The following papers are available for download: Jose Menchero -  White Paper: Predicting Risk at Short Horizons (Model Insight)  Presentation slides: Predicting Risk for Short Horizons – Slides  (NB: Papers are also available for Jose’s other work on Alpha Beta Risk Attribution – please contact us directly if you’d like to know more: events@lqg.org.uk)

The following papers are available for download: Connor – Gaming the Bonus System Connor – Gaming the Bonus System Fishwick & Satchell – Active Management, Portfolio Design & Uncertainty Fishwick & Satchell – Active Management, Portfolo Design & Uncertainty  

13 May 2013   Royal Institution of Great Britain Albemarle Street, Mayfair London 09:00             Currency Order Flow and Real-Time Macroeconomic Information Pasquale Della Corte Assistant Professor of Finance at Imperial College Business School   10:00             A Critical Review of Portfolio Diversification Measures Randy O’Toole Senior Quantitative Analyst at Federated Investors   11:00             [...]

The following papers are available for download: Oleg Ruban – Manager Crowding and Portfolio Construction – Do Risk Models Cause Managers to Herd? Ruban – Manager Crowding and Portfolio Construction Robert Macrae – Risk Systems, Crowding and Vulnerability Macrae – Risk Systems Crowding and Vulnerability    

The following paper was presented: Michael Steliaros – Intra-day Optimisation for Portfolio Trading or The Empirical Benefits of Abusing Your Optimiser with High-Frequency Data

The following talks were presented: Ron Kahn – Quant Investing: Past, Present and Future Kahn – Quant Investing – Past, Present, Future Marco Dion – Market Timing: Philosophy, Methodology, Strategy Dion – Market Timing Model Bernd Scherer – Managed Futures: Does Size Matter? Scherer – Three Observations on CTAs Dan di Bartolomeo – Portfolio Formation [...]

The following paper is available to download: Walter Distaso – Some Recent Developments in the Econometrics of High Frequency Data Distaso – High Frequency Data

The following paper was presented: Francis Breedon – Sovereign Debt Risk  

The following papers are available to download: Dan diBartolomeo – The Real Risk of Pension Funds DiBartolomeo – Asset Allocation & Risk Randy O’Toole – Another Look at the Myth of Diversification O’Toole – Another Look at the Myth of Diversification Dimitris Melas   – Harvesting Risk Premia with Strategy Indices Melas – Harvesting Risk Premia [...]

The following papers is available to download: Marco Dion – News Analytics – Can they Add Value to Your Quant Process? Dion – News Analytics