The team returned to London after 3 days at QuantMinds International conference, in Vienna. For more than 25 years, QuantMinds has been the place for quants to be and this year was no different. Hot topics included recent developments with alternative data, machine learning, algorithmic trading, financial modelling and regulatory developments.
QuantMinds 2019 provided an opportunity to see applications of state-of-art methods on financial data from academic experts and listen to industry practitioners’ real-life applications and learn more about the regulatory challenges that lie ahead.
Throughout the conference, machine learning was one of the main topics buzzing throughout the conference sessions and streams. We heard differing views on the applications and usability of new methodologies relying on this new domain. One point of view questioned the necessity of these clustering and deep learning methods. Some calculations in quantitative finance turned out to be quite nonlinear in nature and required some advanced mathematical tools to modelling. According to this view, the need for advanced calculations pave the way for machine learning in quantitative finance. Professor John Hull, provided some brilliant examples on how machine learning could be applied. In the case of private equity, he explained how investors are trying to decide which companies to invest in and where machine learning can be applied, to describe the characteristics of companies that have performed well in the past. In another example, Hull described how machine learning algorithms can do a pretty good job in identifying probable defaults on lending decisions. Lastly, he mentioned learning algorithms are used a lot to develop trading strategies and pricing derivatives more quickly than classical models. Overall machine learning was received well by delegates, with some practitioners staying on the air of caution. Vladimir Piterbarg, MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets, suggested that deep learning techniques would not be that useful in finance, on the “Assessing new trends in quant finance” panel discussion.
(Above) Day One: Michael Steliaros – Global Head: Quantitative Execution Services, Goldman Sachs presenting “The Evolution of Execution Dynamics and Advances in Trading Technologies”.
New developments in trading algorithms and execution strategies were also widely discussed at QuantMinds. One of the most noticeable presentation was given by Michael Steliaros, Global Head of Quantitative Execution Services. He provided an enlightening presentation on “The Evolution of Execution Dynamics and Advances in Trading Technologies”. Steliaros explained his team’s work has been running on patterns of intraday volumes – and the recent changes on intraday execution cycles. He specifically mentioned that due to significant shift of investors to passive ETFs and mutual funds, intraday dynamics has shifted.
Other distinguished speakers from academia included, Damiano Brigo, Carol Alexander, Darrell Duffie and Rama Cont. Rama Cont’s findings of his recent paper called “Trade Duration, Volatility and Market Impact” proved interesting. Brigo and his co-author Francesco Capponi concluded that the main determinants of price variations amplitude, during trade executions were ‘market volatility’ and ‘trade duration’. By contrast, they found, ‘trade size’ and ‘execution speed’ (as measured by the participation rate) were found to have little or no influence on 'market impact' for orderly trade executions. Duffie presented his views on the conversion to new risk-free reference rates and its relations with other parts of the financial markets.
Picture: Day Three panel discussion: “Assessing new trends in quant finance” panel discussion.
Other noticeable discussions were from Saaed Amen, Founder, Cuemacro who provided real life examples of usage of the alternative data in quantitative investment algorithms and James Baker - Product Manager, Suite, LLC who provided a detailed explanation of the usage of natural language processing algorithms for quantitative investment strategies.
The QuantMinds conference, continues to be a leading international event for quants, providing a very insightful experience for the EPFR team, Informa Financial Intelligence. We thank all participants and speakers who shared their valuable thoughts with us and we hope to see you again next year.
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