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SCHEDULED EVENTS

DATE

ORGANIZER

TITLE/EVENT

VENUE

SUBJECT

11/07/2019

University of Virginia

The Present and Future of Quantitative Research University of Virginia

A review of why modern financial problems are beyond the grasp of econometrics.

11/05/2019

ThinkNum

Ten Financial Applications of Machine Learning The Times Center, NYC

Ten examples where machine learning is playing a key role in finance.

10/15/2019

EQD Conference

The Nested-Clustered Optimization Algorithm Hong Kong

The NCO algorithm can reduce transaction costs by more than 2/3, relative to standard methods such as Black-Litterman.

09/17/2019

University of Oxford

A Robust Estimator of the Efficient Frontier Mathematical Institute, Oxford

A contrast between the present paradigm in quantitative research, and the emerging one.

09/16/2019

AlphaEvents

The Present and Future of Quantitative Finance London

A contrast between the present paradigm in quantitative research, and the emerging one.

09/10/2019

QuantMinds

The 7 Reasons Econometric Funds Fail (and what can be done about it) Boston

A discussion of why factor investing has failed, and how to fix it.

06/19/2019

RiskMathics

Financial Machine Learning Mexico DF

A seminar on the foundations of financial machine learning.

05/30/2019

Nomura

Current Topics in Financial Machine Learning NY

I'll discuss important financial problems where ML offers practical solutions.

05/14/2019

QuantMinds International

Machine Learning: Separating Fact from Fiction Vienna

A seminar that aims at cutting through the hype, with 10 examples where machine learning is playing a key role in finance.

04/06/2019

Columbia University Beyond Econometrics NY

In this presentation I'll describe the reasons why Financial researchers should modernize their quantitative toolkit.

03/19/2019

AI and Data Science in Trading Machine Learning for Financial Research NY

A review of research protocols for financial machine learning.

02/05/2019

Journal of Portfolio Management The Machine Learning Revolution? NY

A discussion of what is new and old in financial machine learning.

01/28/2019

Columbia University Financial Engineering Practitioners Seminar NY

Top ten applications of Financial Machine Learning.

11/13/2018

Cornell University

Impact of AI and New Technologies on Asset Management CornellTech

The panel will discuss how AI is changing the asset management industry.

11/08/2018

ISDA

Financial Markets in the Machine Age ISDA

A conversation with Scott O'Malia, CEO of ISDA and former CFTC Commissioner.

11/06/2018

London Business School

Uncovering Behavioral Biases with Machine Learning LBS

ML provides an objective benchmark against which behavioral biases can be observed and quantified. In this presentation we will illustrate this point with three examples.

11/01/2018

TABB Forum

Why Most Machine Learning Funds Fail, and what can be done about it TABB Forum

Solutions to the crisis in financial research.

10/05/2018

Yale University

Asset Management in the Machine Learning Age Yale School of Management

A discussion of how machine learning is changing the asset management industry. A recap of the conference can be found here.

07/11/2018

J.P. Morgan

Advances in Financial Machine Learning 383 Madison Avenue, New York, NY

Recent breakthroughs in financial machine learning.

07/10/2018

Risk Magazine

Quant Congress 2018 Risk Magazine

Spotlight on Quantum Computing in Finance.

07/03/2018 QuantNews The 7 Reasons Most Machine Learning Funds Fail  QuantNews A webinar on the reasons most ML funds do not deliver performance as advertised.

06/22/2018

RiskMathics

Risk & Trading Conference RiskMathics

I'll present my new book, Advances in Financial Machine Learning.

06/08/2018

Cornell University

Market Microstructure in the Age of Machine Learning Johnson School

A review of how machine learning is changing market microstructure research.

05/29/2018 Citibank The Myth and Reality of Financial Machine Learning  388 Greenwich Street, New York, NY A discussion on the promise and perils of financial machine learning.

05/26/2018

Courant Institute for Mathematical Sciences

Cutting-Edge Topics in Finance New York University

A presentation on advances in machine learning.

05/24/2018

Bloomberg

ML Research in Finance BBQ

A presentation on advances in machine learning.

05/15/2018

QuantMinds International

Advances in Machine Learning QuantMinds International

Round table on AI and ML applications to scientific research and businesses.

05/10/2018

Deutsche Bank

2018 Quantitative Strategy Conference Deutsche Bank

The Myth and Reality of Financial Machine Learning.

05/02/2018

FinHub ML Conference

The 7 Reasons Most Machine-Learning Funds Fail University of Toronto

Some of the most common pitfalls when applying ML techniques in Finance.

04/28/2018

Quantopian

Advances in Financial Machine Learning Quantopian

A review of recent breakthroughs in Financial ML.

04/24/2018

Goldman Sachs

Stagnation in Academic Finance: Causes and Solutions Goldman Sachs

A presentation on the reasons why Finance has not made substantial scientific progress over the past decades.

03/20/2018

Cornell University

Portfolio Management in the Machine Learning Age Johnson School

Class at the PhD program.

03/07/2018

Society for Quantitative Analysis

Financial Machine Learning SQA

The state of machine learning research and production in Finance.

03/02/2018

QuantTech

Machine Learning & AI in Quant Finance QuantTech

ML and the introduction of industrial scale research to asset management.

02/09/2018

Evercore ISI

Financial Machine Learning Evercore ISI

A review of how ML is changing financial research.

09/20/2017

BAML

Machine Learning in Finance BAML

In this panel we will discuss how ML is changing Finance, and what will be the greatest disruptions in the near future.

09/05/2017

Cornell University

The 7 Reasons Most Machine-Learning Funds Fail CornellTech

The rate of failure in quantitative finance is high, and particularly so in financial ML. However, that is a rare outcome, for reasons that will become apparent in this seminar.

04/29/2017

Quantopian

Machine Learning Portfolio Construction Quantopian

I will discuss the issues involved in the current generational transition, from old quant approaches to ML.

03/30/2017

Columbia University

OOS Portfolio Construction Mathematics in Finance

A key challenge in building an optimal portfolio is whether it will underperform out-of-sample. We will discuss procedures to improve out-of-sample performance.

02/08/2017

Institutional Investor

CIO Roundtable

U.S. Institute

Pitfalls and common mistakes made by investment firms entering the ML field.

11/30/2016

Aronson, Z.

A Solution to the Research Crisis Stevens Institute of Technology

A Heath Lecture at Stevens, on the research crisis and one possible solution.

11/17/2016

CFA Institute

Equity Research & Valuation 2016 CFA Institute Conference

Why most discoveries in financial research are wrong, and what can we do about it.

11/10/2016

Society of Quantitative Analysts

Advances in Portfolio Construction SQA

Recent breakthroughs in a post-Markowitz finance.

10/27/2016

Cubist Systematic Strategies

Hierarchical Risk Parity Cubist Systematic Strategies

An example of ML-based portfolio construction.

10/11/2016

Kolm, P.

Mathematics and Economics: A Reality Check New York University

A presentation at Courant, on modern mathematics applied to Finance.

10/06/2016

Terrapinn

The Trading Show 2016 Terrapin

My presentation will describe Quantum Computing applications to Finance.

09/27/2016

D-Wave

Quantum Computing meeting Los Alamos National Laboratory

A gathering of players in the Quantum Computing space, including: NASA, Google, LANL, IBM and others.

08/13/2016

Meucci, A. ARPM Bootcamp NYU A presentation on Machine Learning applications with Python.

08/03/2016

Evercore ISI Annual Quant Conference Evercore ISI Mathematical techniques to deliver out-of-sample performance.

07/13/2016

Risk Magazine Quant Summit USA 2016 Risk Magazine I will discuss Machine Learning applications to portfolio mangement.

06/07/2016

CNBC

Exponential Finance 2016 Singularity U.

In New York, I will present our results on quantum computing applications to Finance. Past speakers include Blythe Masters, Ray Kurzweil, Daniel Nadler and Bob Pisani.

05/09/2016

ICBI

Quantum Computing in Finance Global Derivatives Trading & Risk Management 2016

In Budapest, I will discuss applications of quantum computing algorithms to financial problems. Other speakers include Damiano Brigo, Peter Carr, Rama Cont, Emanuel Derman, Darrell Duffie, Bruno Dupire, Jim Gatheral, Paul Glasserman, John Hull, Alex Lipton, Dilip Madan, Fabio Mercurio, and Riccardo Rebonato.

04/25/2016

Bloomberg

Building Portfolios that Outperform Out-Of-Sample

Bloomberg HQ

A machine learning application to portfolio construction.

04/09/2016

Quantopian

Quant Conference 2016

Quantopian

Other speakers include Emanuel Derman, Michael Kearns and Wes McKinney.

04/01/2016

Columbia University & Bloomberg

Hierarchical Risk Parity: A machine learning application

Columbia University

I will discuss a method to build diversified portfolios that outperform quadratic optimizers out-of-sample.

03/29/2016

Kolm, P.

Quant Seminar at Courant Institute of Mathematical Sciences

New York University

This talk will discuss how to build portfolios that outperform out-of-sample.

02/24/2016

Institutional Investor

CIO Roundtable

U.S. Institute

My talk will discuss the current role of Big Data, Machine Learning and HPC technologies in investment management.

02/09/2016

Princeton University

Quantitative Asset Management

Princeton University

I will talk about Financial Big Data & Machine Learning at this graduate course.

11/23/2015

Bloomberg

Quantum Computing in Finance

Bloomberg HQ

A talk on quantum computing applications to Finance.

10/10/2015

Cornell University

Optimal Execution Cornell University Ph.D. seminar on execution strategies.

10/07/2015

Terrapinn

Financial Quantum Computing

The Trading Show 2015

I will discuss advances in quantum computing applications to Finance.

07/15/2015

Incisive Media

Quant Congress USA 2015

Risk Magazine

I will give the plenary address.

05/18/2015 ICBI Correcting for Backtest Overfitting & Selection Bias Global Derivatives Trading & Risk Management 2015 In Amsterdam, I will discuss recent advances on Strategy Selection. Other speakers include: Riccardo Rebonato (PIMCO), Attilio Meucci (KKR), Buzz Gregory (Goldman Sachs), John Hull (U. Toronto), Darrell Duffie (Stanford), Emanuel Derman (Columbia), Paul Glasserman (Columbia), Jim Gatheral (Baruch), Rama Cont (Imperial College).
05/14/2015

Battle of the Quants

Quantitative Meta-Strategies

Battle of the Quants, NYC

I will discuss advances in quantitative approaches to manage investment strategies.

05/12/2015 Nomura Global Quantitative Investment Strategies Conference Nomura I'll be discussing recent advances in Quantitative Meta-Strategies. Other speakers include: Andrew Ang (U. Columbia), Mark Carhart (Kepos), Ross Garon (Cubist Systematic Strategies), Brett Hammond (MSCI), Scott Williamson (BlackRock), etc.
05/01/2015 Geczy, C. Lucky Factors Jacobs Levy Center Forum Paper discussant with Prof. Campbell Harvey (Duke University). Other participants include Rob Stambaugh (Wharton), Bryan Kelly (Chicago), Cliff Asness (AQR), Bob Litterman (Kepos), Ron Kahn (BlackRock), Mark Carhart (Kepos), etc.

10/21/2014

Kolm, Petter

Mathematics in Finance

Courant Institute of Mathematical Sciences, NYU

I will discuss selection bias, or why most published investment strategies are likely to be wrong.

09/30/2014

Berkeley Lab

Quant Conference at U.C. Berkeley

U.C. Berkeley

I will give a talk on recent advances in financial Big Data, Machine Learning and High-Performance Computing.

09/30/2014

Industrial Engineering & Operations Research

Why Most Published Investment Strategies Are Likely To Be False Positives

U.C. Berkeley

I will discuss how Selection Bias may have compromised many Financial studies published in the academic literature, and what can be done to overcome this crisis.

09/03/2014

Cornell Financial Engineering Manhattan

What to look for in a backtest

CFEM

The majority of backtests marketed to investors or published in academic journals do not report the number of trials carried out in order to achieved a particular result. We will discuss the implications for Out-Of-Sample performance.

07/23/2014

International Association for Quantitative Finance

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

New York University

I will present our new research on how to deflate the Sharpe ratio for various inflationary effects, including backtest overfitting. It is based on this new paper, forthcoming in the Journal of Portfolio Management.

07/16/2014

Incisive Media

Quant Congress USA 2014

Risk Magazine

I will give the plenary address.

06/20/2014

RiskMathics

Risk Management & Trading Conference

RiskMathics

I will speak about Smart Execution Algorithms. Other speakers include John Hull, Emanuel Derman, Marco Avellaneda, Paul Wilmott and Nick Leeson.

06/18/2014

Carr, P.

Morgan Stanley Quant seminar

Morgan Stanley

I will discuss recent papers.

06/02/2014

International Association for Quantitative Finance

2014 Annual Conference

IAQF

I will take part in the panel on High Frequency Trading, with Bob Litzenberger and Larry Tabb.

04/29/2014

Bloomberg University

The effects of Backtest-Overfitting on Out-Of-Sample performance

Bloomberg Quant Seminar

At Bloomberg University, NYC, I will discuss some of the reasons why systematic funds fail.

04/24/2014

Columbia University

Optimal Execution Horizon

Mathematics of Finance Program

At Columbia, I'll discuss the Optimal Execution Horizon (OEH) model.

04/12/2014

Princeton University

The Probability of Backtest Overfitting

Princeton Quant Trading Conference

At Princeton, I'll discuss the Probability of Backtest Overfitting (PBO).

04/03/2014

Risk Magazine / Incisive Media

Algorithmic Trading, Execution and Market Making

Risk's Algorithmic Conference

In London, I will discuss techniques to conceal trading intentions and prevent adverse selection.

03/26/2014

Battle of the Quants

Investing in Backtesting: How to Spot Overfitting

Battle of the Quants, NYC

David H. Bailey and I will discuss the consequences that Backtest Overfitting has on Out-Of-Sample performance, in absence and in presence of memory effects. It is based on our paper, forthcoming in the Notices of the American Mathematical Society.

01/13/2014

International Association for Quantitative Finance (IAQF) / Thalesians

Pseudo-Mathematics and Financial Charlatanism

New York University

In this talk, I will discuss some of the reasons why quantitative investments often do not perform as advertised, and ways experienced investors are misled by charlatans. It is based on a recent paper co-authored with Jon M. Borwein, David H. Bailey and Jim Zhu.

12/03/2013

High Frequency Trading World

Quant Invest 2013

Terrapinn

In NYC, Marcos will explain how to estimate the time that a strategy or trader may remain under water, and the implications for hedge fund managers.

11/21/2013

High Frequency Trading World

Interview by Total Trading

Terrapinn

A recent interview.

11/19/2013

ICBI

Portfolio Optimisation & Quantitative Investment Summit

ICBI

The event will take place in Chicago. I will discuss robust portfolio optimization with higher moments. Other speakers include John Jull, Bruno Dupire, Emanuel Derman, Paul Glasserman, Dilip Madan, Lisa Goldberg, George Constantinides, Mike Giles, etc.

11/13/2013

RiskMathics

International Algorithmic and High Frequency Trading Summit

RiskMathics

I will speak about Smart Execution Algorithms. Other speakers include John Hull, Emanuel Derman, Marco Avellaneda, Nassim Taleb and Nick Leeson.

10/23/2013

Risk Magazine

Risk USA 2013

Incisive Media

At the 20th edition of the Risk USA Conference, I will present new developments in drawdown risk management.

10/22/2013

Risk Magazine

Risk USA 2013

Incisive Media

I'll be chairing the conference's stream on Risk Management. Speakers include Vineer Bhansali (Managing Director, PIMCO), Jayesh Bhansali (Managing Director, Head of Global Derivatives and Quantitative Portfolio Management, TIAA-CREF), Fred Gjerstad (Senior Vice President & Head of Investment Risk, STATE STREET), Benjamin Bowler (Global Head of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH) and Maureen O'Hara (Professor of Finance, CORNELL UNIVERSITY and Chairman of the Board, ITG).

10/11/2013

JPMorgan Equity Trading

How long does it take to recover from a drawdown?

JPMorgan

We will explain how to model the probability that a hedge fund or portfolio manager recovers from a drawdown, and how long it will take.

10/10/2013

Cont, R.

Backtesting the performance of trading strategies: pitfalls and solutions

Imperial College London

We prove that high performance is easily achievable after backtesting a relatively small number of alternative strategy configurations, a practice we denote “backtest overfitting”. Because financial analysts rarely report the number of configurations tried for a given backtest, investors cannot evaluate the degree of overfitting in most investment proposals.

10/10/2013

PIMCO

Execution of large blocks

PIMCO

In London, I will discuss new developments in the High-Frequency Trading space.

09/24/2013

Kolm, P.

Mathematics in Finance

Courant Institute of Mathematical Sciences

At the Courant Institute (NYU), Marcos will discuss his research on portfolio optimization with higher moments.

09/12/2013

Stoikov, S.

The Triple Penance Rule

Cornell University

At Cornell Financial Engineering Manhattan (CFEM), I will discuss the "Triple Penance Rule" and how it affects hedge funds' hiring and firing practices of portfolio managers.

08/27/2013

Quantitative Work Alliance

How long does it take to recover from a Drawdown?

QWAFAFEW

In NYC, I will discuss the "Triple Penance Rule", and a new procedure to set up the stop-out limits of investment strategies.

07/18/2013

Risk Magazine

Quant Congress USA 2013

Incisive Media

In NYC, Marcos will present a paper recently published by the Journal of Investment Strategies. The title of the presentation is "Managing Risks in a Risk-On/Risk-Off Environment". Other speakers include Emanuel Derman, Riccardo Rebonato, Dilip Madan, Peter Carr, Damiano Brigo, etc.

07/11/2013

SAC Capital

Scientific Horizon's Seminar

SAC Capital

I will discuss advances in quantitative performance evaluation and capital allocation.

06/24/2013

High Frequency Trading World

Quant Invest 2013

Terrapinn

In Chicago, Marcos will give a presentation with the title "The Sharp Razor: Deflating the Sharpe ratio by asking for a Minimum Track Record Length". Other speakers include C.F.T.C. Commissioner Bart Chilton, Singapore Exchange CIO Bob Caisley, David Leinweber, etc.

06/13/2013

RiskMathics

High Frequency Trading Workshop

RiskMathics

I will discuss recent advances in Big Data, Machine Learning and High Frequency Trading. Other speakers include John C. Hull, Marco Avellaneda and World Chess Champion Garry Kasparov.

05/28/2013

Quantitative Work Alliance

The Sharpe Ratio Efficient Frontier

QWAFAFEW

In NYC, Marcos will present the paper of the same title, which appeared last Winter in the Journal of Risk.

05/03/2013

Financial and Risk Engineering Department

Big Data Finance

New York University

The workshop “Big Data Finance” will assess the importance of Big Data in Finance today and in the near future, and will consider the impact of big data on financial engineering, financial analysis, management and regulation. Other speakers include CFTC Commissioner Scott O'Malia, Robert Almgren and Petter Kolm.

04/23/2013

Kolm, P.

Mathematics in Finance

Courant Institute of Mathematical Sciences

At the Courant Institute (NYU), Marcos will discuss his research on "Drawdown-based Stop-Outs and the 'Triple Penance' Rule".

03/20/2013

International Association of Financial Engineers (IAFE) / Thalesians

Concealing the trading footprint by determining the Optimal Execution Horizon

New York University

A presentation on our recent paper "Optimal Execution Horizon" (with Maureen O'Hara and David Easley), forthcoming in Mathematical Finance.

03/14/2013

Standard & Poor's Capital IQ

Low-Latency and the Dynamics of Real-Time Decision-Making

Standard & Poor's

A presentation at the annual S&P investors' event, in NYC.

03/06/2013

NYC QPUG

The CLA Python class for Portfolio Optimization

Enthought

At NYC's Cornell Club, Marcos will present his recent paper "An Open-Source Implementation of the Critical Line Algorithm for Portfolio Optimization".

02/22/2013

Global SIP 2013

Symposium on Signal and Information Processing in Finance and Economics

IEEE

Technical Committee for the IEEE GlobalSIP-2013 Symposium on Signal and Information Processing in Finance and Economics.

01/30/2013

Trader Forum

The Volume Clock: Insights into the High Frequency Paradigm

Institutional Investors

In NYC, I will speak at the Trader Forum organized by Institutional Investor's Conferences Division. The topic of the presentation will be the paper of the same title, which appeared last Fall in the Journal of Portfolio Management.

11/16/2012

Deutsche Bank Quantitative Strategies

2012 Global Quantitative Strategy Conference

Deutsche Bank

Marcos will present the paper "Markowitz meets Darwin: Portfolio Oversight and Evolutionary Divergence".

11/14/2012

RiskMathics

International Algorithmic and High Frequency Trading Summit

RiskMathics

I will speak about Smart Execution Algorithms. Other speakers include John Hull, Marco Avellaneda and David Leinweber.

11/12/2012

Risk Magazine

Risk USA 2012

Incisive Media

Marcos will coordinate the workshop: "Advances in execution and liquidity discovery".

11/09/2012

Center for Financial Engineering

19th Annual Workshop on Financial Engineering: Quantitative Asset Allocation

Columbia University

My talk will address the need for deflating Sharpe ratios by asking for the proper track record length.

10/12/2012

JPMorgan Equity Trading

Equity Quantitative Conference 2012

JPMorgan

Marcos will talk about the choices available to low frequency traders in high frequency markets, in London.

09/28/2012

Mathematics Department

Lecture at Rutgers' Mathematical Finance Program

Rutgers University

I will discuss Optimal Execution Strategies.

08/16/2012

SYMMYS

Event at the "Advanced Risk and Portfolio Management" program

New York University

Attilio Meucci invited Maureen O'Hara and me to give a talk and participate at SYMMYS' Annual Charity event.

07/12/2012

Risk Magazine

Quant Congress USA 2012

Incisive Media

I will coordinate the High Frequency stream at the Quant Congress USA, and give the evening plenary address.

06/01/2012

IAFE

Low Frequency Traders in High Frequency Markets: A Survival Guide

International Association of Financial Engineers

Marcos will speak at the 20th Annual Conference. Robert Engle will receive the 2011 IAFE/SunGard Financial Engineer of the Year Award.

09/14/2011

Eurex

Eurex Quant Seminars

Eurex

In NYC, I'll discuss why the May 6 2010 Flash Crash was a liquidty crisis, and what exchanges can do to minimize the impact of similar episodes in the future.

07/12/2011

Risk Magazine

Quant Congress USA 2011

Incisive Media

Marcos will discuss the measuring of flow toxicity in the high frequency domain.