• 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)

• Connor – Gaming the Bonus System

Connor – Gaming the Bonus System

• Fishwick & Satchell – Active Management, Portfolio Design & Uncertainty

Fishwick & Satchell – Active Management, Portfolo Design & Uncertainty

 Looking ahead to 2013 we intend to run a series of eight (or nine) evening seminars over the year (we’ll post details for Q1 on the website early in the New Year), and a one day seminar in London (Monday 13^th May at the Royal Institution in London). The Investment Seminar will be held at Pembroke College, Oxford, from 9^th to 11^th September. More details will be available for both early in the new year.

So now the days darken, the mercury drops in the thermometer, and we have three more evening seminars in London before the end of the year. First up is Dr Michael Steliaros from BAML on Tuesday October 3^rd, talking about Intra-Day optimization (one of the hot topics of the age). Anyone with an interest in quantitative finance can attend, it’s free, there’s wine. Details are elsewhere on this page.

Ed Fishwick,  26 Sep 20102

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             Coffee

11:30             Global Equity Portfolio Management under State Dependent Multiple Risk Premia

Prof. Nikolaos Tessaromatis

Professor of Finance at EDHEC Business School

12:30             Lunch

14:00             Casino Royale – Are corporations gambling with derivatives?

Prof. Dr. Söhnke M. Bartram

Professor of Finance at Warwick Business School

15:00             Time varying sparsity in dynamic regression models

Prof. Jim Griffin

Professor of Statistics at Kent University

16:00             Coffee

16:30             A Practical Approach to Sovereign Credit Risk

Dan diBartolomeo

President, Northfield Information Services Inc.

Details

When: 13th May 2013, 09:00 to 17:30. Doors open at 08:45

Where:
The Royal Institution of Great Britain
21 Albemarle Street
W1S 4 City of Westminster
United Kingdom

Tickets:
Tickets are £300 plus VAT
You can book online by clicking here or you can email events@lqg.org.uk

Other useful information:
A buffet lunch is included
Supper is organised for after the seminar, a short walk from the venue. This is extra, payable on the evening.

Any enquires regarding the event should be send to events@lqg.org.uk

at

Pembroke College and the Malmaison,

Oxford, UK

Speakers include:

Doyne Farmer

Martin School, University of Oxford

Ron Kahn

BlackRock

Edward Fishwick

BlackRock

James Sefton

Imperial College, London

Advance Reservation can be made by emailing events@lqg.org.uk

• 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

• Michael Steliaros – Intra-day Optimisation for Portfolio Trading or The Empirical Benefits of Abusing Your Optimiser with High-Frequency Data

• 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 with Illiquid Assets
  • di Bartolomeo – Portfolio Formation with Illiquid Assets
• Mariella de Jong – Combining Real & Nominal Assets in Global Markets
  • de Jong – Incorporating Linkers in a Global Bond Risk Model
• Steve Satchell & Dave Allen - I/N Investing: Optimal for Investors with Little Data and Even Less Forecasting Ability
  • Satchell & Allen – 1onN Investing – Optimal for Investors with Little Data and Even Less Forecasting Ability
  • Allen, Lizieri and Satchell – 1 on N versus Mean-Variance – What if we can forecast
• Han Ossoylev – Asset Pricing with Institutional Investors & Liquidity Risk
  • Han & Hills – Asset Pricing with Institutional Investors and Endogenous Liquidity Risk
• Melissa Brown – Equity Income Strategies
  • Brown – What’s the Risk of Dividend Yield
• Doyne Farmer – Market Impact, Leverage, Systematic Rissk & the Perils of Mark-to-Market Accounting
• James Sefton & Sylvain Champonnois – Dynamic Portfolio Optimisation with Transaction Costs
  • Sefton & Champonnois – Dynamic Portfolio Optimisation with Trading Costs
• Rob Kahn – Quant Managers and the Challenges of Risk Management
  • Kahn – Quant Managers and the Challenges of Risk Management
• Ed Fishwick – Active Management in an Age of Uncertainty

The focus now is on the Autumn seminar in Oxford (9th – 12th September). In various guises this seminar has now run for 26 years and is always inspiring and always fun. The full experience involves 2.5 days of seminar, 3 nights in Oxford, a punt race, and is awesome. But a few people have asked about attending part of the seminar, and attending without accomodation etc. That’s also fine - get in touch and we can work something out.  We again have a very strong set of speakers, details of which are shown elsewhere on the website.

Ed Fishwick 12.07.12