July Newsletter
Keep up to date on the latest CQA news.
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The CQA Academic Review Session was held on July 11th and I'd like to thank everyone who participated. I especially want to thank Rosy Macedo for an excellent job moderating the event again this year. Please see below for information on the winners of the selection process. All 3 papers will be presented at the September conference.
Registration is now open for our September event. Please use the link below to register. Chicago is always busy in September, so make sure to make your hotel reservations as soon as possible to avoid being shut out of the room block.
Dan Cardell
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Registration is now open! Join us in Chicago on September 11-12 for the CQA Fall 2024 Conference. This year’s event will be held at the InterContinental Hotel in downtown Chicago. Stay tuned for more details about the conference and the Tuesday night reception.
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The official hotel for the conference is the InterContinental Chicago, offering a special group rate of $349 per night. Rooms are limited, so we encourage you to reserve yours soon.
To make your reservation, please use this link or call 312-321-8895 and use the code KFR.
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Academic Competition Finalists
Click below to download papers.
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 Dr. Estelle Inack will be speaking at this year's Fall Conference, sharing insights from her groundbreaking work at the intersection of quantum computing and artificial intelligence. Dr. Inack is a pioneering researcher and entrepreneur in quantum computing and artificial intelligence. As a member of the Perimeter Institute Quantum Intelligence Lab (PIQuIL), she focuses on developing algorithms for real-world problems. Dr. Inack is also the co-founder and CTO of yiyaniQ, a quantum intelligence start-up providing solutions for advanced derivative pricing and portfolio optimization.
Originally from Cameroon, Dr. Inack was the first recipient of the Francis Allotey Fellowship at the Perimeter Institute, honoring the esteemed mathematician. With a diverse educational background, including an MSc from the University of Buea and a joint PhD in Statistical Physics from ICTP and SISSA, she has seamlessly integrated her academic expertise with industry applications.
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Department of the Treasury RFI
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The Department of the Treasury released a Request for Information (RFI) to seek comments on the “use, opportunities, and risk presented by developments and applications of artificial intelligence within the financial sector.” The agency is interested in gathering information from stakeholders in the financial services industry, as well as consumers, small businesses, academics, nonprofits, and others. The RFI also focuses on collecting information about "opportunities and risks of financial institutions’ use of AI and how AI may affect impacted entities.”
The RFI can be found here. Submissions are due by August 12th.
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“Revolutionizing Finance with LLMs: An Overview of Applications and Insights”
This paper examines the growing integration of Large Language Models in finance, highlighting their use in tasks such as automating reports, market forecasting, sentiment analysis, and providing personalized advice. The study demonstrates that LLMs effectively follow natural language prompts in various financial tasks, offering valuable insights and enhancing operational efficiency and decision-making in the financial sector.
Read
"More factors matter and factors matter more than you might think: The role of time variation in factor premia"
This study, which will be presented at next month's EFA Conference, challenges the notion that only four or five factor principal components (PCs) are sufficient to explain stock returns, demonstrating that out-of-sample Sharpe ratios improve significantly with up to forty PCs due to non-redundant, time-varying factors. These findings suggest that economic conditions and firm diversity significantly influence the number of relevant factors, highlighting substantial barriers to cross-factor arbitrage and the roles of economic complexity and investor learning in asset pricing.
Read
“Volatility Targeting Is Trendy: How Trend Following Explains Alpha in Volatility-Managed Strategies”
These researchers explore why volatility targeting strategies outperform buy-and-hold positions, attributing the outperformance to trend following due to a negative correlation between return direction and volatility, known as the “leverage effect.” It shows that this trend-based alpha is significant for equities but not for commodities, fixed income, or currency futures, and highlights the connection between volatility targeting and trend following research.
Read
“200 Years of Market Concentration”
This article from Global Financial Data discusses how market concentration has fluctuated over the past 200 years. It highlights significant historical shifts, including the dominance of railroads in the 19th century and the rise of tech giants in recent decades, illustrating how technological advancements and economic changes have influenced market concentration trends.
Read
The Future of AI
The essay series “Situational Awareness: The Decade Ahead” discusses the rapid advancements expected in artificial general intelligence (AGI) by 2027, highlighting economic and security challenges. It emphasizes the need for robust security measures and international cooperation to manage AGI risks. Additionally, it underscores the strategic importance of U.S. government involvement in AGI research to maintain global leadership. Similarly, in this video, Yann Lecrun discusses developing AI systems that can learn, remember, reason, and plan, highlighting the limitations of current technologies and the need for a new framework. Lecun also emphasizes the strategic necessity of addressing the complexities and risks of advanced AI to ensure beneficial outcomes for society.
“Additive Determination of an Investor’s Risk Tolerance in Asset Allocation”
A new study from CQA Member Dan diBartolomeo integrates traditional finance theory with behavioral finance to enhance asset allocation by constructing efficient portfolios using Modern Portfolio Theory (MPT) and assessing risk through a Risk Assessment Score (RAS). The RAS, derived from an additive questionnaire scoring system, facilitates the selection of an optimal portfolio aligned with an investor's risk tolerance, demonstrating flexibility across various investor types and market assumptions.
Read
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CQA Fall Conference
Chicago, IL - September 11-12
InterContinental Hotel
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Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6
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