THE QUANTster blog

NYC | QWAFAFEW

QWAFAFEW Meeting  | Tuesday, July 21st, 2009
 
Speakers: Mary Ann Bartels, Merrill Lynch US Equity Strategist | C. Michael Carty, New Millennium Advisors 
 
Time: 5:30 PM – 8:15 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY. 
Admission: $30 for Paid-Up Members of QWAFAFEW-NYC in 2009; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs. To RSVP: Please send an e-mail nyc@qwafafew.org and put date of the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, e-mails, and membership status for all attending. ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. NYC Membership Dues for 2009 are still just $50. QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter; Administrator: Moira Hand, moira727@yahoo.com. Please send checks for Membership Dues to: Herb Blank, QWAFAFEW Steering Committee c/o Rapid Ratings International, 7th Floor, 86 Chambers Street, NY, NY 10007, hblank@qwafafew.org; (917) 992-7852  To get on Mailing List: transfer the following to your browser and click http://www.qwafafew.org/phplist/public_html/lists/?p=subscribe

AGENDA  
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Presentation 1 – Mary Bartels, Lynch US Equity Strategist- The equity markets: past, present and future. A technical/structural review and explanation of what happened to the equity markets in 2008
 
What will be the role of Hedge Funds
    How will they impact the equity market - if at all?
    Will quant models regain their appeal?
    What hedge funds own versus what they don't
 
Outlook for the equity, bond and commodity markets for 2009 and beyond
 
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 – C. Michael Carty, New Millennium Advisors - Taking Out the Trash -

Which ETFs Don’t Work and Why?
A whole new world of investment opportunities opened up for investors with the introduction of ETFs, which offer significant advantages over individual securities and traditional mutual funds. As investors' interest in ETFs grew, so did their number and variety. But, has the luster faded with the recent failures of many ETFs? Do these failures portend their growth has hit its limit. Or, can these failures be attributed to an avoidable compounding of mistakes and unanticipated changes in the ETF marketplace?
Recent wrecks cluttering the ETF highway
Anatomy of a Murder/Suicide
Design Mistakes, or “Alice in Blunderland”
Demise of the Specialist System
Defining a New ETF Business Model 
 
About our speakers:
Mary Ann Bartels is Chief U.S. Market Analyst and head of the U.S. Technical and Market Analysis team within the Investment Strategy Group. She brings over 20 years of investment experience to this role and is well known by clients and business partners for developing various proprietary models for equity pairs trading and for her sector, industry and stock selection. Mary Ann is also known for her extensive work on Hedge Funds. Mary Ann is the lead analyst on research publications such as Market Analysis Comment, Hedge Fund Monitor and Monthly Chart Portfolio of Global Markets. Mary Ann rejoined Merrill Lynch in 1999 working with the European Quantitative Strategy Team, and she became head of Global Equity Trading Research Strategy in 2001. Previously, Mary Ann served as a portfolio manager at both Batterymarch and Avatar/Zweig Associates.  Mary Ann has been voted to the Institutional Investor All-American Research team for the past three years and was awarded 2nd place in 2008. Mary Ann earned Bachelor of Science and Master of Arts degrees in Economics from Fordham University.  She has been kind enough to grace QWAFAFEW with her presence as a speaker nearly every year since 1998 and we welcome her once again with grateful and open arms.

C. Michael Carty is president and co-founder of the New York chapter of QWAFAFEW, a member of the steering committee since inception, and former treasurer. He has previously made QWAFAFEW presentations on Style Analysis, a Comparative Analysis of Large Cap Indexes, Resampled Efficient Optimization, Portfolio Rebalancing, and Emerging Trends in the ETF Marketplace. He day job is principal and founder of New Millennium Advisors, LLC, an active investment management firm using proprietary quantitative disciplines to manage pension plans and individual accounts which often utilize ETFs. He also served as an expert witness in a high profile patent infringement case involving ETFs. He has authored or co-authored over two dozen articles on a variety of investment subjects, and is a frequent conference speaker; e.g., Capital Link, Dow Jones, FOW, FPA, II, IIR, IMN, NAPFA, Opal, and SRI. 
 

Future QWAFAFEW-NYC Meetings (all Tuesdays unless otherwise indicated)
Wed Aug 19th, 2009 - To be announced shortly
Sep 22nd, 2009 Ian Domowitz, ITG and Jennifer Bender, MSCI Barra
Oct 27th, 2009 - Dan DiBartolomeo, Northfield Information Systems & Jason MacQueen, Alpha Strategies
Nov 17th, 2009 – Matthew Rothman, Barclays Capital & Donald Alexander, RSD Solutions and Adjunct Professor, New York University
Wed, Dec. 9, 2009 – Diane Garnick, Equity Strategist, INVESCO and Herbert Blank, Rapid Ratings International 

NYC | QWAFAFEW

QWAFAFEW Meeting  / Tuesday, June 23rd, 2009
 "A Core-Satellite Strategy with Micro-Cap Holdings & Qualities of an Effective Market Place"

Speakers: Seddik Meziani, Montclair State University. Ronit Walny, Cohen Specialists
 

Time: 5:30 PM – 8:15 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY.  Admission: $30 for Paid-Up Members of QWAFAFEW-NYC in 2009; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs. To RSVP: Please send an e-mail nyc@qwafafew.org and put date of the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, e-mails, and membership status for all attending.  ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. NYC Membership Dues for 2009 are still just $90. QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter; Administrator: Moira Hand, moira727@yahoo.com.

Please send checks for Membership Dues to: Herb Blank, QWAFAFEW Steering Committee c/o Rapid Ratings International, 7th Floor. 86 Chambers Street, NY, NY 10007, hblank@qwafafew.org; (917) 992-7852

To get on Mailing List: transfer the following to your browser and click
http://www.qwafafew.org/phplist/public_html/lists/?p=subscribe

AGENDA  
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Presentation 1 – Dr. Seddik Meziani, Montclair State University
In this study, the S&P 500 constitutes the core of the portfolio whereas its satellite segment is comprised of micro-cap stocks. The selection of a satellite holding is often guided by the search for alpha, the financial term used for estimating additional return for the portfolio in excess of risk. Market-cap literature generally points to the outperformance of smaller companies without differentiating between small and micro-cap stocks. To determine the existence and significance of micro-caps’ risk-return trade-off, this study calls on two benchmarks of this market-cap category: the Dow Jones Wilshire U.S. Micro-Cap Index and the Dow Jones Microcap Index. The guiding thread of the analysis is to determine whether micro-cap indices are distinct enough to merit a category of their own through the use of statistical analysis based on risk-return measures. A second theme assesses whether microcaps are worthy of a separate allocation within asset allocation schemes.
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 - Ms, Ronit Walny, Cohen Specialists - " Qualities of an Effective Market Place" . Ms. Walny discusses what qualities have made for effective marketplaces historically and across borders.
8.00 – 8:15 PM – More Networking, Refreshments, and Libations

About our speakers: 
Seddik Meziani is a professor in the Department of Economics and Finance in the School of Business (SBUS) at Montclair State University (MSU) and an adjunct professor at Rutgers Graduate School of Management. He has also extensive corporate and consulting experience. Prior to joining the faculty of MSU, he worked as a senior research analyst at both Standard & Poor’s and TIAA-CREF.
 
He received a Ph.D. in Managerial Economics from Rensselaer Polytechnic Institute and an M.B.A in Finance and International Business from New York University. His teaching and scholarship is focused in the area of finance. His publications include two books on Exchange-Traded Funds and numerous publications in both academic and practitioners’ journals.
 
In 2006, he was awarded a lifetime membership in Beta Gamma Sigma for outstanding achievements. In 2009, he was nominated to be the SBUS faculty inductee to Phi Kappa Phi, the University Honor Society.

Ronit Walny is now with Cohen Specialists. Previously to joining Cohen, Ronit had served as Director of Product Sales for MacroMarkets LLC, the Provider of S&P/Case-Shiller Home Price Indices and MacroShares. Prior to joining MacroMarkets in 2007, she handled sales responsibilities at BARRA for two years and had been in Fixed Income Trading and Portfolio Management at Northern Trust for five years. Ronit is a member of the New York Society of Securities Analysts. 
 
Other Upcoming Events:
 
NYU Courant Institute Workshop on High-Frequency Finance and Quantitative Strategies June 10 -12
·        Taught by The Mathematics in Finance M.S. program
·        When: June 10-12, 2009, 3 days of intensive training from 8:30 AM to 5:00 PM
·        Place: Room 109, 251 Mercer St., New York, New York. 
·        Content: a comprehensive introduction to quantitative investment management and high frequency trading, including:
·        Financial market microstructure for the practitioner; Mechanics of trading; Common trading strategies; How to work with high frequency data; Estimation of transaction costs and market impact models; Portfolio construction with the Black-Litterman model and robust optimization; Portfolio optimization with transaction cost ; Optimal betting and execution strategies; Simulation techniques and back-testing strategies; Multi-period dynamic portfolio optimization with transaction costs; and Performance measurement.
·        Cost: $900, but QWAFAFEW Members receive a $150 discount, bringing total to $750.
·        Register: www.cims.nyu.edu/~mathfcon
·        Contact for inquiries: mathfcon@cims.nyu.edu
 

 June 11 – PRMIA Meeting on : “Risk Governance in a Changing Regulatory Environment at IBM, 590 Madison Avenue, NY, NY - $10 sustaining PRMIA members, $30 for all others
The evening focuses on the evolving regulatory landscape associated with our rapidly changing global economic environment.  Topics include global, G-20 and US Federal Government thinking and direction in the areas of qualitative and quantitative regulation.
Moderator and Chair: Philippa Girling - Garrity, Graham, Murphy, Garofalo & Flinn, P.C., PRMIA NY Chapter
Panelists: Mark Corteil - Managing Director, Credit Risk Management, Deutsche Bank
Anthony F. Kummerl - Subject Matter Expert - Financial Services, Financial Performance Management Solutions, IBM
Thomas Kuntz - Director, Credit Risk and Counterparty Credit Architecture, Citigroup
Gaurav Verma - Director Information Management Strategies, SAS Institute 
5:00 - 5:30 pm           Registration and refreshments
5:30 - 5:45 pm           PRMIA welcome and introductions
5:45 - 6:15 pm           The Challenges of the New Regulatory Landscape
6:15 - 6:45 pm           Regulatory Reporting and Risk Aggregation
6:45 - 7:00 pm           Break
7:00 – 8:00 pm          Systematic Risk, Leverage and Changing Regulatory impacts –
Panel Discussion
8:00 - 9:00 pm           Networking reception
 
June 17, Thomson Reuters Research Seminar- Backtesting Without Bias
Admission: Free
Wednesday, June 17- 5:00pm start, Thomson Reuters, 3 Times Square Marcus Bogue, PhD, Chairman & Founder of Charter Oak Sridharan Raman, Director of Quantitative Research, Thomson Reuters Together, Dr. Bogue and Mr. Raman will discuss innovative ways to eliminate look-ahead bias in backtesting strategies by illustrating how availability assumptions can skew results. Their conclusions are based on the vast number of restatements utilizing Reuters Fundamentals Point in Time. A cocktail reception will follow the presentations.
To register, paste interact.thomsonreuters.com/innovations into browser or e-mail colin.longval@thomsopnreuters.com
 
June 23, 9:00 – 10:00 AM – a PRMIA Event
FREE Webinar - New Directions for Risk Management, led by John Hull
PRMIA invites you to join John C. Hull, Maple Financial Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto, in his conversation with PRMIA’s executive director, Steve Lindo about new directions for risk management. John is well known for his books. He has spent much of the last year working on the second edition of Risk Management and Financial Institutions, which will be out in June 2009.
Go to http://prmia.org/index.php?page=training&option=trainigWebinars for registration details.
 
June 23 – 25, SIFMA’s Annual Technology Management Exhibit
Starts: Tuesday June 23, 2009, 12:00PM; Ends: Thursday June 25, 2009, 12:00PM
Location: Hilton New York; 1335 Avenue of the Americas - W 53rd St; New York, NY 10019
Website: http://events.sifma.org/2009/315/event.aspx?id=6972
Exhibit Hall admission is FREE for conference registrants and for those who register for the exhibit online in advance. Free admission offer will expire on June 22 at noon. There is a $50 charge at the door for all others.
http://events.linkedin.com/SIFMAs-Annual-Technology-Management/pub/81305
 
June 24 – Noon – 6 PM at Marriott Marquis Times Square, NY, NY
Regulatory Compliance Association's 2nd Annual Compliance & Risk Management Thought Leadership Summit. Sustaining PRMIA members may join this conference at the RCA member rate by registering at the following website:   http://www.rcaonline.org/conference_0624.phtml. Visit prmia.org and click on events tab for more details.

 Future QWAFAFEW-NYC Meetings (all Tuesdays unless otherwise indicated)
 
Jul 21st, 2009 - Mary Ann Bartels, Merrill Lynch US Equity Strategist and C. Michael Carty New Millennium Advisors
Wednesday Aug 19th, 2009 - Diane Garnick, Equity Strategist, INVESCO and Herbert Blank, Rapid Ratings International
Sep 22nd, 2009 Ian Domowitz, ITG and Jennifer Bender, MSCI Barra
Oct 27th, 2009 - Dan DiBartolomeo, Northfield Information Systems & Jason MacQueen, Alpha Strategies
Nov 17th, 2009 – Matthew Rothman, Barclays Capital & Donald Alexander, Baruch College
Wed, Dec. 9, 2009 – To be announced shortly
 
 
ABOUT QWAFAFEW [quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom, is an informal professional association with chapters in various states of functionality throughout the globe. A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations. Please visit www.qwafafew.org to learn more about the organization, its resources, and the events held by our many chapters. Our dress code, rules of “etiquette” and everything else are strictly casual.
 
Members of linked-in are welcome to join Herb Blank’s QWAFAFEW networking group on that site. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A; Recruiters, Human Resource professionals, and job-seekers are highly encouraged to use the Jobs Board on this site. if you have not been permissioned in advance, please e-mailhblank@qwafafew.org.
 

 
 
    

Boston | QWAFAFEW

http://www.qwafafew.org/boston-20090519

Next Boston QWAFAFEW Meeting: Tuesday, 19 May 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
 
a QWAFAFEW discussion led by Jarrod W. Wilcox / Wilcox Investment
 
Title: Discretionary Wealth Meets Bayesian Logic
The discretionary wealth approach derives an appropriate risk aversion parameter from an extended balance sheet including present values of future financial commitments and sources of contribution to the investment portfolio.  It assumes the goal is long-run maximization of median wealth without hitting intermediate shortfall points.  In this, it supplies the missing risk aversion parameter for conventional Markowitz mean-variance optimization.  But what if we instead marry this approach with portfolio optimization according to fully-Bayesian logic?  The ensuing exploration illuminates the portfolio construction problem and appears to provide better answers for difficult cases such as long-short portfolios. It also opens the door to a comprehensive treatment of uncertainty in proper risk aversion stemming from challenges such as longevity risk.
 
The paper can be found here on the QWAFAFEW website.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther. Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand. Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.

 2009 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
                                 
2009
 
June 16                                                       Evan Schulman
July 21                                                           Jarrod Wilcox
August 18                                                                Dan Rie
September 15                                               Mark Kritzman
October 20                                                     John Minahan
November 17                                           Dan diBartolomeo
December 15                                               John Nagorniak
   

One member of the Steerage Committee is responsible for coordinating each meeting.
Program suggestions from members are always welcome.  Hugh Crowther (Treasurer) and Donna Murphy also serve in an advisory capacity on our Steerage Committee.
 
RSVP to:  Boston@QWAFAFEW.org

NYC | QWAFAFEW

Tuesday, May 26th 
 
Joseph Mezrich, Nomura Securities International, Inc
Sriketan Mahanti, Orissa Group, Inc.
 
Time: 5:30 PM – 8:15 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY. 

Admission: $30 for Paid-Up Members of QWAFAFEW-NYC in 2009; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs

To RSVP: Please send an e-mail nyc@qwafafew.org and put date of the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, e-mails, and membership status for all attending.  ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. NYC Membership Dues for remainder of calendar-year 2009 are now just $50 – Join today. QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter; Administrator: Moira Hand, mhand@qwafafew.org.

Please send checks for Membership Dues to: Herb Blank, QWAFAFEW Steering Committee c/o Rapid Ratings International, 7th Floor, 86 Chambers Street, NY, NY 10007, hblank@qwafafew.org; (917) 992-7852 . To get on QWAFAFEW Mailing Lists: transfer the following to your browser and click http://www.qwafafew.org/phplist/public_html/lists/?p=subscribe

AGENDA  
 5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Presentation 1 - How macro is priced in equity factors; A brief tour of the crisis and its aftermath - Joseph Mezrich, Nomura Securities

Factor based investing has traditionally ignored the influence of macro forces on performance. That caused considerable pain during the credit crisis. The force of macro continues to be disruptive to many as the market has rallied – though some have figured out what needs to be done.

I will review a number of points, including: why value was crushed and where the opportunity for value is likely to be now. The real signal in estimate dispersion; how it affects style investing, how it reflects and reveals the state of the economy. Volatility & risk: Has something changed about the market’s pricing of the VIX? There are obvious and not-so obvious implications on how to construct portfolios of factors for stock selection strategies.

7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 – Liquidity Risk: Estimation and Applications - Sriketan Mahanti, Orissa Group, Inc

A recent area of concern and analysis in both financial economics and capital markets has been liquidity. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined as the uncertainty associated with the measure of liquidity. We provide empirical evidence  that validates the notion that liquidity risk is not efficiently priced  and provides trading opportunities if exploited properly. Further, we  design an information based model of liquidity where trading agents are  driven by superior information, liquidity needs, or hedging requirements.  We demonstrate that such a model can predict future period liquidity.

8.00 – 8:15 PM – More Networking, Refreshments, and Libations

About our speakers: 
 Joseph Mezrich is Managing Director and Head of Quantitative Research, at Nomura Securities International, Inc... Prior to joining Nomura in January 2006, he served as Managing Director and Head of U.S. Quantitative and Derivatives Research at UBS, commencing in 2002. From 1998 to 2002 he was Head of Quantitative Strategies/Quantitative Strategist at Morgan Stanley. From 1987 to 1998 he was Deputy Head of the Equity Portfolio Analytics Group at Salomon Brothers. Joe received the Ph.D. in Mathematical Psychology and MA in Statistics from the University of Michigan, and received the EE and the SM degrees in Electrical Engineering from the Massachusetts Institute of Technology.

Sriketan Mahanti, is a founder and Managing Director at Orissa Group, Inc.,
where he is responsible for the management of activities for product strategy and  research in Liquidity Risk. Previous to this role, Mr. Mahanti spent several years at State Street Global Markets where he managed credit markets research. Prior to State Street, Mr. Mahanti was the founder of SKG Inc., a financial analytics company that was acquired by State Street. Mr. Mahanti has academic publications in area of Liquidity Risk in reputed financial journals. Mr. Mahanti has both a B.S. and an M.S. from the Indian Institute of Technology.

London | ILOG Optimization for Quantitative Finance Breakfast

ILOG Optimization for Quantitative Finance Breakfast
Thursday May 14th, 2009, London 
  
 Finance and investment markets are highly competitive and require statistical and predictive models to accurately measure credit risk. Optimization tools will not remove all risks inherent to financial markets but they will allow users to achieve the optimal leverage of resources while balancing profits and risks. These tools will become an inherent part of strategies for making more effective management decisions.

Widely used by investment banks and asset management firms, ILOG CPLEX—the most widely-deployed optimization software in the world with more than 100 of the Global 500 as customers—is used to optimize asset allocations (actions that minimize risks and volatility while maximizing returns). ILOG CPLEX optimizes a portfolio against specified indices, creating portfolios with risk profiles closely matched to a given benchmark, and creating, managing and rebalancing portfolios that meet customers' investment goals and risk aversions.

During this free event, a selection of presentations from our Optimization experts and from Michael Dempster (Director of the Centre for Financial Research) will show you how ILOG Optimization gives you a high competitive advantage to solve the most challenging problems encountered in the financial industry.

Register to join us for this free event.

ILOG Optimization for Quantitative Finance Breakfast Date: Thursday, May 14, 2009
Time: 8:00 am-10:30 am 
Location: Regus No. 1 Poultry
London EC2R 8JR
Tel: 020 7643 2200
Directions 

Agenda

Schedule  Presentation
 
8:00 am Welcome with Coffee
 
8:15 am Introduction to ILOG Optimization : Hermann Stolle, ILOG
 
8:45 am Practical Asset Liability Management Using Dynamic Stochastic Optimization : Michael Dempster, Centre for Financial Research
 
9:45 am Using the ILOG Optimization Suite in your projects : Hermann Stolle, ILOG
 
10:30 am Discussion 
  
 Workshop Presenter

Hermann Stolle, PhD
Dr. Hermann Stolle has been working in the area of mathematical optimization for 14 years with a focus on portfolio optimization, logistics and production planning, unit commitment, network design and graph layout. In his current role as senior technical account manager at ILOG, an IBM Company, Dr. Stolle advises customers and prospects on ILOG, an IBM Company’s technologies and the conception of ILOG, an IBM Company’s optimization solutions.

Michael A H Dempster, Professor Emeritus, Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Michael Dempster has taught and researched in leading universities on both sides of the Atlantic. He is currently editor-in-chief of Quantitative Finance. Mr. Dempster has been consultant to a number of global financial institutions and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 100 published research articles in leading international journals; his books include Stochastic Programming, Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond and Quantitative Fund Management. He is currently managing director of Cambridge Systems Associates Limited, a financial consultancy and software company.

Contact
For answers to your questions or assistance with your workshop registration, please contact Christophe Megevand:
E-mail: id-emea-events@ilog.com
Phone: +44 (0)1344 661 688

Registration
Attendance is free. Refreshments will be provided, compliments of ILOG, an IBM Company.

To register for the breakfast, enter your e-mail address and you will receive an e-mail confirmation. Seating is limited, so we encourage you to register now.
 

Boston | QWAFAFEW

a QWAFAFEW discussion led by Dan diBartolomeo, Northfield Information Services, Inc.
 
Title: Incorporating New and Investor Sentiment into Portfolio Risk Estimation
Traditional models of security and market risk respond relatively slowly to dramatic changes in conditions, because it is necessary to obtain a statistically sufficient sample of observations of returns and related security characteristics under the new regime. This paper, diBartolomeo, Mitra and Mitra (2009), provides a method to adjust financial risk estimates nearly instantaneously based on algorithmic analysis of the number and content of news articles pertaining to the securities under study. Empirical tests of both European and US stocks suggest that the information derived from news analysis is a significant contributor to risk estimation, above and beyond other "near contemporaneous" sources of information such as option-implied volatility.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther
 
Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.
 
Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.

NYC | FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Stephen Blyth at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia. See the spring seminar schedule at:

http://www.ieor.columbia.edu/seminars/financialengineering/2008-2009/spring/
index.html

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus: www.columbia.edu/cu/aboutcolumbia/maps/index.html

The Quant Delusion: Financial Engineering in the post-Lehman Landscape

Date: 04-27-2009
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Stephen Blyth, Harvard Management Co.
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT : There has been much discussion recently amongst financial engineers
("quants") about the limitations of quantitative models for pricing derivative securities. As Emanuel Derman has written, "The most important questions about any model are: 'What does it ignore and how wrong is it likely to be?"  The financial markets have shown an uncanny ability to provide the answers to these two questions, especially to quants who did not ask them in the first place.

Recent dislocations in the financial markets, especially since the bankruptcy of Lehman Brothers in September 2008, are significantly changing the landscape for financial engineering and are challenging fundamental assumptions behind the application of quantitative models. Generally accepted logical arguments for assessing value have been shown to have limited validity. We present an empirical review of recent market phenomena that illustrate this shifting landscape, focusing on events in fixed-income markets. We describe some possible causes for these phenomena, in particular highlighting constraints that currently affect a broad range of market participants. We discuss whether such a landscape is likely to persist into the future and how quants and investors can adapt to the new environment.

BIO : Dr. Stephen Blyth is Managing Director and Head of Internal Portfolio Management at the Harvard Management Company, the wholly-owned subsidiary of Harvard University which is responsible for the management of the University's endowment and related accounts. He is also a member of the faculty of the Department of Statistics at Harvard University. Before joining Harvard in October 2006, Stephen was Managing Director and head of the Global Rates proprietary trading group at Deutsche Bank in London, leading a team of professionals trading across fixed income markets.

Stephen joined Deutsche Bank in May 2003 from Morgan Stanley in New York where he was Managing Director in the Interest Rate Group, trading US interest-rate derivatives. He was previously Vice President in the Specialised Derivatives Group at HSBC.

Stephen holds a PhD in Statistics from Harvard University and an MA in Mathematics from Christ's College, Cambridge University. After graduating from Harvard he was a Lecturer in the Department of Mathematics at Imperial College London. Stephen has published in both academic and industry journals and is a frequent invited speaker at international finance conferences.

NYC | QWAFAFEW

NYC QWAFAFEW - Brooke Allen - Back By Popular Demand!

Tuesday Apr 28 2009 - The Economics of Hard Times
NYC QWAFAFEW - Brooke Allen - Back By Popular Demand!

Tuesday Apr 28 2009 - The Economics of Hard Times
Patrick Conway's Restaurant & Pub
40 East 43rd Street, 0.5 blocks from Grand Central, Downstairs Room

Agenda
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business - Mike Carty & Herb Blank
6:15 - 7:00 Brooke Allen, Maple Securities USA – Head, Quantitative Strategies: Presentation I - The Economics of Hard Time
7:00 - 7:30 Break – Networking Game Release 2.0
7:30 - 8:15 Presentation II – Finding Work, Jobs, and Opportunity in Hard Times.

$30 Members; $40 Members of PRMIA, any CFA society, CAIA, IAFE, CTHFA, CQA, SQA, TRISAME, GARP, any student, and anyone currently unemployed
$50 all others

RSVP: nyc@qwafafew.org
Questions? herbert.blank@rapidratings.com or 917-992-7852

San Franciso | QWAFAFEW

Please join us for our next meeting on March 24 at L'Olivier French Restaurant at 5:30pm. L'Olivier is located at 465 Davis Ct, San Francisco, about 4 1/2 blocks north of Market Street from the Embarcadero BART station. Map link: http://tinyurl.com/bae663

You can register for the meeting using the Acteva link below. SF QWAFAFEW members who have paid their 2009 calendar year dues can attend without registering.

http://www.acteva.com/booking.cfm?bevaid=179756

Speaker: LaVaughn Henry, Director of U.S. Economic Analysis, PMI Group

Abstract: Methods and Forecasts of House Price Appreciation Forecasts and Probabilities

Provides a detailed analysis of the methods used in estimating quarterly appreciation rates, and probabilities of decline, in each of the nation's 381 MSAs. The results of this modeling procedure form the basis of the results for a quarterly Economic and Real Estate Trends report produced by The PMI Group, Inc.

Speaker Bio: Dr. LaVaughn M. Henry is the Director of U.S. Economic Analysis for The PMI Group, Inc., in the Economics & Corporate Strategy Department. PMI is a leader in the private mortgage insurance industry.

Dr. Henry is responsible for developing PMI's econometric modeling efforts and projections of home prices (at the national, state, and metropolitan levels) and PMI's U.S. Market Risk Index. In addition, he is in charge of producing regular analyses of the U.S. economy and housing and mortgage markets. He is an accomplished public speaker and regularly presents to various industry, government, and other professional organizations. Dr. Henry helped to develop and co-authors the company's two regular economic publications: Economic and Real Estate Trends (ERET) and The Housing & Mortgage Market Review (HaMMR), and has led in the development of many of the company's econometric models and various other predictive tools used in the assessment of risk in the housing and mortgage markets.

Prior to working at PMI, Dr. Henry was the Director of Midwest Regional Communications at Fannie Mae, in its Housing and Community Development Group. He has also held senior economic positions in the Budget Committee of the U.S. House of Representatives, the Federal Housing Finance Agency (formerly the Office of Federal Housing Enterprise Oversight), the FDIC's Resolution Trust Corporation, PricewaterhouseCoopers, and Ford Motor Company.

Dr. Henry received both his Doctorate and Masters degrees from Harvard University in Economics, specializing in the areas of Finance and Industrial Organization.
------------------------
Learn more about SF QWAFAFEW at our web site:
http://sites.google.com/site/sfqwafafew/Home

NYC | New York Quantitative Finance Seminar

The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/2008_2009/sprin
g/index.html

Thursday, March 26th, 2009, 5:30pm PM-7:00 PM

Presentation by Lorenzo Bergomi, Société Générale on Modelling the smile of volatility

These last few years have witnessed the growth of the market of general options on variance, implied or realized, spot-starting or forward-starting, as well as the market of VIX futures and options. In this talk we present new work on the joint dynamics of the spot and its volatilities that addresses the issue of the smile of volatility of volatility which is manifested, for example, in the smiles of options on VIX futures.

VENUE: Park Avenue Plaza, 55 East 52nd Street, 11th floor. An ID will be needed to access the auditorium (lower level). Admission to the conference will be on a first come first serve basis. The capacity of the seminar room being limited to 140, the organizers reserve the right to refuse entrance to participants arriving after the capacity limit is attained.

**** Please use the following link to inform us of your intent to attend this month's conference:

http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html

Please note that this registration does not guarantee admission, the conference will be attended on a first come first serve basis. ****

* About the speaker: Lorenzo Bergomi is head of Quantitative Research in the Equity Derivatives department at Société Générale, where he has been since 1997. Originally trained in electrical engineering, Lorenzo obtained a PhD in theoretical physics in the theory group at CEA, Saclay, France, then spent two years in the physics department of MIT before joining SG.

The New York Quantitative Finance Seminar is a forum for discussion of new results and insights coming from quantitative modeling in finance and risk management, for the New York quantitative finance community. The New York Quantitative Finance Seminar is brought to you by Center for Financial Engineering, Columbia University & NYU Courant Institute of Mathematical Sciences. Sponsored by BlackRock, Standard and Poor's, Finance Concepts, Europlace Institute of Finance

Organizing committee: Marco AVELLANEDA (NYU Courant Institute), Rama CONT (Columbia University), Emanuel DERMAN (Columbia University), Craig FRIEDMAN (Standard and Poor's)

San Francisco | QWAFAFEW

Next Meeting: 5.30 pm on March 24, 2009 http://sites.google.com/site/sfqwafafew/March2009

 Venue:
L'Olivier French Restaurant
465 Davis Ct
San Francisco, CA 94111
(415) 981-7824
Get directions

Speaker: LaVaughn Henry
 
Bio: LaVaughn Henry  runs the economic modeling of house prices at PMI

Topic: On economic modeling of house prices

Abstract: TBD
Use the acteva link below to register for the meeting or to purchase annual membership.  QWAFAFEW members who have already paid their 2009 dues do not need to register. 
TBD

The link is valid only before the meeting.

San Francisco QWAFAFEW Steering Committee (Alphabetical Order)
 
Ralph Goldsticker, Mellon Capital Management
Rosy Macedo, Thomas J Watson Fellowship Program
Robert Maxim, Duff & Phelps
Matt O'Hara, Barclays Global Investors
Jim Quinn, Quantal International - SF chapter chairman
Irene Rusman, Oracle
Seth Stafford, Oracle

Membership & Inquiries
 
Annual membership fee is a $50. Members will enjoy free attendance at meetings. To be added/removed to the SF QWAFAFEW mailing list please send email to mailinglist.sf@qwafafew.org.
 
For general inquiries, please send email to sanfrancisco@qwafafew.org

NYC | QWAFAFEW

Tuesday, March 24th, 2009
 
Speakers:  Laurence B. Siegel - Director of research in the investment division of The Ford Foundation and Research Director of the Research Foundation of CFA Institute.
Todd Petzel - Chief Investment Officer, Offit Capital Advisors.
 
 
Time: 5:30 PM – 8:15 PM 
 
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY. 
 
Admission:
$30 for Paid-Up Members of QWAFAFEW-NYC in 2009; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs
 
To RSVP: Please send an e-mail nyc@qwafafew.org and put date of the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, e-mails, and membership status for all attending.
 
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. NYC Membership Dues for 2009 are still just $90.
 
AGENDA 
 
5:30 - 6:10 Registration, Networking, and Refreshments

6:10 - 6:15 Chapter Business

6:15 - 7:00 Laurence B. Siegel, Director of research in the investment division of The Ford Foundation and research director of the Research Foundation of CFA Institute
 
The Lost Decade
Three related issues are covered.  First, in real total return terms, equity returns in the current decade are the worst in U.S. capital market history, worse than the 1930s (so far).  This could either be a market forecast of a lost decade in the real economy, or a historic buying opportunity.  I favor the second view.  Second, I note that alpha is still hard to achieve and more likely to be negative than positive, while beta is still (possibly now more than ever) one of life's great bargains.  Finally, I remind investors that liquidity is the often unappreciated "fourth dimension" (after returns, risks, and costs) of investment policy and is an especially timely concern given the bear market.

7:00 - 7:15 Break - More Networking & Refreshments

7:15 - 8:00 Todd Petzel, Investment Officer, Offit Capital Advisors
 
Modeling Liquidity and Income in the Modern Endowment
Most endowments and foundations have been strongly guided in their portfolio construction by some version of mean/variance optimization or Monte Carlo simulations.  In the second half of 2008, serious flaws in these models appeared.  Incorporating explicit income and liquidity considerations into these models may not be conceptually difficult, but the empirical challenges may be overwhelming.  More ad hoc approaches may be necessary to meet all the needs of these institutions going forward.
 
8.00 – 8:15 PM – More Networking, Refreshments, and Libations
 
About our speakers:
Laurence B. Siegel is director of research in the Investment Division of the Ford Foundation in New York, where he has worked since 1994. Before that, he was a managing director of Ibbotson Associates, an investment consulting firm that he helped to establish in 1979.
 
In 2005 Larry was named Research Director of the CFA Institute’s Research Foundation. He holds this position concurrently with his responsibilities at the Ford Foundation.
 
Mr. Siegel currently chairs the investment committee of the Trust for Civil Society in Central and Eastern Europe, and serves on the investment committee of the NAACP Legal Defense Fund. Larry is a member of the editorial boards of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Investing, and serves on the board of directors and program committee of the Institute for Quantitative Research in Finance (the Q Group). His first book, Benchmarks and Investment Management, was published by the CFA Institute in 2003. With Zvi Bodie and Dennis McLeavey, he co-edited the book The Future of Life-Cycle Saving and Investing, published by the CFA Institute in 2007.
 
Larry received his BA in urban studies from the University of Chicago in 1975, and his MBA in finance from the same institution in 1977.
 
 
Todd E. Petzel, Chief Investment Officer, Offit Capital Advisors LLC
 
Petzel joined Offit Capital Advisors LLC in October, 2007 as its Chief Investment Officer. Offit is a Registered Investment Advisor with approximately $5 billion under advisement. He has been involved with manager selection and risk management of diversified portfolios as the CIO of Commonfund (1996-2002) and Azimuth Asset Management (2003-2007). Prior to that he worked in the futures industry and has taught economics and finance at the University of Chicago, Stanford University and Macalester College.
 
He is the author of numerous articles and a book, Financial Futures and Options, a Guide to Markets, Applications and Strategies (Quorum 1989). He serves as a trustee or board member for the National Futures Association, the Futures Industry Association, Lebanese American University and the Committee for Economic Development.
 
Mr. Petzel holds a Ph.D., M.A. and B.A., with honors, in Economics from the University of Chicago.
 
 Other Upcoming QWAFAFEW Events:
 
QWAFAFEW Denver Meeting: Annual Forecast Dinner 2009 - joint meeting with Denver CFA Panelists include Burton Malkiel and Jeff Macke
Thursday, March 12, 2009 - 5:00pm; The Ritz-Carlton, 1881 Curtis Street, Denver
Date: Thursday - March 12, 2009
Time: 5:00 - 10:00 PM; Venue; QWAFAFEW is buying one table (of 10) and we will honor regular pricing:
Guests: $35; Members: $10; Space is limited.
Secure your seat by calling Lisa Rice at 303-683-3343 and send a check to the following address. Please make checks payable to QWAFAFEW Denver.
Address: Lisa Rice, Secretarial Solutions, 6057 S. Lakeview St., Littleton CO 80120
Questions: Email Denver@ qwafafew.org
 
QWAFAFEW Boston Meeting:- Tuesday March 17 – Speaker & Topic TBA
QWAFAFEW Hartford Meeting – Thursday May 7 – Dan DiBartolomeo & Michael Wilcox – More details to follow soon.
 
PRMIA Events, Programs, and Certification Training (www.prmia.org)
 
PRMIA Notes (visit www.prmia.org for more details):

Although the 2009 Complete Course in Professional Risk Management at Columbia University has kicked off as of January 14, registrations for the individual sessions (listed below) are still being accepted.  The following classes take place Wednesday evenings from 6:30 - 9:30 pm at Columbia University in New York:
 
Market Risk Management - March 11, 18, & 25, 2009;
Credit Risk Management  - April 1, 8 & 15, 2009;
Operational Risk Management - April 22 & 29, 2009;
Capital Allocation - May 6 & 13, 2009;
Governance and Case Studies - May 20 & 27, 2009.

On Tuesday, March 17, in Washington DC, PRMIA is hosting a free event, "Deflating Bubble V" featuring Christopher Whalen and four other experts in the field.  Please see website for more details. 
 
On Thursday, March 26, 8:30 AM (EDT), PRMIA invites you to join Professor Leo M. Tilman's discussion, "Effective Leadership for Risk Professionals", a 60-minute Webinar. Professor Tilman will make a short presentation and then answer questions about the persisting disconnect between strategic decisions and risk management across the financial industry. Please sign up for the Webinar through the PRMIA website or contact jill.fisher@prmia.org for further details.
 
--------------------------------------------------------------------------------------------------------------------
 
Future QWAFAFEW-NYC Meetings (all Tuesdays unless otherwise indicated)
 
Apr 28th, 2009 – Brooke Allen, Maple Securities USA – Head, Quantitative Strategies – “Very Personal Finance”
 
May 26th, 2009 – Joseph Mezrich, Nomura Securities & Michael Cook, AG Asset Management
 
Jun 23rd, 2009 – Seddik Meziani, Montclair State University, & Ronit Walny, Kellogg Specialists
 
Jul 21st, 2009 - Mary Ann Bartels, Merrill Lynch US Equity Strategist and C. Michael Carty New Millennium Advisors
 
Wednesday Aug 19th, 2009 - Diane Garnick, Equity Strategist, INVESCO and Herbert Blank, Rapid Ratings International
 
Sep 22nd, 2009 Ian Domowitz, ITG and Jennifer Bender, MSCI Barra
 
Oct 27th, 2009 - Dan DiBartolomeo, Northfield Information Systems & Jason MacQueen, Alpha Strategies
 
Nov 20th, 2009 – To be confirmed.

Boston | QWAFAFEW

http://www.qwafafew.org/boston-20090217

Next Boston QWAFAFEW Meeting: Tuesday, 17 February 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
 
 
a QWAFAFEW discussion led by Sriketan Mahanti
 
Title: Trading Agents and Liquidity Risk
 
A recent area of concern and analysis in both financial economics and capital markets has been liquidity. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined as the uncertainty associated with the measure of liquidity. We define some measures of liquidity and liquidity risk, for U.S. and emerging market equities. We provide empirical evidence that validates the notion that liquidity affects financial market performance and can be used in a trading signal context. Further, using a simple information-based model of liquidity, we define a model to determine future period liquidity risk.
 
Please look at the following paper for more information:-
Trading Agents and Liquidity Risk
J. Cherian, S. Mahanti and M. Subrahmanyam, Journal of Investment Management Conference Series, Forthcoming Spring 2009.
http://www.orissagroup.com/papers/Trading_Agents_and_Liquidity_Risk.pdf
 
Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther
 
Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.
 
Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.

2009 Boston QWAFAFEW Schedule (names are Steerage Committee members in charge of the program)
                                 
2009
March 17                                                      John Minahan
April 21                                                  Dan diBartolomeo
May 19                                                       John Nagorniak
June 16                                                       Evan Schulman
July 21                                                           Jarrod Wilcox
August 18                                                                Dan Rie
September 15                                               Mark Kritzman 
   

One member of the Steerage Committee is responsible for coordinating each meeting.
Program suggestions from members are always welcome. Hugh Crowther (Treasurer) and Donna Murphy also serve in an advisory capacity on our Steerage Committee.
 
RSVP to:  Boston@QWAFAFEW.org

NYC | QWAFAFEW

Tuesday, February 24th, 2009
 
EARLY START TIME!
 
 Speakers:
 
Jim O'Shaughnessy, O'Shaughnessy Capital Management
Savita Subramanian, Merrill Lynch Quantitative Strategies
 
 
Time: 5:15 PM – 8:15 PM (PLEASE NOTE: VERY EARLY PROGRAM START)
 
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY.
 
Admission:
$30 for Paid-Up Members of QWAFAFEW-NYC in 2009; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs
 
To RSVP: Please send an e-mail nyc@qwafafew.org and put date of the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, e-mails, and membership status for all attending.
 
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request. NYC Membership Dues for 2009 are still just $90.
 
QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website: www.qwafafew.org/New York Chapter; Administrator: Moira Hand, mhand@qwafafew.org
Please send checks for Membership Dues to:
Herb Blank, QWAFAFEW Steering Committee
c/o Rapid Ratings International, 7th Floor
86 Chambers Street, NY, NY 10007
hblank@qwafafew.org; (917) 992-7852
 
To get on Mailing List: transfer the following to your browser and click
http://www.qwafafew.org/phplist/public_html/lists/?p=subscribe
--------------------------------------------------------------------------------------------------------------------
 
AGENDA
 
5:15 – 5:55 PM – Registration, Networking, Refreshments, and Libations
5:55 – 6:00 PM - Chapter Business – C. Michael Carty
6:00 – 6:50 PM – Jim O'Shaughnessy, O'Shaughnessy Capital Management
6:50 – 7:40 PM - Savita Subramanian, Merrill Lynch Quantitative Strategies
7:40 – 8:15 PM – More Networking, Refreshments, and Libations
 ---------------------------------------------------------------------------------------------------------------
 
About our speakers:
James P. O'Shaughnessyis the Chairman and CEO of O'Shaughnessy Asset Management (OSAM). Also serving as the Chief Investment Officer of the firm, Jim is involved in all portfolio management and research decisions. Prior to founding OSAM, Jim was the Director of Systematic Equity at Bear Stearns Asset Management and a Senior Managing Director of the firm. Long recognized as one of America's leading financial experts and a pioneer in quantitative equity analysis, he has been called a "world beater," a "statistical guru" and a "legendary investor" by Barron's. Jim is the author of four books on investing: Invest Like the Best, What Works on Wall Street, How to Retire Rich, and Predicting the Markets of Tomorrow. Jim was named "manager of the year" in Gordon Pape's 2004 Buyers Guide to Mutual Funds for his management of the Royal Bank (RBC) of Canada's O'Shaughnessy Funds, and the Canadian Investment Awards named the RBC O'Shaughnessy US Value Fund "US Equity Fund of the Year" in 2004 and 2005. Jim has a BA in Economics from the University of Minnesota.
 
Savita Subramanian is the Head of U.S. Quantitative Strategy within the Merrill Lynch Global Research Investment Strategy Group which encompasses investment strategy, sector strategy, small cap strategy, technical & market analysis and global quantitative analysis. She is responsible for developing and marketing the firm’s quantitative equity strategies to institutional and individual clients. She has been with the team since 2001. Prior to Merrill Lynch, Savita was an analyst at Scudder Kemper Investments.   Savita frequently appears in print and media journalism and is a regular guest speaker at financial conferences.   She is on the membership committee of the Q Group and also belongs to the Chicago Quantitative Alliance, the Society of Quantitative Analysts and Women on Wall Street. Savita received a Bachelor of Arts degree with a double major in Mathematics and Philosophy with honors from University of California at Berkeley, and an MBA degree from Columbia University, with a concentration in Finance. She remains actively involved in the Columbia Business School alumni organization.
 
 
ABOUT QWAFAFEW [quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom, is an informal professional association with chapters in various states of functionality throughout the globe. A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations. Please visit www.qwafafew.org to learn more about the organization, its resources, and the events held by our many chapters. Our dress code, rules of “etiquette” and everything else are strictly casual.
 
 
Other Upcoming QWAFAFEW Events:
 
SPECIAL INAUGURAL QWAFAFEW in HARTFORD, CT
Wednesday, February 18, 2009: 4:45 PM – 7:30 PM
 
“The Future of Hedge Funds and Alternative Investments” –
 
Moderator:  Thomas Schneeweis, Ph.D., University of Massachusetts Isenberg School of Management; Co-Founder of U. Mass CISDM
 
Panelists:    
William Adiletta, President, TekFinancial Solutions
Sean Gill, CFA, CAIA, Partner - Alternative Assets, New England Pension Consultants;
Hossein Kazemi, Ph.D., CFA, Managing Director, Alternative Investment Analytics;
Kevin Means CFA, Managing Partner & CIO, Alpha Equity Management
 
RSVP: Please send an e-mail to Herb Blank at hblank@qwafafew.org along with a name, phone number, organization (if any), e-mail, and membership status for each attendee.
 
QWAFAFEW wishes to thank TekFinancial Solutions for underwriting a substantial portion of the cost of this event. TekFinancial Solutions offers specialized consulting to the financial services community including Enterprise Integration, Electronic Trading Systems Development, Wealth Management, SOX Compliance, Managed IT Services, Network Security, and FIX Integration, building on Tekmark Global Solutions’ strengths.
 
February, 17th, 2009 - Boston QWAFAFEW – Speaker & Topic to be announced; boston@qwafafew.org
 
February, 18th, 2009 – Denver QWAFAFEW at Marco’s Coal Fired Pizza, 2129 Larimer St, Denver CO
Admission:    $10 Members; $35 Guests; Details: Denver@qwafafew.org
Presentation: Finding Successful Strategy Managers
Speaker: C. Thomas Howard, Ph.D., Professor, Daniels College of Business, U. of Denver
 
February, 25th, 2009 – Chicago QWAFAFEW/PRMIA Joint Meeting at the CBOE – 440 S. LaSalle St.
Panel: Diversification, Portfolio Management and Use of New Volatility-based Index Products with Srikant Dash, S&P; Mark Krommenhoek, BGI; Keith Black, Ennis Knupp; Jamie Tyrell, Group One Trading: and Brett Estell, Chicago Trading Company
Admission is $10 in advance (or $15 at the door)
 
RSVP: http://www.acteva.com/go/ChicagoQWAFAFEW; Questions: Chicago@qwafafew.org

NYC | FINANCIAL ENGINEERING PRACTITIONERS SEMINAR

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Mikhail Smirnov at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners.

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments.

The seminars are open to the public and we welcome attendees from industry and academia.

See the spring seminar schedule at:

<http://www.ieor.columbia.edu/seminars/financialengineering/2008-2009/spring
/index.html>
http://www.ieor.columbia.edu/seminars/financialengineering/2008-2009/spring/
index.html

For directions to the seminar please see below:The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

 <file:///\\www.columbia.edu\cu\aboutcolumbia\maps\index.html>
www.columbia.edu/cu/aboutcolumbia/maps/index.html

NYC | FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Richard Lindsey, Paul Russo, Michael Mendelson, and Peter Carr at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners.

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia.

See the fall seminar schedule at:

http://www.ieor.columbia.edu/seminars/financialengineering/2008-2009/spring/
index.html

For directions to the seminar please see below:

The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:

www.columbia.edu/cu/aboutcolumbia/maps/index.html

Gamma Expansion of the Heston Stochastic Volatility Model

Date: 02/02/2009
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Paul Glasserman, Business School: Columbia University
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT
The Heston stochastic volatility model is among the most important models in both the theory and practice of financial engineering. After some background on the model and on the problem of simulating diffusions, we present an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and
mixtures of gamma random variables. The increments of the variance process are themselves mixtures of gamma random variables. The representation of the integrated conditional variance applies the Pitman-Yor decomposition of Bessel bridges. We combine this representation with the Broadie-Kaya exact simulation method and use it to circumvent the most time-consuming step in
that method. This is joint work with Kyoung-Kuk Kim of Barclays Capital.

CT | QWAFAFEW

You are most cordially invited to attend the inaugural meeting for QWAFAFEW ["quaff- a -few"] in Hartford, CT.  The topic is “The Future of Hedge Funds and Alternative Investments” in a panel discussion format.  If this meeting is successful, we expect to have three more QWAFAFEW gatherings in 2009.  We’d very much appreciate it if you would be kind enough to forward it to as many people you know as you think might be interested.

Wednesday, February 18, 2009: 4:45 PM – 7:30 PM

Moderator: Thomas Schneeweis Ph.D., Alternative Investment Analytics LLC & U. Mass
Panelists: Hossein Karzemi Ph.D. CFA, Alternative Inv. Analytics LLC & U. Mass.
                   Kevin Means CFA, Alpha Equity LLC
                   Cynthia Steer, Rogerscasey
                   One more panelist to be announced

Location: City Steam Brewery Café, 942 Main St., Hartford
Admission: $20 Members of any QWAFAFEW Chapter; $30 Others
Hot and cold hors d’oeuvres are complimentary; cash bar
To RSVP: Please send an e-mail to hblank@qwafafew.org

QWAFAFEW [pronounced quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom, is an informal professional association with chapters in various states of functionality throughout the globe since 1990. A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations in a strictly informal setting. Please visit www.qwafafew.org to learn more. We currently have thriving chapters in Boston, Chicago, Denver, New York< San Francisco, Toronto, and Vancouver.

ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available at the registration table upon request.

AGENDA
4:45 - 5:20 PM Registration, Refreshments, and Networking
5:20 - 5:30 PM Welcome to QWAFAFEW – Herb Blank and Jamie Rice
5:30 – 7:00 PM
“The Future of Hedge Funds and Alternative Investments – a panel discussion” – T. Schneeweis Moderator; H. Karzemi, K. Means, C. Steer and one more panelist.
7:00 - 7.30 – Refreshments and Networking – Part II
--------------------------
Professor Hossein Kazemi, Ph.D., CFA is MD at Alternative Investment Analytics
Kevin Means, CFA is the Founder, Managing Partner, and CIO of Alpha Equity Management.
Professor Thomas Schneeweis, Ph.D. is Professor of Finance at U. Mass.
Cynthia F. Steer is MD & Chief Research Strategist at Rogerscasey.

San Francisco / QWAFAFEW

Our next meeting will be at the Atrium Restaurant at 101 California Street, San Francisco on Monday January 12. The meeting will start at 5:30 pm. Please use the Acteva Link below to register for the meeting. SF QWAFAFEW members who have paid their 2008 dues can attend without registering.

http://www.acteva.com/booking.cfm?bevaid=172071

Topic: Tools for higher-order portfolio optimization

For a single asset or portfolio of assets, we are used to looking at the skewness and kurtosis of returns to understand aspects of risk not captured by standard deviation alone. For multiple assets, we often rely on the covariance matrix to describe the dependence relationship among assets. However, just as standard deviation is an incomplete description of the riskiness of individual assets, the covariance matrix is an incomplete description of the dependence structure for multiple assets.

Analogously to the (2-way) covariance matrix, the multivariate version of skewness and kurtosis are 3-way and 4-way objects called cumulant tensors. They can be used to model higher-order dependence and perform portfolio optimization that accounts for skewness and kurtosis as well as mean and variance. One can also build factor models using these objects. Factor models (e.g. "principal cumulant component analysis") also help make it practical to estimate the large number of variables involved and perform optimization. This approach is well suited to asset classes that exhibit non-normal returns and non-normal dependence structure but still have single-peaked return distributions.

Speaker: Jason Morton, Stanford University

Bio: Jason Morton worked in M&A at Credit Suisse before receiving an M.A. in Economics from the University of Michigan and a Ph.D. in Mathematics from U.C. Berkeley. He managed the $50M endowment of an educational nonprofit for five years and served as the director of research for a fund of hedge funds for two. He is currently a researcher at Stanford University, where he studies the geometry of statistical dependence with applications to machine learning and finance.

Feel free to visit our webpage anytime to keep updated on future meetings:
http://sites.google.com/site/sfqwafafew/January2009

 

San Francisco / QWAFAFEW

Our next meeting will be at the Atrium Restaurant at 101 California Street, San Francisco on Monday January 12. The meeting will start at 5:30 pm. Please use the Acteva Link below to register for the meeting. SF QWAFAFEW members who have paid their 2008 dues can attend without registering.

http://www.acteva.com/booking.cfm?bevaid=172071

Topic: Tools for higher-order portfolio optimization

For a single asset or portfolio of assets, we are used to looking at the skewness and kurtosis of returns to understand aspects of risk not captured by standard deviation alone.  For multiple assets, we often rely on the covariance matrix to describe the dependence relationship among assets.  However, just as standard deviation is an incomplete description of the riskiness of individual assets, the covariance matrix is an incomplete description of the dependence structure for multiple assets.

Analogously to the (2-way) covariance matrix, the multivariate version of skewness and kurtosis are 3-way and 4-way  objects called cumulant tensors.  They can be used to model higher-order dependence and perform portfolio optimization that accounts for skewness and kurtosis as well as mean and variance.  One can also build factor models using these objects.  Factor models (e.g. "principal cumulant component analysis") also help make it practical to estimate the large number of variables involved and perform optimization.  This approach is well suited to asset classes that exhibit non-normal returns and non-normal dependence structure but still have single-peaked return distributions.

Speaker: Jason Morton, Stanford University

Bio: Jason Morton worked in M&A at Credit Suisse before receiving an M.A. in Economics from the University of Michigan and a Ph.D. in Mathematics from U.C. Berkeley. He managed the $50M endowment of an educational nonprofit for five years and served as the director of research for a fund of hedge funds for two. He is currently a researcher at Stanford University, where he studies the geometry of statistical dependence with applications to machine learning and finance.

NYC | REvolution Computing/Columbia University Conference on Computational Finance with R

REvolution Computing Joins with Columbia University to Host Conference on Computational Finance with R

 Experts Examine the Growing Use of R in portfolio modeling and performance analysis

REvolution Computing, the leading commercial provider of software and support for the open source statistical computing language, “R,” will sponsor and co-host a conference and workshop about using statistical computing with R in finance, Computational Finance with R, at Columbia University on Thursday, December 4, 2008.

The conference will bring together academics and practitioners in computational finance to showcase the efficacy of statistical computing with R in many areas of investment finance. The panel of experts will also discuss the advantages of using R for modeling commodity rates, quantitative trading, volatility estimation, and portfolio performance analysis.

Dr. Bryan Lewis, Director of Systems Engineering, REvolution Computing, will be among the panel of speakers including Whit Armstrong, KLS Diversified Asset Management; Anthony Brockwell, Horton Point LLC; Scott Payseur, UBS Asset Management; Peter Carl and Brian Peterson, Performance Analytics, and; Jeff Ryan, Quantmo. The panel will detail how R applications are fast becoming widely used, powerful analytic tools in quantitative finance and all areas of statistical computing.

The workshop is co-organized by REvolution Computing along with Columbia University’s Department of Statistics in collaboration with Columbia’s Center of Applied Probability and Center for Financial Engineering, as well as Krishna Kumar, FX Structurer, Barclays Capital. Computational Finance with R is open to the public and will take place from 2:00-6:00 PM in the Rotunda at the Low Memorial Library of Columbia University in New York. Admission is free and advance registration is required.

More details and registration information for the workshop on Computational Finance in R can be found at http://www.revolution-computing.com/events or http://www.stat.columbia.edu/pages/ComputationalFinance/index.html.