SCHEDULED EVENTS
DATE |
ORGANIZER |
TITLE/EVENT |
VENUE |
SUBJECT |
01/21/2023 |
MunichRe |
Towards Robust Portfolios | MunichRe |
Munich Re has launched the FIVE Robust Multi-Asset Index (VROBUST) applying the HRP methodology on a broadly diversified portfolio consisting of global equity indices, government bonds and commodities. |
05/15/2020 |
QuantMinds International |
Portfolio Construction in the Age of Machine Learning | Hamburg, Germany |
The objective of this course is to train quants in the application of machine learning techniques for portfolio construction. |
02/24/2020 |
Columbia Financial Engineering |
Portfolio Construction in the Age of Machine Learning | Columbia University |
Standard portfolio construction techniques fail to deliver the expected goals. In this seminar, we review the reasons for that failure, and how machine learning can help. |
01/09/2020 |
Master of Mathematical Finance |
Financial Machine Learning: Separating Fact from Fiction | Ontario, Canada |
Despite the hype that surrounds machine learning, we can identify 10 applications where machine learning delivers better results than classical statistical methods. |
12/06/2019 |
Financial Services Committee |
Robots on Wall Street: The Impact of AI on Capital Markets and Jobs in the Financial Services Industry | U.S. House of Representatives |
Prof. Lopez de Prado's testimony before U.S. Congress regarding the impact of AI on financial jobs. |
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 |
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. |
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 |
I will discuss advances in quantum computing applications
to Finance. |
||
07/15/2015 |
Incisive
Media |
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 |
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 |
Courant
Institute of Mathematical Sciences |
I will discuss selection bias, or why most published
investment strategies are likely to be wrong. |
|
09/30/2014 |
Berkeley
Lab |
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 |
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 |
|
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 |
Risk
Magazine |
I will give the plenary address. |
|
06/20/2014 |
RiskMathics |
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 |
|
Morgan Stanley Quant seminar |
Morgan Stanley |
I will discuss recent papers. |
06/02/2014 |
International Association for Quantitative Finance |
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 |
Mathematics
of Finance Program |
At Columbia, I'll discuss the Optimal Execution Horizon
(OEH) model. |
|
04/12/2014 |
Princeton
University |
Princeton Quant
Trading Conference |
At Princeton, I'll discuss the Probability of Backtest Overfitting (PBO). |
|
04/03/2014 |
Risk
Magazine / Incisive Media |
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, 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 |
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 |
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 |
A recent interview. |
||
11/19/2013 |
ICBI |
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 |
At the 20th edition of the Risk USA Conference, I will
present new developments in drawdown risk management. |
||
10/22/2013 |
Risk
Magazine |
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 |
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 |
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. |
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. |
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 |
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 |
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 |
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 |
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 |
In NYC, Marcos will present the paper of the same title,
which appeared last Winter in the Journal of Risk. |
||
05/03/2013 |
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. |
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 |
Standard
& Poor's |
A presentation at the annual S&P investors' event, in
NYC. |
|
03/06/2013 |
NYC QPUG |
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 |
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 |
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 |
Deutsche
Bank |
Marcos will present the paper "Markowitz meets
Darwin: Portfolio Oversight and Evolutionary Divergence". |
|
11/14/2012 |
RiskMathics |
RiskMathics |
I will speak about Smart Execution Algorithms. Other
speakers include John Hull, Marco Avellaneda and David Leinweber. |
|
11/12/2012 |
Risk
Magazine |
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 |
JPMorgan |
Marcos will talk about the choices available to low
frequency traders in high frequency markets, in London. |
|
09/28/2012 |
Mathematics
Department |
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 |
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 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 |
Incisive
Media |
Marcos will discuss the measuring of flow toxicity in the
high frequency domain. |