Quant Insights Conference

2020 Conference Program

Date: 12th – 13th November 2020

Times: 8:30 – 14:30 EST / 13:30 – 19:30 GMT / 14:30 – 20:30 CET
Location: Streaming globally live online

CQF Institute is part of

www.qiconference.com
Sponsors
Platinum Sponsors
NVIDIA
Intelligent technology can address critical challenges within the
modern financial services industry. Institutions can boost risk
management, improve data-backed decisions and security, and
enhance customer experiences with NVIDIA’s AI – including, deep
learning, machine learning, and natural language processing – and
remote work solutions.
Download an infographic or read a NVIDIA financial trading brief
www.nvidia.com

Vola Dynamics
Vola Dynamics provides analytics for options trading and risk
management, as well as portfolio, PnL, and scenario analysis. Vola
is the only third-party vendor to provide top-tier market maker
quality valuations for listed vanillas and vol derivatives. The Vola
vol fitter and pricer are generally acknowledged to be the best
in the industry. Vola’s clients include many of the world’s most
sophisticated prop shops, banks, and hedge funds (like Capstone,
Squarepoint, and HAP Capital).
Download the brochure or read a Vola Dynamics Wilmott article
www.voladynamics.com

UnRiskOmega AG
UnRiskOmega AG is a Swiss fintech company that has been
developing solutions for financial industries since 2016. The
team consists of highly qualified employees with an academic
background in mathematics, physics, computer science,
information technology, and business administration who are
passionate about technology and the world of finance.
Download the brochure
www.unrisk.com
Gold Sponsor
Devexperts
dxFeed is the subsidiary of Devexperts that primarily focuses on
delivering financial markets information and services to buy-
side and sell-side institutions of the global financial industry,
specifically, to traders, data analysts, quants, and portfolio
managers.
Download the brochure
www.dxfeed.com

Media Sponsor
Irithmics
Irithmics was launched in 2012 to develop deep learning
technology for public health research as part of an EU backed
academic research call. Their strong background in investments,
finance, and risk led them to look at ways to apply their
technology and deep learning to institutional investment
dynamics and fund strategy analysis.
www.irithmics.com

Academic Partners
COST Action FinAI
The Action will investigate AI and Fintech from three different
angles and will bridge the gap between academia, industry,
the public and governmental organizations by working in an
interdisciplinary way across Europe and focusing on innovation.
Download the brochure
www.cost.eu

Golden Education
Golden Education was established in 2006 and is committed
to creating a complete lifelong financial education ecosystem;
providing enterprises and individuals with professional,
systematic, and convenient financial learning products and
services.
www.gaodun.com
Schedule
Day One – 12th November 2020
8:00 EST Virtual Conference Doors Open – Explore the Hopin Platform
8:30 EST Welcome and Opening Remarks
Dr. Randeep Gug, Managing Director, CQF Institute
8:35 EST Building Neural Networks that Calibrate to Data in Real-Time
Thijs van den Berg, Independent Consultant in Machine Learning and Quantitative
Finance
9:10 EST COVID 19 and Crude Oil Prices
Professor Helyette Geman, Director of the Commodity Finance Centre, Birkbeck
University of London and Research Professor, Johns Hopkins University
9:45 EST Faster Intelligence
Dr. John Ashley, General Manager, Financial Services and Technology, NVIDIA
10:20 EST Morning Break
Breakout Session: Iceberg Order Detection and Prediction
Anton Antonov, Lead Quantitative Analyst, dxFeed
Visit the Networking area to speed network with your fellow attendees
Visit the Expo Booths to hear more from our Sponsors
10:40 EST Tools for Options Trading in the New World: A Report from the
Cutting Edge
Dr. Timothy Klassen, CEO and Founder, Vola Dynamics
11:15 EST Update on US Stock Market Calendar Anomalies in the COVID-19 Era
Professor Bill Ziemba, Alumni Professor of Financial Modeling and Stochastic
Optimization, Sauder School of Business, University of British Columbia
11:50 EST Afternoon Break
Visit the Networking area to speed network with your fellow attendees
Visit the Expo Booths to hear more from our Sponsors
12:20 EST Panel - Agents Provocateurs: Quant Finance’s Next Evolution Must
Incorporate Agent Based Modeling
Professor Thomas Lux, Dr. Stephen Weston, Krishnen Vytelingum, Dr. Jean-Philippe
Bouchaud, and Dr. Lisa Borland
13:00 EST Statistical Consequences of Fat Tails
Nassim Taleb, Professor of Risk Engineering, NYU Tandon School of Engineering
13:35 EST Some Financial Anomalies Have Survived the Past 30 Years: Their
Statistical Significance Has Continued
Dr. Harry Markowitz, President, Harry Markowitz Company and Dr. John
Guerard, Director of Quantitative Research, McKinley Capital Management LLC
14:10 EST Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute
14:30 EST End of day Networking – the Expo Booths will also remain open for the
next hour
Day Two – 13th November 2020
8:00 EST Virtual Conference Doors Open – Explore the Hopin Platform
8:30 EST Welcome and Opening Remarks
Dr. Randeep Gug, Managing Director, CQF Institute
8:35 EST Potential Impacts of the COVID 19 Pandemic on Private Wealth
Advisory – A Quantitative Study
Michael Aichinger, CEO, unisoftwareplus, GmbH
9:10 EST Deep Learning Techniques in Derivatives Pricing
Dr. Alireza Javaheri, Global Head of Equity Derivatives Quantitative Strategies,
Credit Suisse and Mehdi Sonthonnax, US Equity Derivatives Quantitative Strategies,
Credit Suisse
9:45 EST A Truthful Generalization of Black-Scholes-Merton
Elie Ayache, Co-Founder and CEO, ITO 33
10:20 EST Morning Break
Breakout Session: Certificate in Quantitative Finance (CQF) –
Information Session
Dr. Randeep Gug, Managing Director, CQF Institute
Visit the Networking area to speed network with your fellow attendees
Visit the Expo Booths to hear more from our Sponsors
10:40 EST Cryptocurrency Exchange Microstructure and Quant Trading
Aaron Brown, Courant Institute for the Mathematical Sciences and the University of
California at San Diego
11:15 EST High Frequency Price Leadership of Bitcoin Futures - and the Bitcoin VIX
Professor Carol Alexander, Professor of Finance, University of Sussex
11:50 EST Afternoon Break
Visit the Networking area to speed network with your fellow attendees
Visit the Expo Booths to hear more from our Sponsors
12:20 EST Panel – Post Modern Volatility: When Abstraction Becomes Reality
Boris Borowski, Professor Dr. Uwe Wystup, Professor Emanuel Derman,
Dr. Paul Wilmott, and Elie Ayache
13:00 EST Rough Volatility: An Overview
Jim Gatheral, Presidential Professor, Baruch College, CUNY
13:35 EST The Pain and Pleasure of Investing
Dr. Paul Wilmott, President, CQF Institute
14:10 EST Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute
14:30 EST End of day Networking – the Expo Booths will also remain open for the
next hour
Speakers and Abstracts
Dr. Paul Wilmott
President, CQF Institute
The Pain and Pleasure of Investing
“They had said good-night and Bond, in a mood of anti-climax, had
gone off to bed. He had taken a mild sleeping pill to try and clear his
mind of the bizarre events of the evening and prepare himself for the
morning and the office. Before he slept, he reflected, as he had often
reflected in other moments of triumph at the card table, that the gain to
the winner is, in some odd way, always less than the loss to the loser.” –
‘Moonraker’, Ian Fleming, 1955

Dr. Harry Markowitz and Dr. John Guerard

President, Harry Markowitz Company and Director of Quantitative
Research, McKinley Capital Management LLC
Some Financial Anomalies Have Survived the Past 30 Years: Their
Statistical Significance Has Continued
Financial anomalies have been studied for over 80 years in the U.S.
Have the anomalies changed and are they persistent? Does the ‘Low
PE’ strategy, identified by Graham and Dodd in 1934, still work and
how often does it work? Historic earnings are (still) highly statistically
associated with stock returns. Earnings forecasting data has been
a consistent, and highly statistically significant, source of excess
returns. Harry and John test many financial anomalies of the 1980s
and report that several models and strategies continue to produce
statistically significant excess returns. They test a large set of U.S. and
global variables over the past 16 years and report that many of these
fundamental, earnings forecasts, revisions, breadth, momentum, and
cash deployment strategies that maintained their statistical significance
during the 2003-2018 time period and have produced significant
returns in the post-global Financial Crisis time period. Moreover,
the earnings forecasting model and robust regression estimated
composite model excess returns are greater in non-US and global
markets than in the U.S. markets. The anomalies variables are highly
statistically significant in post-publication time periods, including
booms, recessions, and volatile market conditions. They report that
quantitative-based models, built on anomalies known at the time, have
outperformed indexes in over 70-80% of the years.
Aaron Brown
Courant Institute for the Mathematical Sciences and the University of
California at San Diego
Cryptocurrency Exchange Microstructure and Quant Trading
In the first quarter of 2020, total cryptocurrency and crypto derivative
trading volume on major exchanges exceeded 10 trillion (compared to
32.5 trillion of global equity trading) with obvious implications for quant
trading profits. However, there are serious questions about crypto
exchange data quality, including suspicions around large amounts
of wash trades, phantom trades, manipulation and insider dealing.
Reports from crypto exchanges do not entirely match results from
CME bitcoin futures or on-chain exchanges. Quants typically rely on
price histories to analyze markets and form strategies, so the quality
of that price history is crucial. Aaron will present the results of the first
comprehensive analysis of major crypto exchange trading from the
standpoint of developing crypto quant trading strategies.

Dr. Alireza Javaheri and Mehdi Sonthonnax

Global Head of Equity Derivatives Quantitative Strategies and US
Equity Derivatives Quantitative Strategies, Credit Suisse
Deep Learning Techniques in Derivatives Pricing
Alireza and Mehdi will present some practical aspects of using Deep
Learning techniques to solve PDE encountered in finance. In particular,
they will look at how models built this way can be used in a trading
environment. Applications to fixed-notional Accelerated Share
Repurchase strategies will also be presented.
Professor Bill (William) Ziemba
Alumni Professor of Financial Modeling and Stochastic Optimization,
Sauder School of Business, University of British Columbia
Update on US Stock Market Calendar Anomalies in the COVID-19 Era
Bill’s 2012 book ‘Calendar Anomalies and Arbitrage’ studied various US
Calendar anomalies. This talk, and accompanying paper, update these
anomalies through 2019 and the 2020 Covid-19 era. These include
the turn of the year and month, small cap, time of the month, holiday,
option expiry, day of the week, Fed movements, and other effects.

Professor Carol Alexander

Professor of Finance, University of Sussex, and Visiting Professor,
Peking University PHBS Business School, and Co-Editor, Journal of
Banking and Finances
Bitcoin Derivatives: The Impact of Unregulated Markets on Price
Discovery and Introducing the BVIX
Bitcoin and ether futures and options are traded on numerous
unregulated centralized exchanges in volumes far exceeding those
on the CME. This talk presents results from a couple of recently
published papers. The first examines crypto exchange microstructure
to develop a model for the time-lag between large price moves on
leading derivatives exchanges (such as Huobi, OKeX and BitMEX) and
bitcoin spot exchanges and other bitcoin derivatives exchanges (e.g.
CME futures). The second paper also uses high-frequency data from
centralized exchanges, this time on Deribit options prices, to develop a
family of bitcoin implied volatility indices. Carol is currently finalizing a
real-time 30-day bitcoin VIX, based on their research, for streaming by
major data providers.

Elie Ayache
Co-Founder and CEO, ITO 33
A Truthful Generalization of Black-Scholes-Merton
When truly scrutinized, the Black-Scholes-Merton model and formalism
have no notion of an options or generally derivatives market. The only
market is that of the underlying asset and all that the formalism shows
is how to synthesize payoffs that depend on the underlying stock
price. These are internal to the underlying market and hardly qualify
as independently exchangeable assets. Consequently, the only true
problem facing BSM is how to move from volatility to implied volatility
(i.e. how to admit the existence of an options market) and not how to
move from constant volatility to stochastic volatility. Elie will claim that
this simple and deep observation, and the corresponding redirection
of thought, lead to the regime-switching model as the only truthful
generalization of BSM.
Professor Helyette Geman
Director of the Commodity Finance Centre, Birkbeck University of
London and Research Professor, Johns Hopkins University
COVID 19 and Crude Oil Prices
The first part of the talk will show how the combination of Geopolitics
and COVID 19 led to negative WTI crude oil Futures prices in April
2020, an event which never took place since the creation in 1983 of
oil Futures contracts and announced the peak oil demand. The second
part of the talk will propose the CGMY with Stochastic Volatility model
to represent the volatility skew observed in the oil market in the recent
period.

Jim Gatheral
Presidential Professor, Baruch College, CUNY
Rough Volatility: An Overview
The scaling properties of historical volatility time series, which
now appear to be universal, motivate the modeling of volatility as
the exponential of fractional Brownian motion. This model can be
understood as reflecting the high endogeneity of liquid markets and
the long memory of order flow. The Rough Bergomi model which is the
simplest corresponding pricing model fits the implied volatility surface
remarkably well. As an application, Jim shows how to forecast realized
variance. Jim will finish by presenting some more recent developments.

Dr. John Ashley

General Manager, Financial Services and Technology, NVIDIA
Faster Intelligence
John will explore today’s art of the possible in terms of not just
developing AI and ML models, but in optimizing them for faster
execution. John will show not only what is possible with hardware,
but go into some of the software tricks, helping build your intuition for
models types, quantization and precision, sparsity, and other compiler
style optimizations.
Michael Aichinger
CEO, unisoftwareplus, GmbH
Potential Impacts of the COVID 19 Pandemic on Private Wealth
Advisory – A Quantitative Study
Due to the COVID 19 pandemic major indices around the world
plunged. This drop was accompanied by levels of volatility last seen
during the global financial crisis. Michael will examine the impact of
the market movements since the beginning of the Corona crisis on the
private wealth management market on the product and portfolio levels.
Furthermore, Michael will discuss the consequences for the advisory
process arising from the interplay between the stressed situation on the
financial markets and the regulatory requirements.

Nassim Taleb
Professor of Risk Engineering, NYU Tandon School of Engineering
Statistical Consequences of Fat Tails
A talk around topics from ‘Statistical Consequences of Fat Tails: Real
World Epistemology, Preasymptotics, and Applications’ (2020). Nassim
will consider the consequences of Fat tailedness on portfolio theory,
risk parity, and various theories of diversification. Nassim will show why
higher moments are required to use tools from modern financial theory
(portfolio theory and factor analyses) and how these assumptions are
not met in practice. Nassim will show the effect of the absence of
ellipticality on portfolio construction and will discuss the flaws in the
current “patches” to model conditional correlations and volatility.

Thijs van den Berg

Independent Consultant in Machine Learning and
Quantitative Finance
Building Neural Networks that Calibrate to Data in Real-Time
With enough data, neural networks offer superior empirical models,
but training to new data is slow. In finance, we often need models that
calibrate to new market data fast, sometimes in real-time. In this talk,
Thijs will present a parametric neural network architecture that solves
this. It allows you to build real-time calibratable neural networks that
are superior in both model-performance and calibration-speed. Thijs
will demonstrate an application in implied volatility curve modelling
where he will train the two interlocked neural network models end-to-
end. One neural network learns a parametric empirical family of implied
volatility curve shapes, while the other learns how to calibrate the first
to unstructured sets of option price data in real-time.
 Dr. Timothy Klassen
CEO and Founder, Vola Dynamics
Tools for Options Trading in the New World: A Report from the Cutting
Edge
The listed equity options markets, chiefly in the US, have by any
number of metrics become very large, liquid, competitive, and
sophisticated over the last decade. The current pandemic has led to
many further remarkable features, from the “strange” – but perfectly
rational – shapes in index and single stock vol surfaces, to changes in
spot-vol dynamics, to the increase in retail participation. Tim will discuss
(i) some of the challenges this raises for valuation and hedging in an
increasingly automated and competitive trading world for both vanilla
and exotic options, (ii) the requirements for tools to help navigate this
new world, and (iii) briefly, how these requirements are implemented in
the Vola library.

Breakout Sessions
Anton Antonov
Lead Quantitative Analyst, dxFeed
Iceberg Order Detection and Prediction
Anton proposes a method for detecting and predicting native (managed
by the exchange) and synthetic (managed by market participants)
iceberg orders on the Chicago Mercantile Exchange. The icebergs
extracted from historical data tapes are used to train a model based on
the Kaplan–Meier estimator, accounting for orders that were cancelled
after a partial execution. The model is utilized to predict the total size of
newly detected icebergs. Out-of-sample validation is performed on the
full order depth data; performance metrics and quantitative estimates
of the hidden volume are presented. The results of this research are
accepted for publication in the Journal of Quantitative Finance.

Dr. Randeep Gug

Managing Director, CQF Institute
Certificate in Quantitative Finance (CQF) – Information Session
Find out more about studying the CQF – the world’s largest
professional, online quant finance certification. Since being founded
by Dr. Paul Wilmott in 2003, over 5000 professionals from around the
world have chosen to transform their careers with the CQF. Join this
short information session to find out more about the practical, real-
world syllabus, course structure, application process, and more. Plus,
get all your questions answered by the CQF Program Director, Dr.
Randeep Gug.
Panel Discussions
Agents Provocateurs: Quant Finance’s Next Evolution Must Incorporate Agent
Based Modeling

Panel Chair Dr. Jean- Krishnen Dr. Lisa Borland Dr. Stephen
Professor Philippe Vytelingum Research, Weston
Thomas Lux Bouchaud Head of Cerebellum Risk Advisory
Professor of Chairman and Quantitative Capital Partner, Deloitte
Monetary Chief Scientist, Modelling,
Economics and CFM Simudyne
International
Finance,
University of Kiel
What do quants ‘know’ about Agent Based Models, and are those beliefs justified? This
panel will discuss whether quants ideas about Agent Based approaches to financial
modelling are misconceived and what the roots of these biases might be. More
importantly, are these misconceptions an obstacle to engaging with methods and findings
that could be a valuable addition to the quant toolbox? Could current work utilising ABMs
with a disaggregated view of agents described by stochastic processes provide a route in
for quants? Could ABM based scenario generators become a norm in risk management
and model backtesting?
Post-Modern Volatility: When Abstraction Becomes Reality

Panel Chair Elie Ayache Professor Dr. Paul Wilmott Professor Dr.
Boris Borowski Co-Founder and Emanuel President, CQF Uwe Wystup
Head of CEO, ITO 33 Derman Institute Founder and
Structured Financial Managing
Products Engineering Director,
Technology Professor, MathFinance AG
Department, Columbia
Bank Vontobel University
AG
The evolution of quant finance is inextricably intertwined with the attempt to define risk
quantitatively, and then use that definition to avoid and predict risk and reward. It has
become standard since Markowitz to regard risk as volatility. Now there are many kinds
of volatility. Beginning with volatility defined as standard deviation of historical returns,
progressing to the introduction of calibration and the invention of implied volatility,
through the disruption caused by the volatility smile, and on to local volatility models,
stochastic volatility models, and the VIX and its dynamics. Each step has introduced
new models with new parameters, which in turn become new assets which the market
speculates on and trades. The crisis initiated by the pandemic has placed market volatility
firmly in the spotlight and afforded quant finance practitioners an opportunity to re-
examine the volatility hall of mirrors. This panel will address the implications for how
quants engage with volatility both as a construct packed with contingencies and as a
variable whose evolution we don’t fully understand. More surprises doubtless await us. If
modern approaches to volatility since the advent of the Black Scholes model have taken
an abstraction and supplanted the reality which it claimed to represent, what should a
post-modern approach to volatility be about?
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CQF Institute

Conference Organizers

Part of Fitch Learning, the CQF Institute is a global membership platform for educating and building
the quant finance community.

Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and
conduct. Fitch Learning advises and builds learning solutions to accelerate the achievements of
individuals and companies.

Wilmott is the leading resource for the quant finance community, comprised a website and
discussion forum and Wilmott magazine.