Chicago Quantitative Alliance

About Us

August 2023


August Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

We're all set for our September Chicago meeting and we have lined up another great agenda of speakers and topics. After many years at the Mid-America club, we're back at the University of Chicago Gleacher Center for a second year. Those of you who attended last year remember we were on the first floor of the conference venue. This year we have moved to a larger space on the fifth floor. Due to availability issues, we had to move the conference back one week from the usual date. You'll notice once again that the University of Chicago is well represented on our speaker list. We'll be covering a wide range of topics, including a special conversation with Greg Zuckerman, author of The Man Who Solved the Market: How Jim Simons Launched a Quant Revolution

The Tuesday night reception will be held from 7:00 until 9:00 pm at the reception center on the 4th floor of the Gleacher Center. The Wednesday evening dinner will be held at Lucky Strike, located at 322 E Illinois St, just a few blocks from the Gleacher Center.

You'll also note below the selections from of the Academic Review Session held in July. Once again, thanks to everyone who participated in the selection process. These three papers will be presented on Thursday afternoon at the Chicago conference. See below for more details and links to the papers.

Dan Cardell
CQA Fall 2023 Conference
Join us in Chicago September 20-21 for the CQA Fall 2023 Conference. The conference will be held on the 5th floor of the Gleacher Center in Downtown Chicago.
Register Now!
Fall Conference Speakers
Andriy Shkilko
Wilfrid Laurier University
“The Retail Execution Quality Landscape”
Joseph Mezrich
“Fuzzy Concepts as Useful Metrics: ESG, Sentiment, Quality, Etc”
Gregory Zuckerman
“The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution”
Laurence B. Siegel
University of Chicago
“Fewer, Richer, Greener: Prospects for Humanity in an Age of Abundance”
Kuntara Pukthuanthong
University of Missouri
“War Risk: Time Series and Cross-Sectional Evidence from the Stock and Bond Markets"

Ravi Koka
“AI in Portfolio Management"
Lubos Pastor
University of Chicago
“Green Tilts”
Niels Gormsen
University of Chicago
“Duration Driven Returns”
Dorian Abbot
University of Chicago
Iván Marinovic
Stanford University
“The Problems with DEI and ESG”
Download Agenda
Academic Competition
Nikolas Vasilas
Lancaster University
“Power Sorting”
Mihail Velikov
Pennsylvania State University
“Assaying Anomalies”
Xiaofei Zhao
Georgetown University
“Labor Market Networks, Fundamentals, and Stock Returns”
Speaker Showcase

Lubos Pastor is Charles P. McQuaid Professor of Finance at the University of Chicago Booth School of Business. At Chicago Booth, he also serves as co-director of the Fama-Miller Center for Research in Finance, director of the Center for Research in Security Prices (CRSP), and a member of the CRSP Indexes Advisory Council. Outside Chicago Booth, he is a member of the Bank Board of the National Bank of Slovakia, research associate at the National Bureau of Economic Research, and research fellow at the Centre for Economic Policy and Research. He has served as president of the Western Finance Association and director of the American Finance Association. He is an associate editor of the Journal of Financial Economics and a former associate editor of the Journal of Finance and the Review of Financial Studies.

Prof. Pastor’s research focuses mostly on financial markets and asset management. He has written on a broad range of topics, such as liquidity risk, political uncertainty, stock-price bubbles, stock volatility, return predictability, technological revolutions, income inequality, populism, sustainable investing, portfolio choice, performance evaluation, returns to scale in active management, indexing, learning, and IPOs. His articles have appeared in the American Economic Review, the Journal of Finance, the Journal of Financial Economics, the Journal of Monetary Economics, the Journal of Political EconomyReview of Financial Studies, and among others.

He has won numerous prizes for his research, including two Smith Breeden Prizes, three Fama/DFA Prizes, the Whitebox Advisors Selected Research Prize, the Goldman Sachs Asset Management Prize, the Barclays Global Investors Prize, the Rothschild Caesarea Center Best Paper Award, the Jacobs Levy Center Best Paper Prize, two Geewax, Terker & Co. Prizes, two Marshall Blume Prizes, the NASDAQ Award, the QMA Award, and the Q Group Award.

European Finance Association
The EFA meetings were held in Amsterdam last week and the CQA was well represented. As always, the EFA put on an excellent event and the weather was perfect. One of our featured speakers in Chicago, Lubos Pastor, will be hosting the 2024 EFA meetings in his native Slovakia. The conference will be held next August 21-24 in Bratislava.
Recommended Reads
"Reconciling Stock Selection and Factor Allocation"
This article aims prove that bottom-up factor-based selection and top-down mean-variance allocation are largely equivalent in building multifactor portfolios, offering an alternative methodology that combines both approaches.
"How AI is Transforming Investing"
Explore the lesser-known applications of AI in investing and the transformative role it plays in shaping the financial landscape.
"Can Evolutionary Biology Inform Investing?"
Larry Siegel discusses how principles of evolutionary biology can be applied to inform investment strategies and decision-making in financial markets.
"The economic potential of generative AI: The next productivity frontier"
Generative AI is poised to unleash the next wave of productivity. We take a first look at where business value could accrue and the potential impacts on the workforce.
"ChatGPT4 Can Translate Code Between Languages"
This video shows how ChatGPT can translate Matlab code into Python.
Upcoming Events
Inquire-Europe Autumn Seminar
Bergisch Gladbach, Germany - September 24-26
Joint Spring Seminar 2024
co-hosted by Inquire-Europe and Inquire UK
Southampton, United Kingdom - March 24-26
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