Dates: July 13-18, 2015. Location: New York University – Kimmel Center.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPD units GARP)
The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Alex Lipton, Bob Litterman, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Supporters (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Supporters (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, MSCI, NAG,…); and several Masters in Financial Engineering (CQF, Washington, MIT, Carnegie Mellon, NYU, Cornell, …)
For program and overview, click here. To register, click here.
Advanced Risk and Portfolio Management (ARPM) Bootcamp, by Attilio Meucci – SYMMYS
The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at firstname.lastname@example.org.Selected featured articles:
- Fact, Fiction, and Value Investing, by C.S. Asness, A.Frazzini, R. Israel, T.J. Moskowitz, read article
- Backtest Overfitting Demonstration Tool: An Online Interface, by D.H. Bailey, J.M. Borwein, A. Salehipour, M. Lopez de Prado, Q.J. Zhu, read article
- Dynamic Portfolio Management with Views at Multiple Horizons, by A. Meucci, M. Nicolosi, read article
- Facts and Fantasies about Factor Investing, by Z. Cazalet, T. Roncalli, read article
III. Buy-side quant discussions on LinkedIn
View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:
– Machine Learning: Questions about the quality/(quantity) for Labels, Features, Samples and Accuracy
– Applying Machine Learning to FX and Futures HFT
– Filling in Missing Data when Data Points are Missing-At-Random
– CUSUM and Related Techniques
– Hedged Monte Carlo for Corporate Bonds on Incomplete Markets
Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.
June 16-18, 2015, Baruch College, New York
This three-day, heavily quantitative, leading edge workshop targeted to industry professionals offers a unique opportunity for participants to catch up with cutting edge developments in volatility modeling in both equity and interest rates markets.
Topics (selected): fitting SVI; VIX, VVIX, and volatility derivatives; Arbitrage-free SABR; Risk management with SABR; Rough Volatility