Chicago Quantitative Alliance

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November 2023


November Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

The second CQA-SQA Virtual Seminar was held on October 17th and we had over 100 people who joined us for the presentation. Dacheng did an excellent job in presenting his work on Large Language Models. We are planning our next virtual seminar in May of 2024. Please let us know if you have any suggestions for speakers.

Beginning 16 years ago the CQA has sponsored a reception at the annual ASSA meetings. The ASSA is the largest conference of academics representing many organizations, including the the American Finance Association (AFA) and the American Economic Association (AEA). There are usually around 7,000 to 10,000 attendees from around the world. The last few years have been disrupted by COVID and we have not held our CQA reception since 2019, but this year we will be back at the event in San Antonio. See details and registration link below.

I've asked Board Member Alex Muniz to take over as Editor of the Recommended Reads section of this newsletter.  Alex has put together a small group and they have been very helpful in identifying relevant articles of interest to our members. If you'd like to join this group, or just recommend an article, please drop a note to Alex. The more people we have contributing to the section, the better. Please send the links to Alex and he will curate the section each month. Alex can be reached at
Each year we accept new applicants for membership in early December. Applications are due by November 30. If you know anyone who is interested in membership, please encourage them to apply before the deadline.
-Dan Cardell
CQA - SQA Seminar Recap
Dacheng Xiu gave an excellent presentation of his paper on "Expected Returns and Large Language Models" in October.

Many thanks to Dacheng for a very interactive and engaging presentation. The call had very good attendance with almost all attendees staying until the very end, which is a real testimony to the content and his presentation skill.

You can check out more research by Dacheng here.
New Member Applications
Membership applications are due by November 30, 2022 for 2023 Membership. Please send the following link to anyone you know who is interested in applying for CQA membership.
Membership FAQ:
We currently have a waitlist for membership, but prospective candidates should apply as soon as possible to secure their spot on the waitlist.
SQA - Northfield Half-Day Seminar
Advances in Portfolio Theory: A Celebration of the Life of Harry Markowitz
Alliance Bernstein, New York
November 21st
8:00 AM - 1:30 PM EST
Register Now
The Fall Half-Day Seminar will focus on portfolio construction and portfolio theory and will honor the life and work of the late Harry M. Markowitz. Join us for a discussion of papers on the cutting edge of portfolio theory, hear from Markowitz’ former colleagues, and celebrate the father of modern portfolio theory.
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
"James Simons - Mathematics, Common Sense, and Good Luck: My Life and Careers"
Don't expect to glean any market tips or trading secrets from James Simons, who steadfastly refuses to disclose the method behind his remarkable record in investing. Instead, listen to this mathematician, hedge fund manager and philanthropist sum up a remarkably varied and rich career, and offer some "guiding principles" distilled along the way.
"Artificial Intelligence: The Good, the Bad, and the Ugly - Yaser Abu-Mostafa"
In this lecture, Abu-Mostafa will explain the science of AI in plain language and explore how the scientific details illustrate the risks and benefits of AI. Between the extremes of "AI will kill us all" and "AI will solve all our problems," the science can help us identify what is realistic and what is speculative, and guide us in our planning, legislation, and investment in AI.
"Rockonomics: The Economics of Popular Music"
Marie Connolly and Alan B. Krueger's 2005 paper examines economic aspects of the rock and roll industry, emphasizing concert revenues as the primary income for performers. The analysis covers topics such as concert pricing trends, revenue concentration among performers, the secondary ticket market, performer ranking methods, copyright protection, and the influence of technological change.

Carolyn M. Sloane - Rockonomics
“Inspired by Dr. Alan Krueger's research on the economics of the music industry and book, Rockonomics, I created this course in 2021 at the University of California, Riverside. Starting in January 2024, a reimagined version of this course will be offered at the University of Chicago Harris School of Public Policy and will incorporate the study of public policy issues affecting creative sectors.”
More Information
"Asset-Pricing Factors with Economic Targets"
These researchers introduce a method to estimate latent asset-pricing factors by incorporating economically motivated targets for both cross-sectional and time-series properties. The study demonstrates that these targets enhance risk factors' ability to span the pricing kernel, resulting in significantly improved Sharpe ratios and reduced pricing errors compared to conventional approaches, using a large-scale set of assets. This paper will be presented at the upcoming ASSA conference.
"The ESG - Innovation Disconnect: Evidence from Green Patenting"
This paper explores the disconnect between Environmental, Social, and Governance (ESG) scores and green patent production, revealing a surprising trend where oil, gas, and energy-producing firms with lower ESG scores are significant innovators in the United States' green patent landscape. Despite being excluded from ESG funds, these firms contribute substantially to green innovation, particularly in foundational aspects like carbon capture, challenging conventional expectations in sustainable investing.
Upcoming Events
ASSA (AFA / AEA) 2024 Meeting
San Antonio, TX - January 5-7
More Information
The CQA reception will be on Friday evening at 6:00 PM

Joint Spring Seminar 2024
co-hosted by Inquire-Europe and Inquire UK
Southampton, United Kingdom - March 24-26
More InformationSee Key Terms

CQA Spring Conference
Las Vegas, NV - April 3-4

Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6, 2024
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