The Quant Conference 2018
Professor Stephen Roberts
Director of Oxford Man Institute
Stephen Roberts is the Royal Academy of Engineering / Man Group Professor of Machine Learning at the University of Oxford, Director of the Oxford-Man Institute of Quantitative Finance, founding-Director of the Oxford Centre for Doctoral Training in Autonomous Intelligent Machines and Systems (AIMS) and co-founder of the Oxford Machine Learning spin-out company, Mind Foundry. He is a Fellow of the Royal Academy of Engineering, the Royal Statistical Society and the Alan Turing Institute. Stephen’s interests lie in the theory and methodology of machine learning for large-scale problems, especially those in which noise and uncertainty abound. His current research projects focus on the application of machine learning in the physical sciences and finance.
Professor Michael A H Dempster
Professor Emeritus, Centre for Financial Research, Department of Pure Mathematics and Statistics at the University of Cambridge
Michael A H Dempster, Professor Emeritus and Founder, Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge.
Educated at Toronto, Carnegie Mellon and Oxford, Michael Dempster has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, California-Berkeley, Princeton, Toronto, Melbourne and Rome. He was the first Professor of Finance at the Cambridge Judge Business School and is currently founding Editor-in-Chief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions. Michael is founding Editor-in-Chief of the Oxford Handbooks in Finance and founding Co-Editor of the Chapman & Hall /CRC Mathematical Finance Series. He has been consultant to a number of global financial institutions and corporations and several governments and is regularly involved in research presentations and executive education in financial engineering and risk management around the world. Author of over 120 published research articles in leading international journals; his 17 books include Introduction to Optimization Methods (with P R Adby), Stochastic Programming, Large Scale Linear Programming (with G B Dantzig and M Kallio), Mathematical Models in Economics (with M O L Bacharach and J L Enos), Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pflug), Stochastic Optimization in Finance and Energy (with M Bertocchi and G Consigli), The Euro in Danger (with J S Chadha and D S Pickford), Commodities (with K Tang) and High Performance Computing in Finance (with J Kanniainen, J Keane and E Vynckier). His work has won several awards and he is a Fellow of the Institute of Mathematics and Its Applications, an Honorary Fellow of the UK Institute and Faculty of Actuaries, a Foreign Member of the Academia Nationale dei Lincei (Italian Academy and world's oldest scientific society) and Managing Director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.
Dr Ewan Kirk
Chief Investment Officer and founder of Cantab
Dr Ewan Kirk is Chief Investment Officer of Cantab. He co-founded Cantab Capital Partners in 2006, which became part of GAM Systematic in October 2016. His daily focus is research and development, risk management and managing the Cantab quantitative team. Prior to founding Cantab, Ewan Kirk ran the 120-strong Goldman Sachs Strategies Group in Europe, where he was responsible for all of Goldman Sachs’ quantitative technology. Ewan Kirk holds a PhD in Mathematics (General Relativity) from the University of Southampton, a Certificate in Advanced Study in Applied Mathematics from the University of Cambridge and achieved a First Class degree in Natural Philosophy and Astronomy at the University of Glasgow. He is based in Cambridge.
Global Head of Strategic Client Investments at Aberdeen Standard Investments
Andrew McCaffery is the Global Head of Strategic Client Investments for Aberdeen Standard Investments, and a member of the Investment Management Committee and Client Committee. Andrew is Chairman of the Aberdeen Pan Alternatives Investment Committee and a member of all investment committees within his division. Andrew joined Aberdeen in 2011 from BlueCrest Capital Management, where he was a founder member of the Alignment Investors division. Before joining BlueCrest in 2008, he was Head of Absolute Return Strategies at Aberdeen. Prior to that, Andrew was CEO of Attica Alternative Investments Limited in London, a fund of hedge funds business. Earlier, he had been a Managing Director at UBS overseeing global coverage of hedge fund investors, having been an architect of the investment bank's hedge fund business planning and also a member of its proprietary risk committee. Joining the industry in 1983, Andrew held senior roles in fixed income and capital markets prior to joining UBS.
Director of Risk at Aspect Capital
Christopher Reeve is Aspect Capital’s Director of Risk. In this role, he takes responsibility for all investment risks associated with Aspect’s portfolios, focusing on the review of all new research and strategies. He is a member of the Risk Management Committee, which provides oversight of the performance and risks of all strategies and approval for any change to any Aspect Investment Programme. He also coordinates the company’s product design processes, ensuring that Aspect’s investment strategy capabilities are assembled into coherent investment products which fit investor needs. This includes working closely with all of Aspect’s different research and portfolio management teams to customise products and mandates, as well as working with Aspect’s global client base to understand their requirements and ensure they have full transparency into Aspect’s strategies. Christopher has been a member of Aspect’s Senior Management Team (SMT) since 2015. The SMT is a group of Directors which supports the Executive Board in its management of the company and gives input into strategic business decisions. Christopher joined Aspect in January 2005 as a member of the Research Team, focusing on the risk reviews of new investment strategy research. He then became a member of what is now the Investment Solutions Team in 2006, Head of Investment Solutions in February 2014 and Director of Investment Solutions in May 2015. He was appointed to his current role in September 2018. Christopher holds a first class Masters degree in Chemistry from the University of Oxford. Christopher previously served in the British Army as a second lieutenant in the Welsh Guards, commanding an infantry platoon on training and ceremonial duties.
Managing Partner at Bride Valley Partners
Stuart MacDonald is Managing Partner at Bride Valley Partners, which bridges the gaps in corporate finance, investment advisory and capital raising for companies, funds and projects across a range of alternative investments and bankable technologies. "A consortium of hedge fund experts" according to the Financial Times, Bride Valley Partners' scope extends across Europe, the Middle East, Asia Pacific and North America. Stuart has raised billions, using an exceptional international network of relevant investor contacts. His industry awards include one for Best Investor Relations globally and two for Outstanding Industry Contribution. He is often invited to Chair and Moderate at top alternative investments conferences. Stuart produces and presents the award-winning alternative investments radio show, the Naked Short Club on London's Resonance (104.4 FM in London or www.resonancefm.com, worldwide). He was Visiting Lecturer in Political Economy at London University and serves as Trustee of several voluntary sector organisations.
Head of Systematic Strategies at Gresham Investment Management
J Scott Kerson is Senior Managing Director and Head of Systematic Strategies at Gresham Investment Management, LLC, where he is responsible for quantitative strategy research and development. Prior to joining Gresham, Scott was a partner at AHL Partners, LP, where he served as Head of Commodities and member of the AHL Research Advisory Board. Previously, Scott held a variety of commodity research and trading positions, including Commodities Model Owner in Barclays Global Investors' systematic macro group, discretionary trader and quant at Ospraie and Amaranth, and Managing Director at Deutsche Bank and Merrill Lynch. Scott received a BA in Economics with Highest Honours from the University of California at Santa Cruz, and departed ‘AbD’ with an MA in Financial Economics from Duke University.
Global Head of Quantitative Research at Société Générale
Andrew Lapthorne joined Société Générale in London in November 2007 and heads up the Quantitative Analysis team. Andrew spent 11 years at Dresdner Kleinwort, beginning as a quant analyst in 1996. Prior to moving to Société Générale, he was Global Head of Quantitative Research. The team has created and runs a variety of systematic quantitative strategies, the most popular being the Global and European Quality Income Strategies. His team were ranked #1 in the last Extel survey and he has also ranked as #1 individual analyst for the last nine years.
Chief Executive Officer of CCTrack Solutions
Mr. Robert Savage is the Chief Executive Officer of CCTrack Solutions. He is also the Chief Executive Officer, Editor-in-Chief and Head of Research of Track.com, an online platform for investment research and market ideas. He joined FX Concepts as COO and Chief Strategist when Track.com was acquired by FX Concepts in 2012.
Before founding Track.com, Mr. Savage was the Managing Director of FX Macro Sales at Goldman Sachs, where he published widely-read and insightful research focusing on the FX markets and the macroeconomic environment. Prior to his 23 years of experience with Goldman Sachs, Mr. Savage was the Head of New York Foreign Exchange Trading for Lehman Brothers and a Director of Proprietary Trading at Bank of America Securities.
Mr. Savage received a B.A. in Political Philosophy from Yale University.
Co-founder of Irithmics
Grant Fuller is co-founder of Fintech applying artificial intelligence to gain greater insight and analysis of hedge funds. Grant was previously part of the hedge fund risk practice of Ernst & Young in London, and prior to that he helped start and develop Bloomberg's successful hedge fund trading and analytics AIM platform, leading the firm's European and Asian business. Before joining Bloomberg, he was part of RiskMetrics where we was responsible for helping build the European asset management technologies and consulting capabilites. Grant Fuller holds a BSc in Chemistry from the University of St Andrews. He remained at St Andrews to undertake a PhD applying neural networks within carbohydrate chemistry, after which he joined academic research at Cambridge University.
CEO and CIO of Fasanara Capital
Francesco heads all portfolio management and research related activities at Fasanara. He also spearheads the identification and implementation of all relevant portfolio tail hedging strategies. Prior to co-founding Fasanara, Francesco was Managing Director and EMEA Head of the MidCaps & Principal Investors group at Bank of America Merrill Lynch, a top producing investment practice comprised of 15 professionals. In his role, Francesco directed Bank of America operations across Europe, Middle East and Africa with responsibilities on multi-strategy, multi-asset portfolio solutions. Prior to joining Merrill Lynch in 2000, Francesco was a research analyst at J.P. Morgan Securities where he published several research white papers covering areas such as derivatives modelling and fixed income/volatility strategies. Francesco is a graduate of Bocconi University in Milan and a scholar of Erasmus Universiteit Rotterdam.
Founder and CEO of Neudata
Rado Lipuš, CFA is the founder and CEO of Neudata, an alternative data intelligence provider. Prior to founding Neudata, Rado's professional experience spans 20 years of FinTech leadership, sales management and data innovation for the buy-side. He spent several years in quantitative portfolio construction and risk management at MSCI (Barra) and S&P Capital IQ and raised funds for CITE Investments. Rado worked latterly as Managing Director at PerTrac in London, a leading FinTech and data analytics solutions provider to Hedge Fund allocators and institutional investors in EMEA and Asia. His experience also includes financial data firms such as eVestment, 2iQ Research, I/B/E/S and TIM Group. An acknowledged expert, Rado is regularly invited to speak about alternative data at conferences and industry events. Rado received his Master of Business Administration from the University of Graz, Austria and is a CFA charter holder.
Director of GSR
Jakob is Director of Investments Solutions at GSR and is responsible for the firm’s investment management business. Prior to joining GSR, he was Head of EMEA business development at Two Sigma Investments and a board director of Two Sigma International. He has over 11 years experience of developing business and investment solutions in systematic investment management, including roles at Winton Capital Management and Barclays Global Investors (BGI). Jakob earned a BSc in Economics from Lund University where he also completed the MSc coursework in Economics (without dissertation). He also holds a Ships Officers Degree, Class VIII from Chalmers University of Technology.
General Manager of Virtual Research Center & Vice President, Portfolio Manager at WorldQuant
Nitish Maini is General Manager of Virtual Research Center & Vice President, Portfolio Manager at Old Greenwich, Connecticut, based–WorldQuant, LLC. He specializes in building the trading and business strategy for 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. Nitish has gained exposure to a variety of areas, including risk, consulting, business development, quantitative research and trading. He worked at McKinsey & Co. before joining WorldQuant in 2012.
Head of the Data and Innovation Group for Global Markets at Bank of America Merrill Lynch
Brice Rosenzweig is the Head of the Data and Innovation Group for Global Markets at Bank of America Merrill Lynch. Prior to that, he was the Global Co-Head of The Quantitative Strategies group. He holds a degree in applied statistics from Ecole Nationale de la Statistique et de l’Administration Economique and a Msc in Applied Mathematics in Economics from Universite Paris IX Dauphine. He joined Bank of America Merrill Lynch in London in 2011. Before joining the Bank, He worked at Goldman Sachs for 14 years in fixed income and equity strategies across New York, Tokyo and Hong Kong.
Chair of the Board of Morgan Stanley Investment Management
Terri Duhon is the Chair of the Board of Morgan Stanley Investment Management for the EMEA business. She is also on the board and Chair of Risk Committee for Morgan Stanley International, on the board and Chair of Risk Committee for Rathbone Brothers plc, an Associate Fellow at The Said Business School at Oxford University, on the MIT Corporation Visiting Committee and a motivational speaker for Speakers for Schools.
After graduating from MIT in Math, Terri started her career at JPMorgan and spent 10 years working as a derivative trader. In particular she was part of the team that developed the credit derivative market globally as documented in Fool’s Gold. Later she became an entrepreneur and started a consulting business where she lead expert witness teams in unwinding some of the more complex products from the credit crisis. She has been on the board of CHAPS Co, the board of Operation Smile and was a founding member of the Women’s Leadership Group for the Prince’s Trust. She is the author of How the Trading Floor Really Works.
Managing Director Global Operations at WorldQuant
Phil Weaver, Managing Director Global Operations at WorldQuant, is responsible for all trading and clearing capabilities across the firm. In this role Phil defines the strategy for WorldQuant's access to equity, futures and FX markets and the accompanying technology. Prior to his 10 year stint at WorldQuant, Phil spent a year with Bloomberg developing software for their Hedge Fund Trading System, after graduating from the University of York with a first in Computer Science.
Co-founder of SVK Crypto
Shane is a Co-Founder of SVK Crypto, London. Shane oversees the 'Cryptogon EOS' Fund which invests in the most promising and early stage blockchain technology projects utilising the EOSIO protocol. Shane is an experienced portfolio manager with more than 18 years investment and hedge fund management experience.
Shane was formerly a hedge fund manager and partner at BlueCrest Capital Management ($35bn AUM) and ran their global equity capital markets business focusing on IPO's for the European Equity Long/Short and Emerging Markets fund. Mr Kehoe is an FCA regulated person and holds an Investment Management Certificate (IMC). He is a graduate of Portobello University, Dublin, Ireland, in 1997 with a BA honors degree in International Business and Finance.
Head of Business Development at Cumberland
Lucas Friss is the Head of Business Development in London at Cumberland – a DRW Company, a global leader in cryptoassets. Lucas joined DRW in 2016 as a trader within a specialized fixed income group and was primarily focused on U.S. Treasury Bonds and derivatives products.
Lucas transitioned to the Cumberland team in 2017 to help support 24-hour trading operations, including trading, onboarding, and relationship management. Lucas recently relocated to London to take on an expanded role, continuing to support trading operations while working with the business development team to identify and attract new counterparties in Europe.
Lucas earned a BA in political science from the University of Chicago.
Vice President in the Quantitative Research eTrading group at J.P. Morgan
Vangelis Bacoyannis is a Vice President in the Quantitative Research eTrading group at J.P. Morgan in London. QR eTrading supports Electronic Client Solutions (ECS), J.P. Morgan’s agency trading business, by developing innovative algo trading products and models used by clients on the Equity Markets globally.
Vangelis leads the research on LOXM, the first Artificial Intelligence-powered algo trading product offered to clients by J.P. Morgan ECS, and Deep Execution Algos & Infrastructure, QR eTrading’s solution to design and train new A.I. eTrading algos and products using Deep Reinforcement Learning.
His career focusing on algo trading started in 2007. Over 6 years at BNP Paribas, he worked as a quantitative developer of algo trading systems, then as a Fixed Income quant researcher on flow internalization, systematic hedging and electronic market-making. He later spent 4 years at Lloyds Banking Group as Rates eTrading quant consultant before joining J.P Morgan in 2017. He earned in 2008 an Engineering degree from CentraleSupelec and a Quantitative Finance degree from University of London LSE.
Jon Mc Loone
Director of Technical Services, Communication and Strategy at Wolfram Research Europe
As Director of Technical Services, Communication and Strategy at Wolfram Research Europe, Jon Mc Loone is central to driving the company's technical business strategy and leading the consulting solutions team. Described as “The Computation Company”, the Wolfram group are world leaders in integrated technology for computation, data science and AI including machine learning. With over 25 years of experience working with Wolfram Technologies, Jon has helped in directing software development, system design, technical marketing, corporate policy, business strategies and much more. Jon gives regular keynote appearances and media interviews on topics such as the Future of AI, Enterprise Computation Strategies and Education Reform, across multiple fields including healthcare, fintech and data science. He holds a degree in mathematics from the University of Durham. Jon is also Co-founder and Director of Development for computerbasedmath.org, an organisation dedicated to a fundamental reform of maths education and the introduction of computational thinking. The movement is now a worldwide force in re-engineering the STEM curriculum with early projects in Estonia, Sweden and Africa.
Portfolio Manager at Trium Capital
Abhijeet Gaikwad is Portfolio Manager at Trium Capital, a boutique hedge fund firm with a particular interest in diversified Quant strategies, which deliver uncorrelated returns. Abhijeet has expertise in managing quantitative portfolios for investing in Equities and Global Macro markets, having worked with leading trading quant trading groups and hedge funds such as WorldQuant, Man AHL and Societe Generale.
Abhijeet regularly speaks in investment conferences on best practices in quantitative modelling, data analytics and firmly believes that big data and supercomputing technologies will play significant roles in the quantitative investment industry in coming years. He spent his academic career at INRIA Sophia Antipolis and Ecole Centrale Paris, where he engaged in cutting edge research to solve large scale computationally intensive financial and design optimisation problems, using Supercomputing technologies. Abhijeet completed his Masters degree in Computer Science from Vrije Universiteit, Amsterdam with thesis from Massachusetts Institute of Technology. He earned his Bachelor of Computer Engineering at Pune University, India.
Head of Crypto Trading at Flow Traders
Michael Lie is Head of Crypto Trading at Flow Traders, a leading global technology-enabled liquidity provider in financial markets, specialized in Exchange Traded Products. He has experience as an ETP trader since 2011, responsible for providing liquidity in the European Sector markets, prior to starting the Crypto Trading business at Flow Traders. He is now leading the Crypto Trading business, with a focus on developing and improving its exposure in the global crypto markets. He holds a degree in Business Mathematics and Informatics (MSc.) from Vrije Universiteit Amsterdam.
Dr. Michael Tiano
Director of Investment Research at FQS Capital Partners
Dr. Tiano is a senior member of the investment team and a member of the FQS Investment Committee. In addition to being responsible for the fund research and allocation process, Michael is also a member of FQS Research and Development team working directly with Dr. Frey on the development of proprietary models for trading and analysis. He brings over 15 years of experience in academic and industrial applied mathematics and engineering. Dr. Tiano received his PhD Applied Mathematics and Statistics from Stony Brook University under the guidance of Dr. Robert J. Frey. Prior to joining FQS he was an Associate Professor of Mathematics and Computer Science in the State University of New York system. He also worked as a Control Systems Engineer at Diversified Electrical Products, now a part of Schneider Electric.
Michael holds a BS in Mathematics and Computer Science from the University of Oregon, an MS in Applied Mathematics from CW Post University in New York., and a PhD in Applied Mathematics and Statistics from Stony Brook University.
Giuliano De Rossi
Head of European Quantitative Strategy Macquarie
Giuliano De Rossi heads the European Quantitative Strategy team at Macquarie based in London. He joined from PIMCO where he was an analyst in the Credit and Equity Analytics and Asset Allocation teams. Prior to this he worked for six years in the Quant research team at UBS. He has a PhD in economics from Cambridge University, and worked for three years as a college lecturer in economics at Cambridge before joining the finance industry on a full-time basis.
Giuliano’s Masters degree is from the LSE and his first degree is from Bocconi University in Milan. He has worked on a wide range of topics, including pairs trading, low volatility, the tracking error of global ETFs, cross asset strategies, downside risk and text mining. His academic research has been published in the Journal of Econometrics and the Journal of Empirical Finance.
Christian is a co-founder and senior data scientist at Hivemind, a data science spin-out from Winton Group. Hivemind creates systematic data workflows, co-ordinating automated processes with the power of human judgement and expertise. Hivemind specialises in generating structured data from unstructured information, producing datasets as diverse as the content of documents, group opinions, or the likelihood of future events.
Christian was educated at the University of Bristol, and holds a first-class honours degree and MSci in physics, for which he was awarded prizes for the best astrophysics research and the best physics research. He was also selected as one of the three best physics students in the UK at the Science, Engineering & Technology awards. For his thesis, Christian investigated signatures of galaxy cluster evolution.