Dates for your Diary: HFT in London, Portfolios in NY, Global Derivatives in Barcelona and the end of space and time in Barcelona

(Last Updated On: February 13, 2012)

We’ve restarted our Diary Newsletter which you will find below. It’s a mix of academic seminars, conferences on risk and algotrading, tech meetings and starting next month the Random Walkers will be having regular informal drinks in the City.


Dominic Connor

Thalesian Seminar (San Francisco) — Prof. Lisa Goldberg — Contractual Tail Risk Hedging and Minimizing Shortfall

7:00 p.m. on Wednesday, 7th March, 2012.

5309-5310 GGU, 536 Mission St, San Francisco

Can Tail Risk Be Hedged?

Tail risk hedge is a catchall for strategies that are contractual (derivative-based), macroeconomic or statistical. It also applies to a wide range of structured products and funds that are available for purchase. We discuss the principles underlying contractual tail risk hedges and we provide an empirical assessment of the value they offer.

Lisa Goldberg is Executive Director of Applied Research at MSCI with oversight of the Asset Owner Client Segment. Her research interests include long horizon risk forecasting, liability driven investing, stress testing and simulation, statistical model evaluation, credit, and green investing.

More info here

HiFreq Trade Conference, Wednesday 29th February , London

150 algotraders, plus speakers & suppliers focusing on what is actually going on in HFT, I’ll be there.

Topics:Changing market structure for HFT; evaluating trading performance; Regulatory threats & opportunities for the HFT trader, latest tech, developments in colocation, data management and real time risk monitoring.

Speakers: Adam Toms, Co-Global Head of Electronic Trading, Nomura; Miles Kumaresan, Managing Partner of Curzon; Bart Lijnse, MD of Nyenburgh; Toby Bryans, Technologist of Schneider Trading, Tobias Preis, MD of Artemis; Brian Franzen, CTO, Eagle Seven Trading; Hendrik Klein, CEO of Da Vinci Invest; Michal Sanak, CTO of RSJ Algorithmic Trading Djordje Djokovic, High Frequency Trader, Liquid Capital; Peter Van Kleef, CEO, Lakeview Arbitrage

More info here
Global Derivatives Conference 17-19th April Barcelona

The big event of the quant calendar has come around again, I’ll of course be there and the speaker list this year includes : Peter Carr, Managing Director Morgan Stalnley, Lorenzo Bergomi, Head Of Quantitative Research, Global Markets, SocGen, Marco Avellaneda Courant, Artur Sepp, BOA/Merrill, Damiano Brigo Kiing College, Piotr Karasinski, Wim Schoutens,Michael Dempster Univ of Cambridge,Fabio Mercurio Bloomberg, Alex Lipton BAML, Vladimir Piterbarg Barcap, Bruno Dupire Head of Quant research Bloomberg Helyette Geman, DirectorCommodity Finance Centre, London University, Prof. Claudio Albanese KCL Peter Jaeckel, VTB Capital

More info here

Random Walkers

We are organising a meetup for quants, risk managers, traders, algos, quant/devs and anyone else who (mis) uses maths in finance. This is not a formal affair, we take over a room at the back of The Crosse Keys pub near Leadenhall market and discuss whatever is bugging us this week. Generally good fun, occasionally informative.

The next meeting will be on the 8th of March 2012.

More Info here

Consistent Valuations with Bilateral Counterparty Risk and Funding. Mats Kjaer (Barclays Capital)

Cass Business School, Wednesday  15th February 6:10 PM


Probabilistic index models

Royal Statistical Society, 12 Errol Street, London EC1Y 8LX


Panel Discussion of the Psychology and Practice of Financial Trading at Colombia

13th February 2012  6:00pm
Aaron Brown, Jared Dillian, Michael Martin; moderated by Tony Corso
417 International Affairs Building, Altschul Auditorium

Aaron Brown is always worth listening to, recommended.


Long Finance Spring Conference 2012

Into The Folly Of Value: Reforming Sustainable Finance


A Quadratic Gaussian Year-on-year inflation model, Manlio Trovato (Lloyds Bank)

Cass Business School, Wednesday  29th February 6:10 PM

15 February 2012 , 6:10


Recent Advances in Monte Carlo Methods

16 February 13:30 Royal Statistical Society, 12 Errol Street, London EC1Y 8LX


Gresham’s Law in Economics: Background to the Crisis

Thursday, 8 March 2012 – 6:00pm Barnard’s Inn Hall, City of London

Sir Thomas Gresham said that “bad money drives out good”. In Economics, bad theory has driven out good. This fact shaped the decisions of bankers and regulators and thus serves partly to explain the crisis that broke in 2007 and whose shadow extends to this day


20th March 2012

The End of Space and Time ?

You have a choice of either/or a lecture at Gresham College in the City of London or a dinner


Real Time Club Dinner – Tuesday, 20 March, drinks at 6 and dinner at 7  National Liberal Club, Whitehall Place, SW1A 2HE.

With the assistance of Cambridge’s Isaac Newton Institute, the RTC has arranged for one of Europe’s most prominent theoretical physicists, Professor Robbert Dijkgraaf of the University of Amsterdam, to speak about some of the stunning recent developments in theoretical and experimental physics — including Erik Verlinde’s entropy-based theory of gravity and evidence that neutrinos can move faster than light.  Although Verlinde’s theory suggests that space may be very different than we have imagined it, Prof. Dijkgraaf hopes to demonstrate that the space and time for new ideas in physics are far from over.

The RTC presents an opportunity to enjoy a fine dinner a good glass of wine, interesting company and the chance to upgrade your grasp of current developments in physics, it just doesn’t get any better than that and I shall be there.

You do not need to be a member of the club to attend this dinner.

Booking info: http://bit.ly/wTA6sK

‘How I Became a Quant’: A Panel Geared for Students

March 20, 5:30 Registration, 6:00 Program Begins, 7:30 Reception

Goldman Sachs,180 Maiden Lane ,New York City


After the Bell Trading Panel Discussion: Smart Strategies, Latest Technology & News Based Trading, London

Thursday, 22 March, 2012, 5:30 PM


What Predicts Mutual Fund Performance?

Yakov Amihud, NYU Stern

Thursday, February 16, 2012 (5:30 PM – 7:30 PM)



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