Chicago Quantitative Alliance

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March 2023


March Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

We have a great line up of speakers set for Las Vegas and the agenda went out to all members this week. Last year at the Spring meeting there was still a lot of concern regarding covid, but this year Las Vegas seems to be back to normal. In fact, I've been hearing that it is busier than ever, as the trend toward "revenge travel" continues. If you haven't booked your travel and hotel yet, I'd encourage you to do so as soon as possible.

We have confirmed the CQA/SQA Quant Trading Seminar will be held this year in New York City.  The date is June 8. We haven't had the event in the past few years, and it will be great to get it back on the schedule. We're looking forward to working with the SQA on the event, and they are taking the lead this year in setting the program. I am sure our members can think of a lot of topics that would make good additions to the agenda. Please reach out to the us if you have any ideas for potential speakers or if you have some research you think would be appropriate for a presentation.

Looking forward to seeing everyone in Vegas!
Dan Cardell
CQA Spring 2023 Conference
This year's Spring conference will be held April 12-13 at The Encore at Wynn Las Vegas. Be sure to register for this event by March 31.
Register Now!
Hotel reservation can be reached at 866-770-7555
Use Group Code: 6CQA0423
Speaker Showcase
Meir Statman is the Glenn Klimek Professor of Finance at Santa Clara University. His research focuses on behavioral finance. He attempts to understand how investors and managers make financial decisions and how these decisions are reflected in financial markets. His most recent book is “Behavioral Finance: The Second Generation,” published by the CFA Institute Research Foundation.

Meir’s research has been published in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, the Financial Analysts Journal, the Journal of Portfolio Management, and many other journals.

Dr. Statman is a recipient of a Batterymarch Fellowship, a William F. Sharpe Best Paper Award, a Bernstein Fabozzi/Jacobs Levy Outstanding Article Award, a Moskowitz Prize for best paper on socially responsible investing, a Matthew R. McArthur Industry Pioneer Award, three Baker IMCA Journal Awards, and three Graham and Dodd Awards. He was named as one of the 25 most influential people by Investment Advisor.

Sean Austin, CEO and Co-Founder at Helios Life Enterprises, will discuss the next phase of corporate communications analysis; voice tone. The world of Natural Language Processing (NLP) has fully matured and the new frontier is how that message is delivered through human bio-acoustics. Utilizing millisecond analysis on recordings like quarterly earnings calls, it is now possible to systematically extract tonal fingerprints of executive speakers. The implications from volatility forecasting to enhanced language models are just starting to be understood.
Academic Competition
The CQA Annual Academic Competition will be held at the fall conference in September. Please forward this information to anyone you think might be interested in submitting a paper.

Competitive papers are invited from all non-tenured faculty and students who wish to apply. Preference will be given to those papers which have direct applicability to investment management in one or more of the following areas: Security Valuation/Pricing, Factor Models, Strategic or Tactical Asset Allocation, Risk Budgeting, Optimizing the Allocation of Risk Capital, Multi-period Portfolio Problems, and Performance Attribution.

Only complete papers will be considered in this competition. In addition, the primary author must be either non-tenured faculty or a student. The top three submitted papers will be asked to present at the CQA in September. 

Cash awards of $3000, $2000, and $1,000 will be given to the first, second, and third place finishers in the competition. Criterion for awards will be based on both presentation quality and content of interest to practicing investment professionals. Travel expenses will be reimbursed and presenters are invited and encouraged to attend the entire two day conference.

Inquire-Europe Joint Spring Seminar
The Inquire-Europe and Inquire UK Joint Spring Seminar will be held March 26-28 in The Republic of Malta. Click here for registration information and the full list of papers being presented.

See key terms for CQA members planning to attend Inquire-Europe events.
Applied Finance with R
The fifteenth annual R/Finance conference for applied finance using R will be held May 19-20 in Chicago, IL, at the University of Illinois at Chicago. The conference brings together some of the best people and conversation in quantitative finance – covering R (or Python or Julia!), portfolio construction, statistics, quant ideas and more.

For more details click here.
CQA/SQA Trading Seminar
The Quant Trading Seminar will be held at the Blackrock offices in in New York City on Thursday, June 8th from 8:00 am until 1:00 pm. Usually we have the seminar in the afternoon, but we have moved it to the morning due to venue availability. Keep an eye on the website for more information.

We are currently putting together the agenda. Please reach out to Christos, Rudi, or John Wightkin if you have any ideas for potential speakers. 
Annual SQA Full-Day Conference
Earlier this month SQA held their annual meeting in New York. The conference was an opportunity for attendees to hear from leading academics and practitioners in quantitative investing. It also served as a memorial to honor former SQA president Kent Clark.

For a full list of papers presented at the conference click here.
Recommended Reads
"Who Killed Silicon Valley Bank?"
Apparently no one at the firm perceived any risk from the Fed raising interest rates.
"Citadel Negotiating Enterprise-Wide ChatGPT License, Griffin Says"
Citadel billionaire says the technology ‘has real impact’. Griffin’s hedge fund and market-making firms are surging.
Upcoming Events
CQA Fall 2023 Conference
Chicago - September 20-21
The conference will be held in the large conference center room on the 5th floor of the Gleacher Center in Downtown Chicago. Please note that due to space availability issues, the event is one week later than our usual September date.
Inquire-Europe Autumn Seminar
Bergisch Gladbach, Germany September 24-26
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