THE QUANTster blog

San Francisco | QWAFAFEW

Please join us for our next meeting on Oct 13 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)

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

Speaker: Lisa Borland / Director of Derivatives Strategies, Evnine and Associates

Topic: Capturing the Smile and the Skew: A theory of non-Gaussian options pricing

We discuss a stock price model where fluctuations follow a statistical feedback process.  The resulting distribution of log-returns follows a Tsallis distribution (equivalent to a Student distribution), which corresponds very well to empirical stock returns if q is about 1.4. Closed form solutions for the prices of European call options are derived, and we find that these fit very closely to market prices of options.  Successes, limitations, and perspectives of this model are also discussed.

Speaker Bio: Lisa Borland is currently Director of Derivatives Strategies at Evnine and Associates, a San Francisco based hedge fund.  She received her Doctorate in Theoretical Physics from the University of Stuttgart, Germany and after some years of working in academia in the United States (Berkeley) and abroad (Brazil), she moved into the field of finance.  She has over 50 scientific publications and has been invited to speak at about as many international conferences.  Her most notable work in finance has been the development of a theory for non-Gaussian option pricing. However, her main interest is more general; namely to try and understand the dynamics of financial markets, and apply that knowledge to trading strategies and risk control.

Learn more about SF QWAFAFEW at our website.

NYC | FINANCIAL ENGINEERING PRACTITIONERS SEMINAR

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Rama Cont at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co.,  Guzman & Company, 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://ieor.columbia.edu/seminars/financialengineering/2009-2010/fall/index
.html>
http://ieor.columbia.edu/seminars/financialengineering/2009-2010/fall/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: <http://www.columbia.edu/cu/aboutcolumbia/maps/index.html>
www.columbia.edu/cu/aboutcolumbia/maps/index.html

If you would like to subscribe to the FE Seminar mailing list please click on the link below: <http://www.ieor.columbia.edu/seminars/financialengineering/index.html>
http://www.ieor.columbia.edu/seminars/financialengineering/index.html

Too interconnected to fail: measuring systemic risk in financial networks

Date: 10/19/09

Start Time: 6:00pm

Speakers: Rama Cont, Columbia University

Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT

The financial crisis has underlined the crucial role of systemic risk, as well as the lack of a coherent framework for measuring and discussing this important issue.

We propose a  quantitative measure - the Systemic Risk Index - for assessing the systemic risk posed by (a group of) large financial institutions, using a network-based model of the financial system. We discuss some theoretical properties of the Systemic Risk Index  and show how it can be estimated in practice using a database of interbank exposures obtained from the Brazilian central bank.

We illustrate the usefulness of our approach by exploring the impact of credit default swaps on systemic risk and discuss whether a clearinghouse for such contracts can help mitigate systemic risk and default contagion. Our results underline the complexity of the issues at hand when discussing systemic risk and plead for an analysis based on detailed simulations taking into account network complexities, as opposed to analytical results obtained from simplistic models.

This talk draws on joint work with E Bastos (Banco Central, Brasil), Andreea MINCA (Universite de Paris VI) and Amal Moussa (Columbia University).

BIO

Rama CONT is Associate Professor in the  IEOR Dept, School of Engineering and Applied Science at Columbia University and director of the Columbia Center for Financial Engineering. His research has focused on mathematical modeling in finance and risk management, computational finance, complex networks and discontinuous stochastic processes.

NYC | QWAFAFEW

Tues. October 27 2009
Speakers: Dan diBartolomeo  and Christopher Kantos, Northfield Information Systems
Jason MacQueen, R-Squared Risk Management Ltd.
 
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. In text body, please provide 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 2010 can now be purchased for $90 – if you are not already a member for 2009, these dues will also cover you for the 3 remaining meetings this year. QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website:www.qwafafew.org/New York Chapter Administrator Moira Hand, moira727@yahoo.com
Membership Dues may be paid at the desk at any meeting. To mail the dues in instead, please use this address: Herb Blank, QWAFAFEW Steering Committee c/o Rapid Ratings International, 7th Floor, 86 Chambers Street, NY, NY 10007, hblank@qwafafew.org, (917)-992-7852 for questions.
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 – Direct Incorporation of Liquidity Risks Arising from Expected Trading Costs into Equity Factor Risk Models - Dan diBartolomeo, President and Founder, and Christopher Kantos, Analyst, Northfield Information Systems
 
The extreme market volatility over the past couple years began with the liquidity crisis of August 2007, renewing investor attention to liquidity risks.  In the first part of the presentation we will derive a non-linear model of a true liquidity measure: “how much will I move the price of stock “A” if I trade X shares within time period T”.   The underlying model is estimated using “tick by tick” analysis, and covers all traded equities globally.  In the second part of the discussion, we will present a framework for adjusting the risk estimates arising from traditional factor risk models for these liquidity risks.  The result is the ability to differentiate risk levels across portfolios of different sizes, although the underlying the security weights are the same.
7:00 - 7:15 Break - More Networking & Refreshments
 
7:15 - 8:00 Presentation 2 –. Versatile Applications of Multifactor Equity Risk Models – Jason MacQueen, President and Founder, R-Squared Risk Management Ltd.
The details of this presentation are so proprietary that they have not yet been shared with the officers of QWAFAFEW. Given Jason’s reputation as an iconoclast, attendees are advised to be prepared for almost anything.  .
 
About our speakers:
 
Dan diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since1986, Northfield develops quantitative models of financial markets.   Additional Northfield staff members are located in London, Moscow, Toronto, Tokyo and Chicago. The firm’s clients include nearly three hundred financial institutions in twenty countries.
 
Dan is a Visiting Professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is an active member of QWAFAFEW, and has been especially helpful in 2009 in helping make the launch of our Hartford Chapter a major success.
 
Dan has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives and has been cited in articles and interviews for his role in providing quantitative analysis on the Madoff Funds to fellow Boston QWAFAFEW member (at the time) Harry Markopolis for submission to the US SEC.
 
Dan has an extensive list of publications. Most recently he published “Measuring Investment Skill Using the Effective Information Coefficient”, in the Fall 2008 Journal of Performance Measurement Fall. Mr. diBartolomeo has written extensively for the CFA Research Foundation. This work includes “The Risk of Equity Securities and Portfolios” published in Equity Specialization Program Readings 1997 and a new wealth management textbook Investment Management for Private, Taxable Wealth (with Jarrod Wilcox and Jeffrey Horvitz). He also provided a chapter on asset allocation for high-net worth individuals for CFA’s recent book, Global Perspectives on Investment Management. His journal publications include "Socially Screened Portfolios: An Attribution of Relative Performance" (with Lloyd Kurtz) that appeared in the Fall 1996 Journal of Investing; “Investment Performance Measurement and the Probability Distribution of Pension, Assets, Liabilities and Surplus” that appeared in the Spring 1997 Journal of Performance Measurement; and two papers in Financial Analysts Journal, “Approximating the Confidence Interval on Sharpe Style Weights” (with Angelo Lobosco, July 1997) and “Mutual Fund Misclassification” (with Erik Witkowski, September 1997). His most recent publications are “Just Because We Can Doesn’t Mean We Should: Use of Daily Data in Performance Attribution” published in the Spring, 2003 Journal of Performance Measurement, and the “DSI Catholic Values 400”(with Lloyd Kurtz in Journal of Investing 2005).
 
Christopher Kantos is an analyst specializing in Research and Development at Northfield Information Systems. He is a graduate of Tufts University.
 
Jason MacQueen is President and Founder of R-Squared Risk Management, Ltd. Mr. Macqueen is also the former chairman of Alpha Strategies and Apollo Advisors Ltd. In 1980, he founded QUANTEC, a provider of investment technology and risk models for international investors. Mr. MacQueen has acquired an international reputation as a speaker, consultant, and iconoclast. He was educated at Oxford and London Universities, where he studied mathematics and theoretical physics although his biographical sketch does not specify whether he graduated from either institution. He is a Visiting Professor at Tokyo University’s Center for Advanced Research in Finance, as well as being an Honorary Lecturer in Finance at Lancaster University and Brunel University. Jason also serves as Chairman of the London Quantitative Group.

Other Upcoming Events:
Re-launch of QWAFAFEW PRINCETON – Please help us spread the word
Tuesday, October 20, 2009: 5:00 PM – 7:30 PM
“Algorithmic Trading: New Directions and Measuring Efficacy”
Moderator: Brooke Allen, Head of Quantitative Trading Group, Maple Securities USA
 
Panelists:    William Adiletta, President, TekFinancial Solutions
  Robert Golan, Information Rules Architect, DB Mind Technologies
James Wong, Manager- Algorithmic Analytics, ITG
Location:   Nassau Club, 6 Mercer Street, Princeton, NJ
Admission:    $20 Members of any QWAFAFEW Chapter;
$30 Members of any CFA Society, CQA, SQA, PRMIA, holders of
CAIA, CMT, or CFP Charter, and unemployed students,
$40 all others
    Hot and cold hors d’oeuvres are complimentary;
    Wine, beer, and soft drinks complimentary until 6 PM
 

Other October QWAFAFEW Chapter Events:
1.   CHICAGO QWAFAFEW, THURSDAY, OCTOBER 8.
  “Financial Crisis: Outlook for Supervision and Exchanges” -
   George C. Kaufman, Michael Gorham, and Michele Gambera
2.   San Francisco QWAFAFEW Meeting, Tues Oct 13
  Lisa Borland, Director of Derivatives Strategies, Evnine & Assoc.
Capturing the Smile and the Skew: A theory of non-Gaussian options pricing
3.   Boston QWAFAFEW Meeting, October 20, Subject, Presenter, TBA
4.   QWAFAFEW DENVER, Wed Oct 21,   
  How Delegated Fund Management Creates Co-movements and Priced
  Factors
  Professor Michael Stutzer, Leeds Business School, U. Colorado
 
For more info on all of the above, please visit www.qwafafew.org or got to linked-in QWAFAFEW site.
 
 Other NYC-Area events of interest:
Free Seminar in New York (10/13)
Time: 4:30 – 6:00 PM
 Topic: "Managing Diversification"
 Speaker:  Dr. Attilio Meucci, CFA, Head of Research, Bloomberg ALPHA, and Adjunct Professor, Financial Engineering MS Program, Baruch College
Venue:
10/13 - Bloomberg New York office, 731 Lexington Avenue, New York
To RSVP, e-mail Laura Byrne at laurab@bloomberg.net
Abstract: We propose a unified, fully general methodology to analyze and act on diversification in any environment, including long-short trades in highly correlated markets.
Reference: http://ssrn.com/abstract=1358533
 
Future QWAFAFEW-NYC Meetings (all Tuesdays unless otherwise indicated) 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 | EXPLOITING HIGH FREQUENCY QUANTITATIVE TRADING OPPORTUNITIES

EXPLOITING HIGH FREQUENCY QUANTITATIVE TRADING OPPORTUNITIES

PLEASE JOIN US FOR A QUANTITATIVE AND EVENT DRIVEN TRADING FORUM FOLLOWED BY COCKTAILS

The exponential growth of high frequency trading & capital inflows into quantitative strategies has transformed the market landscape creating both new opportunities & challenges. The need for differentiated content sets, direct exchange feeds & technology to feed alpha generating models has become an imperative. All of these factors combined with the recent economic turmoil have caused firms to reexamine their quant trading strategies.

Please RSVP here

OUR EXPERT PANEL WILL DISCUSS:

• Challenges and opportunities in today’s global cross-asset trading environment
• Driving alpha with differentiated content
• Technologies and processes to best support high frequency quantitative trading and research
• Implementing more effective real-time risk management 

PANELISTS:

 ·         Richard Brown, Global Business Manager, Machine Readable News, Thomson Reuters (Moderator)

·         Brian Tahan, VP, AES, Credit Suisse

·         Dhiru Patel, Managing Director, Chief Quantitative Strategist, Thomas Weisel Partners

·         Eric Karpman, CEO, Trading Strategy Group

·         Todd Hazelkorn, Lead Financial Engineer, Infinium Capital Management

·         John Netto, President, M3 Capital

·         Emmanuel Doe, Global Business Manager, Thomson Reuters

When: Wednesday, October 7

Time: 5:00pm – 8:00pm

Where: Thomson Reuters Building, 30th Floor, 3 Times Sq, 7th Ave between 42nd & 43rd, NYC, 10036

We look forward to seeing you!

 

NYC | FINANCIAL ENGINEERING PRACTITIONERS SEMINAR

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Jagdish Bhagwati, Rick Bookstaber, Joe Nocera, and Matthew Richardson 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.

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

Markets, Institutions and Capitalism: The Role of Principles

Date: 09/14/09
Start Time: 6:00pm
End Time: 7:30pm
Speakers: Jagdish Bhagwati, Rick Bookstaber, Joe Nocera, and Matthew Richardson
Location: 412 Schapiro CEPSR, Davis Auditorium

BIO
Jagdish Bhagwati is University Professor, Economics and Law, at Columbia University and Senior Fellow in International Economics at the Council on Foreign Relations. He has uniquely combined seminal scientific contributions to the postwar theory of commercial policy, strengthening greatly the case for Free Trade, with several bestselling books and op ed essays in leading newspapers and magazines on current trade policy issues. He has been Economic Policy Adviser to the Director General, GATT (1991-93) and Special Adviser to the UN on Globalization. He has been celebrated with six festschrifts in his honor. He has received several honorary degrees and awards, among them the Freedom Prize (Switzerland), the Bernhard Harms Prize (Germany) and the Thomas Schelling Award (Kennedy School, Harvard). His honors also include the highest civilian awards from the Governments of India (Padma Vibhushan) and Japan (Order of the Rising Sun: Gold and Silver).

BIO
Rick Bookstaber has worked at Bridgewater Associates, run the Quantitative Equity Fund at FrontPoint Partners and was in charge of risk management at Moore Capital Management. He also worked at Ziff Brothers Investments doing both risk management and running a quantitative equity portfolio. In the investment banking arena, he served as the managing director in charge of firm-wide risk management at Salomon Brothers and was a member of Salomon's powerful Risk Management Committee. He also spent ten years at Morgan Stanley, first designing and marketing derivative instruments, then as a proprietary trader, and concluding his tenure there as Morgan Stanley's first market risk manager. In addition to his most recent book, A Demon of Our Own Design (Wiley, 2007), he is the author of three other books and scores of articles on finance topics ranging from option theory to risk management. He has won the Graham and Dodd Scroll from the Financial Analysts Federation and the Roger F. Murray Award from the Institute for Quantitative Research in Finance for his research. He was a Fulbright Scholar and Visiting Professor at the Hebrew University of Jerusalem. He received a Ph.D. in economics from MIT.

BIO
Joe Nocera writes the Talking Business column for The New York Times each Saturday. Mr. Nocera is also a staff writer for The New York Times Magazine. In addition to his work at The Times, he serves as a regular business commentator for NPR's Weekend Edition with Scott Simon.
Before joining The Times in 2005, Mr. Nocera spent 10 years at Fortune Magazine, where he held a variety of positions, including contributing writer, editor-at-large and executive editor. His last position at Fortune was editorial director. He was the Profit Motive columnist at GQ until May 1995, and he wrote the same column for Esquire from 1988 until 1990. In the 1980's, he served as a contributing editor at Newsweek, as executive editor of New England Monthly and as senior editor at Texas Monthly. From 1978 until 1980, he was an editor at The Washington Monthly.
Mr. Nocera's column ranges widely over the world of business, covering everything from Home Depot's annual meeting to Boeing's comeback to his off-beat musings about his broken iPod. Slate magazine says that his column "demystifies the world of business with original thinking, brainy reporting and the ability to see around corners."

Mr. Nocera has won three Gerald Loeb awards, including the 2008 award for commentary, and three John Hancock awards for excellence in business journalism. His book, "A Piece of the Action: How the Middle Class Joined the Money Class," (Touchstone, 1995) won the New York Public Library's 1995 Helen Bernstein Award as the best non-fiction book of the year. He anchored the 1997 Frontline documentary, "Betting on the Market," which aired on PBS, and in 2003, edited "The Smartest Guys in the Room," (Portfolio, 2003) the best-selling book about Enron written by two Fortune senior writers. His most recent book, "Good Guys and Bad Guys: Behind The Scenes With The Saints and Scoundrels of American Business (and Everything In Between)" (Portfolio,
2008) was published this spring. He was a 2007 Pulitzer finalist.
Mr. Nocera earned a B.S. in journalism from Boston University in 1974. He was born in Providence, Rhode Island on May 6, 1952, and lives in New York City.

 

NYC | QWAFAFEW

QWAFAFEW / Tuesday, September 22nd, 2009
 
Speakers: Ian Domowitz, ITG - Transaction Costs and Equity Portfolio Capacity Analysis
Jennifer Bender, MSCI Barra - Best Practices for Investment Risk Management
 
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. 

AGENDA 
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Presentation 1 – Ian Domowitz
Transaction Costs and Equity Portfolio Capacity Analysis
We describe the evolution of equity portfolio capacity analysis, and extend existing work to include the joint determination of turnover, return net of transaction costs, and capacity.  The results illustrate the possibility of expanding the effective range of a fund’s capacity in terms of assets under management through explicit consideration of the implementation costs of an investment decision.  Two new lessons emerge.  First, previous focus on turnover as a choice variable is misplaced.  Considering stock-specific transaction costs at the portfolio construction stage enables higher turnover levels, which themselves are determined through the interaction of alpha predictions and expected cost estimates.  Second, limiting the strategy space within which portfolio strategy is conducted negatively impacts returns and reduces the potential capacity of the fund.  Limiting that set of strategies also distorts capacity analysis, and biases capacity choice downwards in general.  We illustrate the importance of adding trading strategy, in particular, to the strategy space underlying the investment decision.
 
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 – Jennifer Bender
Best Practices for Investment Risk Management
Abstract: A successful investment process requires a risk management structure that addresses multiple aspects of risk. Here we lay out a best practices framework that rests on three pillars: Risk Measurement, Risk Monitoring, and Risk-Adjusted Investment Management. All three are critical.
Risk Measurement means using the right tools accurately to quantify risk from various perspectives. Risk Monitoring means tracking the output from the tools and flagging anomalies on a regular and timely basis. Risk-Adjusted Investment Management (RAIM) uses the information from Measurement and Monitoring to align the portfolio with expectations and risk tolerance.

About our speakers:
Ian Domowitz is a Managing Director responsible for networking and analytical and research products at ITG. Prior to joining ITG in 2001, he served as the Mary Jean and Frank P. Smeal Professor of Finance at Pennsylvania State University. Mr. Domowitz has also held positions with Northwestern University, Kellogg Graduate School of Management, Columbia University, the Commodity Futures Trading Commission, the International Monetary Fund and the World Bank.
Jennifer Bender is a VP in Applied Research at MSCIBarra where she works on portfolio management and risk related research. Previously Ms. Bender was a quantitative analyst at State Street Associates. Ms. Bender’s research areas in addition to risk management and portfolio theory include investor behavior, market microstructure, market efficiency and asset pricing. Ms. Bender has held research assistantships at Harvard Business School and MIT, and spent four years as an economist for Standard & Poor's DRI. Ms. Bender holds a PhD and MS from Brandeis University in International Economics and Finance.
 
 If you wish to view, last month’s presentation by David Merrill and Joel Nadleman of Finanaltics, please use the following URL: http://www.finanalytica.com/en/page/63/Presentations.

Other Upcoming Events:
Boston QWAFAFEW
Tuesday, September 15th, 2009 at 6:15pm
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street [call 617-536-4630 for directions]
Topic and Speaker to be announced.  RSVP to boston@qwafafew.org
http://www.qwafafew.org/boston-20090915 for more details.
 
San Francisco QWAFAFEW Meeting: Nerds on Wall Street
Tuesday, September 15th, 2009 - 5:30pm

Speaker: David Leinweber, UC Berkeley
Topic: Technology and the Great Mess of ’08
Venue:
L'Olivier French Restaurant
465 Davis Ct
San Francisco, CA 94111
(415) 981-7824
 
Speaker: David Leinweber, Author of "Nerds on Wall Street", Haas Fellow in Finance, UC Berkeley
Topic: Technology and the Great Mess of ’08.

Abstract: The financial crisis of 2008 is one of the great technological disasters in history. None of this would have been possible without computers. Who is to blame for the interconnected structure for disaster that came so close to taking the global economy with it when it crashed? What should we be doing to avoid a dreadful encore performance? 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.
http://www.acteva.com/booking.cfm?bevaid=189089 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
 

San Francisco | QWAFAFEW

Please join us for our next meeting on Sept 15 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)

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

Speaker: David Leinweber
Author of "Nerds on Wall Street"
Haas Fellow in Finance, UC Berkeley

Topic: Technology and the Great Mess of '08

The financial crisis of 2008 is one of the great technological disasters in history. None of this would have been possible without computers. Who is to blame for the interconnected structure for disaster that came so close to taking the global economy with it when it crashed? What should we be doing to avoid a dreadful encore performance?

Part IV of "Nerds on Wall Street" sorted out the key technological issues that caused so much damage: a lack of transparency in markets for what we now call "toxic assets", which led to pricing by models instead of by markets. Models that proved toxically flawed, applied so recklessly, they nearly broke capitalism.

This talk brings this discussion up to date. Are current proposals based on the right information and data? Are modelers learning that the models aren't the markets? Can we achieve safe markets without stifling innovation?

Speaker Bio: Dave Leinweber has been called "one of the greatest financial innovators of our time"[1] by billionaire traders and investors, and "the class clown of the quantitative investing industry" by his Wall Street colleagues.

Leinweber combines the traits of an expert money manager with "alpha nerd"[2] computer scientist experience as an "early architect of automated trading"[3] . What really separates him from everyone else is his especially accessible way of thinking and writing. He believes that you can have a good laugh and learn something at the same time.

Judging by the praise for his new book, "Nerds on Wall Street", Leinweber's fans include the CEO of Barclays' Global Investors, the world's largest investment firm, the founder of the largest quant fund, D.E. Shaw, computer mega-publisher, Tim O'Reilly, and financial mega-journalist Jane Bryant Quinn; along with leading lights of finance from Harvard, Yale and MIT.

Currently a Fellow in Finance at the Haas School of Business at University of California Berkeley, and spent two years in the Caltech economics department. He is active in research relating what happens on the Internet to what happens in the market.

A semi-serial entrepreneur, he established two visionary financial technology firms, Integrated Analytics (which did algorithmic trading in the 1980s, acquired by Jefferies and spun off in ITG) and Codexa (in 1999, which extracted web information for professional investors and traders). In between, for nearly a decade, Leinweber successfully managed over $6 billion of institutional quant equity portfolios spanning 25 global strategies. His clients ranged from hedge funds to state employee pension plans.

He is now Institutional Investor magazine's monthly back page "Nerd on the Street" columnist.

Haas Center for Innovative Financial Technology:
http://cift.haas.berkeley.edu
Nerds on Wall Street book companion website:
http://nerdsonwallstreet.com
NOWS Blog:
http://nerdsonwallstreet.typepad.com

[1] Blair Hull, Founder of options pioneer Hull Trading, purchased by Goldman Sachs in 1999 for more than 500 million.
[2] Tim O'Reilly -- NOWS endorsement
[3] Andrew W. Lo, Professor of Finance, MIT Sloan School of Management

  
  
 
 

 
 
 
 

Boston | QWAFAFEW

Next Boston QWAFAFEW Meeting: Tuesday, 18 August 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Hugh@QWAFAFEW.org
 
a QWAFAFEW discussion led by Paul Bolster, Northeastern University 
 
Title: Cramer portfolio analysis
Individual investors have an incredible variety of sources for investment guidance. These include internet blogs, financial publications, books, newsletters and, of course, television shows. Paul Bolster of the Finance Group at Northeastern University will present work that he has done with Emery Trahan to examine a relatively new but widely popular source of investment advice, buy and sell recommendations made by Jim Cramer on his popular nightly Mad Money show on CNBC. Their results suggest that Cramer’s recommendations impact share prices of the companies that he mentions. The analysis of a Cramer portfolio suggests that factor-adjusted returns are significantly different from zero for some subperiods. However, the factor exposures change significantly. We're looking forward to a lively discussion. Bring appropriate noisemakers. -- Booyah.

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.

2009-2010 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
                                 
2009
 
September 15                                               Mark Kritzman
October 20                                                     John Minahan
November 17                                           Dan diBartolomeo
December 15                                               John Nagorniak
 
2010
January 19                                                    Evan Schulman
February 17                                                     Jarrod Wilcox
March 17                                                                   Dan Rie
   

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:  Hugh@QWAFAFEW.org

NYC | QWAFAFEW

QWAFAFEW Meeting / Wednesday, August 19th, 2009
 
Speakers: David Merrill, CEO, FinAnalytica, "Evaluating Fund-of-Hedge-Funds Risk with Fat-Tailed Distributions" and Dr. Liuren Wu, Professor Zicklin School of Business, Baruch College, "From Variance Risk Premia to Stock Returns."
 
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 - David Merrill, CEO, FinAnalytica, "Evaluating Fund-of-Hedge-Funds Risk with Fat-Tailed Distributions"
 
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 - Dr. Liuren Wu, Professor Zicklin School of Business, Baruch College, "From Variance Risk Premia to Stock Returns."
I will provide an overview of the variance risk premia literature, including (i) how to replicate a variance swap contract using vanilla options and (ii) how variance swap investments have performed historically and during the recent crisis. If time permits, I will also show some recent findings on using the cross-sectional variation of the option implied volatility and skew across a universe of single name stocks to predict future stock returns.
 

About our speakers:
David Merrill is CEO of FinAnalytica and a long time veteran of the financial technology industry. Previously, David worked at NYFIX, where he was Managing Director, Head of Sales and Client Operations. Prior to this he was Managing Director, Americas at Moody's KMV where he was responsible for client services, training and marketing globally. David also spent ten years at Omgeo, where he was Managing Director Global Operations. Professor Liuren Wu: Liuren is a professor of economics and finance at Zicklin School of Business, Baruch College, City University of New York. Before he joined Zicklin in 2003, he was an assistant professor at Fordham University. Liuren's major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past ten years, Liuren has published over 30 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, and Journal of Monetary Economics. Liuren has worked extensively as consultants in the finance industry, including Bloomberg, Morgan Stanley, and several fixed income and equity hedge funds. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and equity derivative securities.

 

Boston | QWAFAFEW

Boston QWAFAFEW Meeting: Tuesday, 21 July 2009
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
 
a QWAFAFEW discussion led by
Mark Kritzman / Windham Capital
 
Title: Investing During Times of Turbulence

This presentation shows how to measure turbulence in the financial markets based on a methodology developed earlier to measure skulls.  This methodology can be used to construct portfolios that are more resilient to market turbulence, to stress test portfolios or strategies, and to dynamically adjust a strategy's exposure to risk in order to enhance alpha. Mark Kritzman will explain his provocative statement, "The only problem with diversification is that it's never been tried."

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.

 2009-2010 Boston QWAFAFEW Schedule (names are Steerage Committee members in charge of the program)
                                 
2009
 
August 18                                                                Dan Rie
September 15                                               Mark Kritzman
October 20                                                     John Minahan
November 17                                           Dan diBartolomeo
December 15                                               John Nagorniak
 
2010
January 19                                                    Evan Schulman
February 17                                                     Jarrod Wilcox
   

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.
 

 

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)