The London Revolution
More than 600 finance professionals registered to attend the London Revolution.
An excellent group of top finance professionals shared their latest research and experience with big data and machine learning.
The event took place on April 24, 2018 at the Banking Hall, one of the most exquisite venues in Central London.
Agenda
Speakers included top buy and sell-side professionals, as well as high profile academics. They covered the most promising areas of machine learning and AI in finance, what’s real and what’s hype, as well as many real world examples of how alternative data is adding value to the investment process.
It was a full day event with several standalone speaking sessions, a few lightning talks, a machine learning panel and a panel on alternative data.
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Armando Gonzalez, CEO, RavenPack
Armando sets the stage and highlights why we have entered a big
data and machine learning revolution.
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Nitish Maini, General Manager, Virtual Research Center /
Vice President, Portfolio Management, WorldQuant LLC
Nitish focused on the similarities and differences between
quantitative and discretionary investing with an emphasis on the importance of data. He
will also host a demonstration of quantitative alpha using a web based simulator.
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Peter Hafez, Chief Data Scientist, RavenPack
In order to maintain an edge in the marketplace, asset managers are
to a larger extend turning to unstructured content for alpha creation, using NLP and
text analysis techniques. In addition, more and more managers are expanding their
mandate, trading global portfolios, to ensure more scalable strategies. As part of his
presentation, Peter showcases how news sentiment can be a valuable input to such
process.
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Manoj Saxena, Chairman, CognitiveScale
Artificial Intelligence (AI) is rapidly moving from a mesmeric
technology to a powerful teammate and a foundation for consumer and business decision
making. However, AI is a young field full of amazing potential. It’s mystery and lack of
understanding is also allowing for hype to grow unchecked. Unrealistic claims of an "AI
singularity" and portrayals of an "AI apocalypse" are creating a hype machine that is
unparalleled in recent history. The reality is somewhere in between these two extreme
scenarios. This session focuses on some of the good practices around practical and high
value applications of data and AI across healthcare, insurance, financial services, and
digital commerce.
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Asger Lunde, Director, Copenhagen Economics and Professor of Economics,
Aarhus University
Asger covers forecasting of Chinese macroeconomic time series using
a large number of prediction variables. He investigates what is the extent of
improvement of forecasts when news sentiment indexes are included among the predictors.
The results suggest that forecasts obtained with this method outperform univariate
autoregressions and in shorter prediction horizon news indexes improve the forecasts.
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Dimitri Huwyler, Head of Quantitative Strategy and Aleksandar Pramov,
Quantitative Researcher, Next Gate Capital
Successful market timing is a tantalizing holy grail for investors.
On both side, investors and researchers have discovered that the market timing is harder
than it might seems. At Next Gate Capital they think that this is a perfect research
playground for new machine intelligence techniques and new alternative dataset. They use
classic variables to build economic climate and global sentiment indicators, enhanced
with news sentiments, particularly on politics and monetary policy (two fields very
difficult to handle with classic dataset) and economy. They cover a practical example of
enhancement of a trend following
strategy.
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Moderator: Roland Fejfar, Executive Director , Morgan Stanley Fintech
IB Division
Panelists:
- Mark Salmon, Professor, Cambridge University
- John "Morgan" Slade, CEO, CloudQuant
- Andrej Rusakov, Co-founding Partner, Data Capital Management
Panelists:
- Mark Salmon, Professor, Cambridge University
- John "Morgan" Slade, CEO, CloudQuant
- Andrej Rusakov, Co-founding Partner, Data Capital Management
The financial sector is making a massive shift towards big data and
machine learning technologies. Panelists will share their experience in using data
science and domain expertise in understanding data context.They will address how machine
learning can be useful in creating new alpha signals, as well as in the data
generation/preparation process, in portfolio construction or risk management.
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Mark Salmon, Professor, Cambridge University; Director of Research,
Centre for Advanced Financial Engineering and Advisor, Old Mutual Global Investors
This talk reviews recent academic literature that attempts to
ensure causation rather than correlation in the use of machine learning. Applications of
ML in Genome/Cancer research have recognized this critical issue for some time and the
case is obviously equally strong in Finance where money may be allocated on the basis of
completely spurious data driven models. We look at developments in "Post Model Selective
Inference" and "Counter-factual Causal Prediction" with examples. We also discuss recent
statistical literature that questions the notion of "Big" data where the value of
incremental data may tend to zero and how inference should be adapted.
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Richard Bateson, Director, Bateson Asset Management
Combining alternative news and sentiment data with traditional
signals can provide increased risk-adjusted returns in long/short equity portfolios. In
this presentation we consider the application of Machine Learning techniques to capture
these effects and explore non-linear approaches to alternative data.
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Louis Scott, Founder, Kiema Advisors and Consultant, Style
Research
Do factors perform differently under news driven sentiment? Using
Style Research and RavenPack sentiment data, Louis constructs regional factors and
sentiment indices in the spirit of Hafez and Xie 2016. Results show strong differences
under periods of high and low sentiment. The design of a quarterly moving average is
distinct from most findings that reveal
intra-day to a few days efficacy for sentiment. In particular, a strong difference in
underlying distribution of factor returns is revealed and the Sortino ratios are
distinct under sentiment regimes.
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Michael Mayhew, Principal, Integrity Research
Lightning talk:
Facebook has recently come under
significant scrutiny from customers, the press, and US Congress about how it allowed
firms to siphon personal information from millions of user accounts. While this case is
interesting in its own right, it highlights a number of lessons for vendors and users of
alternative data about the risks of selling or using data that could provide personally
identifiable information.This presentation discusses these risks and the steps firms
should take to mitigate these risks.
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Jason Cornez, Chief Technology Officer, RavenPack
Lightning talk:
RavenPack automatically detects
thousands of different types of market moving events in unstructured text documents. An
enriched event captures more context from the document to provide more color about what
the event means. We take a quick look at how events are detected now and what
innovations are happening to help enrich the events the system can detect moving
forward.
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Dan Furstenberg, Head of Data Strategy, Jefferies
Lightning talk:
Dan discusses alternative data
integration on the buy-side, with an emphasis on quantifying strategy. He's highlighting
how nearly 50 fundamental investors are actively building these efforts and are
approaching alternative data from a talent, infrastructure and resourcing perspective.
He also covers the data science landscape across investment managers.
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Moderator: Dan Furstenberg, Head of Data Strategy, Jefferies
Panelists:
- Peter Hafez, Chief Data Scientist, RavenPack
- Leigh Drogen, CEO, Estimize
- Rich Brown, Managing Director, Schonfeld Strategic Techworx
- Michael Mayhew, Principal, Integrity Research
Panelists:
- Peter Hafez, Chief Data Scientist, RavenPack
- Leigh Drogen, CEO, Estimize
- Rich Brown, Managing Director, Schonfeld Strategic Techworx
- Michael Mayhew, Principal, Integrity Research
This panel addresses what key areas financial institutions should
have in mind when looking at alternative data to avoid wasting resources on alternative
datasets doomed not to provide value. Panelists will share their experience highlighting
what pitfalls they should try to avoid as quant or fundamental investors, and how to be
successful with alternative data. They will also discuss what attributes are required of
a potentially performing alternative dataset.
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Speakers
Nitish Maini
General Manager, Virtual Research Center / Vice President, Portfolio Management
WorldQuant LLC
General Manager, Virtual Research Center / Vice President, Portfolio Management
WorldQuant LLC
Nitish specializes in building the trading and business strategy for
WorldQuant’s Virtual Research Center. He is also involved in setting up the
research environment for WorldQuant’s new offices and building
collaborations with academia for the firm and has gained exposure to a
variety of areas, including risk, consulting, business development,
quantitative research and trading.
Asger Lunde
Director / Prof of Economics
Copenhagen Economics / Aarhus Univ.
Director / Prof of Economics
Copenhagen Economics / Aarhus Univ.
Asger is an expert in econometric modelling and data analysis. He is
associate editor of The Journal of Business and Economic Statistics and The
Journal of Financial Econometrics. In 2014 Asger was featured on Thomson
Reuters' list of the World’s Most Influential Scientific Minds.
Dan Furstenberg
Head of Data Strategy
Jefferies
Head of Data Strategy
Jefferies
Dan leads Jefferies’ Data Strategy effort, he's been at the firm for 10
years and is a member of the Distribution Committee. His career began in
investment banking, focusing on leveraged finance at Merrill Lynch before
joining the tech banking team at Credit Suisse First Boston.
Ada Lau
Quantitative Strategist
J.P. Morgan Securities (Asia Pacific) Ltd.
Quantitative Strategist
J.P. Morgan Securities (Asia Pacific) Ltd.
Ada is a quantitative researcher on systematic cross asset strategies within
the Global Quantitative and Derivatives Strategy team at J.P. Morgan.
Roland Feifar
Executive Director
Morgan Stanley Fintech IB Division
Executive Director
Morgan Stanley Fintech IB Division
Roland is a Vice President in Morgan Stanley’s Investment Banking Division
covering FinTech across EMEA and South East Asia. In his role, Roland is
advising clients on corporate finance related matters, including private
capital raisings, IPOs, equity and debt offerings, and M&A.
John "Morgan" Slade
CEO
CloudQuant
CEO
CloudQuant
Morgan is the CEO of FinTech start-up CloudQuant.com, a cloud-based
investment strategy research tool and incubator. He also serves as Chief
Investment Officer of CloudQuant Capital Management LLC and Head of Global
Systematic Trading for Kershner Trading Group.
Rich Brown
Managing Director, Market Data
Schonfeld Strategic Techworx
Managing Director, Market Data
Schonfeld Strategic Techworx
Schonfeld Strategic Techworx is the technology servicing arm for Schonfeld,
a multi-manager platform for quantitative, fundamental equity and tactical
trading strategies. At Schonfeld, Rich is responsible for the market data
sourcing function as well as the technology for the research
environment.
Andrej Rusakov
Co-founding Partner
Data Capital Management
Co-founding Partner
Data Capital Management
Andrej is the co-founder of Data Capital Management; a systematic Hedge Fund
based on machine learning technologies and “Big Data” feeds. Andrej is a
mathematician and a fundamental investor by training, who is passionate
about technology and the onset of the “Data Economy”.
Mark Salmon
Professor / Director of Research / Advisor
Cambridge Univ. / Centre for Advanced Financial Engineering / Old Mutual Global Investors
Professor / Director of Research / Advisor
Cambridge Univ. / Centre for Advanced Financial Engineering / Old Mutual Global Investors
Currently teaching Applied Asset Management on the MPhil. Economics and
Finance at Cambridge Univ., he is also a Visiting Professor at Imperial
College and Director of Research in High Frequency Trading in the Centre for
Advanced Financial Engineering, and an advisor to Old Mutual.
Manoj Saxena
Chairman
CognitiveScale
Chairman
CognitiveScale
Manoj is also the founding Managing Director of The Entrepreneurs’ Fund IV,
a $100M seed fund focused exclusively on cognitive computing. Most recently,
Manoj was General Manager of IBM Watson, where his team built the first
cognitive systems for healthcare, retail, and financial services.
Louis Scott
Founder / Consultant
Kiema Advisors / Style Research
Founder / Consultant
Kiema Advisors / Style Research
At Kiema Louis is incubating strategy ideas, and collaborating on research.
He has worked at Northfield, Panagora and then Citigroup Asset Management
before moving to London and Old Mutual where he continued the dual roles of
senior portfolio manager and quantitative research. He then served as Head
of FactSet's Risk and Quantitative Research.
Dr. Richard Bateson
Director
Bateson Asset Management
Director
Bateson Asset Management
BAM is specialising in quant strategies employing the latest Machine
Learning technologies across multiple global markets & asset classes. Prior
to founding BAM, Richard worked at $80bn Man Group as Head of Dimension,
AHL’s multi-strategy systematic fund, including the award winning Evolution
fund.
Leigh Drogen
Founder and CEO
Estimize
Founder and CEO
Estimize
Prior to founding Estimize, Leigh ran Surfview Capital, a New York based
quantitative investment management firm trading medium frequency momentum
strategies. He was also an early member of the team at StockTwits where he
worked on product and business development.
Michael Mayhew
Principal
Integrity Research
Principal
Integrity Research
Mike is a leading expert on the investment research industry. In addition to
founding Integrity Research, Mike is on the board of directors of
Investorside Research Association, the non-profit trade association for the
independent research industry, and a recognized speaker in his field.
Dimitri Huwyler
Head of Quantitative Strategy & Co‐Founder
Next Gate Capital
Head of Quantitative Strategy & Co‐Founder
Next Gate Capital
Prior to co-founding Next Gate Capital, Dimitri worked in the investment
division of UBS as an Investment Advisor involved on quantitative Strategy.
Before that he worked in the Data department at UBS Hong‐Kong focusing on
digitalization.
Peter Hafez
Chief Data Scientist
RavenPack
Chief Data Scientist
RavenPack
Peter is a pioneer in the field of applied news analytics, bringing
alternative data to banks and hedge funds. He has more than 15 years of
experience in quantitative finance with companies such as Standard & Poor's,
Credit Suisse First Boston, and Saxo Bank.
Jason Cornez
Chief Technology Officer
RavenPack
Chief Technology Officer
RavenPack
Jason is responsible for the design and implementation of the RavenPack
software platform. He is a hands-on technology leader, with a consistent
record of delivering break-through products.
Partner Sponsors
Media Partners
Location
When
:
Tuesday, April 24
9:00 am - 5:00 pm GMT
Where
:
The Banking Hall
14 Cornhill, London, UK
