform big data into
psychic data?
What hardware, software and data storage infrastructure do you need to deploy an effective predictive
analytics strategy?
Where are the biggest opportunities for predictive analytics - in the markets or inside the enterprise?
How can you best work with vendors to best define, adopt and invest in the power of predictive
- 2. analytics?
Alpha creation vs. risk reduction – which domain offers the most value for predictive analytics?
What are the cutting-edge predictive technologies that deliver alpha?
Moderator
Sri Krishnamurthy, Founder, QuantUniversity LLC
Panelists
Murray Thom, Director, D-Wave Systems
Luigi Mercone, Managing Director, Enterprise Engineering & Architecture, BNY Mellon
Dr. Venkat Srinivasan, Chairman & CEO, RAGE Frameworks
Neeraj Hegde, Quantitative Trading Architect, Societe Generale
Automated Trading & HPC09:20
Cloud strategy for capital markets – how can you invest for success?
Synergizing cloud-based solutions with big data analytics, mobility and social media
Weighing the barriers to cloud adoption – cross-border data rules, security, privacy & high transition
costs – against the benefits of infrastructure scalability, agility and increased revenue potential
Developing a customized cloud adoption strategy – what business processes can be migrated to the
cloud from the front to back offices?
Public cloud vs. private cloud – deploying the appropriate infrastructure for your firm
Moderator
Anthony Vigilante, Head of Global Information Technology, MacKay Shields
Panelists
David Lewis, Managing Director, Head of Architecture and Platform Services, BNY Mellon
Tucker Goodrich, Chief Technology Officer, Mariner Investment Group
Napoleon Hernandez, COO & Director of Research, Data Capital Management
10:00 SPEED NETWORKING
10:50
Microwave lines – a review of the latest developments
Improving regulation through transparency and complexity reduction
More routes? What to expect
Methods of ensuring reliability
Stéphane Ty , Co-Founder, McKay Brothers
11:20
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- 3. High performance data center computing using manageable distributed computing
Today’s performance, agility and operational demands – why new computational and
networking platforms aren’t enough
High-performance hardware and the need for automation and easy programming support
How to program and automate while exploiting enhanced performance and cost reduction of a
distributed compute data center
Andrew Bach, Chief Architect - Financial Services, Juniper Networks
Rahsaan Akbar, Practice Manager - Network Integration, Dimension Data
Quant World & Big Data in Finance11:40
Modeling for the future – how must quants evolve to ensure long-term survival?
The dangers of correlating markets – do quants trade the markets without intermarket awareness?
Overcoming survivorship bias when using historical datasets
Will the need to constantly update models lead the quantitative investment process toward full
automation?
Improving quant performance – diversifying data sources, implementing unique factors and building
proprietary models
Moderator
Indrani De, Senior Director of Quantitative Research, New Amsterdam Partners
Panelists
Attilio Meucci, Chief Risk Officer, KKR
Josh Levy, Managing Director, Tactical Asset Management
Gregory Martin, Executive Director, Linear Quantitative Research, JPMorgan
Jack Kim, Chief Risk Officer, Data Capital Management
Automated Trading & HPC11:40
Next-generation infrastructure, data storage and latency management tools for high-
performance trading
Ultra low latency: ticker plants and order execution gateways
Measuring latency; how fast do you need to be?
Microwave lines, dark fiber and maximizing network infrastructure
Using real-time streaming databases and messaging
What’s new in storage and how should you invest?
Containerization vs. virtualization – how can you leverage container technology to increase operational
efficiency, boost scalability, facilitate application development and lower costs?
Moderator
David Winig, CIO, CB&S Core Trading Technology, Deutsche Bank
Panelists
Gene Zeltsman, CTO, Atto Capital
- 4. Jeffrey Birnbaum, Founder & CEO, 60East Technologies
David Rukshin, CTO, WorldQuant
12:20 NETWORKING LUNCH & ANALYTICS WORKSHOP
Quant World & Big Data in Finance13:30
Dodd-Frank, SEF trading and centrally cleared swaps – is it working?
Concerns surrounding market fragmentation, low liquidity, regulatory arbitrage and duplicative
compliance
How can regulators achieve substituted compliance and regulatory consistency between rule sets in
the U.S., E.U. and other major jurisdictions?
What technologies are being deployed to combat the complex operational challenges facing the SEF
market?
Market Agreed Coupon (MAC) swaps – will they increase anonymous CLOB trading?
Moderator
Michael O’Brien, Director of Global Trading, Eaton Vance
Panelists
Sol Steinberg, Principal, OTC Partners
Michael Koegler, Managing Director, Javelin Capital Markets
Automated Trading & HPC13:30
Algorithmic trading in 2016 – can you still capture alpha with a pure technology play?
Smarter algos vs. faster execution – how do you get the best of both worlds?
Raising your algorithmic IQ through advanced big data analysis and improved execution efficiency
Leveraging vendor relationships to solve business challenges and maximize ROI from existing trading
technology and infrastructure
Big data and the other side of low latency – how to uncover trading signals in unstructured data through
natural language processing, sentiment analysis and advanced analytics
Moderator
Irene Aldridge, Chief Executive Officer, Able Alpha Trading
Panelists
Antonio Hallak, Chief Executive Officer, Sibyl Trading
Vladimir Danishevsky, Trading Strategist, Maritime Capital
Tommi Vuorenmaa, Former Head of Research & Trading, Valo Trading
Nataliya Bershova, Director, Quantitative Research & Trading, Citadel LLC
- 5. Quant World & Big Data in Finance14:10
Quantitative strategies for trading volatility as an asset class
Applying VIX and VSTOXX to term structure games
Pricing and hedging with smiles
Theoretical skews and computing option prices
Bruno Dupire, Head of Quantitative Research, Bloomberg
Automated Trading & HPC14:10
Market data management and analysis – how can quant funds deploy winning strategies in
today’s cutthroat trading environment?
How must quant funds adjust to decaying alpha, tighter spreads, thinner margins and increased risk
aversion when implementing a market data strategy?
Transaction cost analysis (TCA) – why have performance measurement solutions for post-trade, intra-
day and real-time cost analysis become so vital to the trade lifecycle?
How to capture, cleanse, store and analyze cross-asset and cross-geography data for alpha discovery
in turbulent market conditions
Vendor relationships – the build vs. buy puzzle and working with your provider to improve performance,
capacity and cost efficiency
Moderator
Peter Esler, Global Head of Market Data, Jefferies
Panelists
Louis Lovas, Director, OneMarketData
James Koutoulas, CEO, Typhon Capital Management
Quant World & Big Data in Finance14:30
Market impact of macroeconomic announcements – do surprises matter?
How do surprise announcements impact US ETF prices and US equity prices?
Alec Schmidt, Chief Data Officer, Kensho Finance
14:50 AFTERNOON NETWORKING BREAK
15:20
Quantum computing, the new era of IT and what it means for the trading world
The nuts and bolts of a quantum computer – how do these groundbreaking machines tap into
- 6. fundamentally different physics than traditional computers?
How exactly do quantum machines harness previously untapped physical effects such as
superposition, entanglement and co-tunneling?
How can these quantum computational resources be applied in the capital markets space?
Dr. Colin Williams, Director of Business Development & Strategic Partnerships, D-Wave Systems
15:40 ROUNDTABLE DISCUSSIONS
1. Responsible investing – how to leverage ESG (environment, social, governance) factors to increase portfolio
performance
Moderator
Indrani De, Senior Director of Quantitative Research, New Amsterdam Partners
2. Smart beta and enhanced indexing strategies for capturing yield and mitigating portfolio risk
Moderators
Kal Salama, Chief Investment Officer, The Headlands Group
Arthur Berd, Founder & CEO, General Quantitative LLC
3. Multiperiod portfolio selection and Bayesian dynamic models
Moderator
Gordon Ritter, Senior Portfolio Manager, GSA Capital
4. How do I know the other side of my trade is wrong?
Moderator
Brett R. Schlapfer, Managing Member, Bullet Hill Capital
5. Data mining and predictive modeling – how to drive strategic insights through pattern discovery
Moderators
Takayoshi Wiesner, Vice President, Global Capital Markets, Morgan Stanley
Sri Krishnamurthy, Founder, QuantUniversity LLC
15:40 ROUNDTABLE DISCUSSIONS
1. Asian markets and cash equity trading – how important are high speed and low latency?
Moderator
Chuck Chon, CEO, SBI Japannext
Registered
Sandeep Tyagi, Chairman & CEO, Estee Capital
Gaurav Sahni, Vice President, Estee Capital
Vivian Yang, Director, National Bank of Canada
2. Volatility – new trading strategies outside the VIX
Moderator
Derek Wang, CEO, Bell Curve Capital
- 7. Registered
Adam Grant, Chief Quantitative Strategist, Volant Trading
3. Developing unique financial models with quantum computing
Moderators
Dr. Colin Williams, Director of Business Development & Strategic Partnerships, D-Wave Systems
Marcos Lopez De Prado, Senior Managing Director, Guggenheim Partners
Quant World & Big Data in Finance16:20
Active vs. passive investing – will active managers make a comeback?
Volatility, new regulations, market conditions and the implications for actively managed funds – is the
traditional active management model doomed?
Smart beta and enhanced indexing – really the best of both worlds?
Active management fee structure – does it need an overhaul?
Moderator
Arthur Berd, Founder & CEO, General Quantitative LLC
Panelists
Dennis Hynes, Chief Operating Officer, Briarwood Molinero International
Kal Salama, Chief Investment Officer, The Headlands Group
Katina Stefanova, Founding Partner & Chief Investment Officer, Marto Investment Partners
Automated Trading & HPC16:20
Data-driven transparency and changing market structure – what does it mean for electronic
trading?
Global LEI system, Regulation NMS and data transparency – are they working?
Trade-at rule, maker-taker rebates, tick size pilot program, central clearing and execution best
practices
How can new technological developments in real-time analytics and supercomputing bring increased
transparency to the global financial markets?
How can the CFTC and other regulatory outfits sufficiently monitor and protect a complex and rapidly
evolving computer-driven marketplace?
Moderator
Michael J. Levas, Founder & Chief Investment Officer, Olympian Group
Panelists
Rajeev Ranjan, Policy Advisor & Business Economist, Federal Reserve Bank of Chicago
Sean Hendelman, CEO, T3 Trading
Bryan Harkins, EVP & Head of U.S. Markets, BATS Global Markets
Haim Bodek, Managing Principal, Decimus Capital Markets
- 8. Quant World & Big Data in Finance17:00
Derivatives pricing in the new world – features and challenges
Old world vs. new world derivatives – pricing, structuring & challenges
New features and challenges – CSA and initial margins, clearing, XVA
XVA implementation – what are the biggest issues?
Fabio Mercurio, Head of Quantitative Analytics, Bloomberg
Automated Trading & HPC17:00
Innovation in quality assurance – what is the impact on trading technology?
Agile methodologies and the death of software testing
Can finance industry adopt the same formal methods that allowed NASA to reach Pluto?
Lessons learned from the Terminator/BS Galactica and the next generation of risk controls
What is crowd-sourced verification in the age when machines rule the market?
Cognitive technologies and building test harness for algo trading systems
Iosif Itkin, Co-Founder, Exactpro & CEO, London Stock Exchange Group, Exactpro Systems
17:20
Generalized optimal trading trajectories – a financial quantum computing application
What are the problems with generalized dynamic portfolio optimization?
For large asset managers, how are costs from excessive turnover and implementation eroding
profitability?
How can this problem, intractable to modern supercomputers, be reformulated amenably for
quantum computing?
Marcos Lopez De Prado, Senior Managing Director, Guggenheim Partners
17:45 CHAIRMAN'S CLOSING REMARKS & NETWORKING COCKTAIL PARTY
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