Chicago Quantitative Alliance

About Us

October 2023


October Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

     We had a very successful Chicago meeting in September at the Gleacher Center. Thanks to all of the speakers for the excellent presentations and congratulations to the 3 finalists in the Academic Competition. Nikolas Vasilas took first prize in a very close vote with his paper on Power Sorting. The dinner was held at Lucky Strike and we had a special treat with the surprise visit from comedian Vik Pandya. Attendance was excellent and we tried out a new format with round tables on the 5th floor space at Gleacher. The jury is still out on the selection of a location for next year, so stay tuned. The Gleacher is not available for our usual dates, so we'll have to decide whether to move or change the date. 
     We'll be co-sponsoring another virtual event with the SQA next week. See below for details on registering. You must be registered to receive the call-in information.
     The ASSA meetings will be in San Antonio this year and CQA will be sponsoring a reception on Friday evening. See below for more details.
     It was great to see everyone in Chicago and I was honored (and surprised!) by a special presentation celebrating the 30 year anniversary of the founding of the CQA. Many thanks to Todd Doersch and Dave Coughenour and all of the folks who contributed to the impressive video. Our first meeting was held on September 15, 1993. It was a planning session for our first 2-day conference in September 1994. I'll be doing a "30 Years of CQA" presentation in Las Vegas that will celebrate our founding and history.

Dan Cardell
Dan Glickman introducing one of our featured speakers, Greg Zuckerman from the Walll Street Journal.
Celebrating 30 years of CQA!
The 5th floor at Gleacher was set up differently than our usual classroom style. 
Academic Competition Results
Congratulations Niko on an outstanding presentation!
First Place
Nikolas Vasilas

Lancaster University
Read: “Power Sorting”

Second Place
Mihail Velikov
Pennsylvania State University
Read: “Assaying Anomalies”
Third Place
Xiaofei Zhao
Georgetown University
Read: “Labor Market Networks, Fundamentals, and Stock Returns”
CQA - SQA Virtual Seminar
Join us for a fascinating discussion of a paper by Bryan Kelly (Yale, AQR, NBER) and Dacheng Xiu (University of Chicago) on predicting returns using state-of-the-art large language models in natural language processing.
Dacheng Xiu
"Expected Returns and Large Language Models"
October 17th
12:00 PM - 1:30 PM EST
Register Now!
Assaying Anomalies
Mihail finished a close second in the Academic Competition and he profiled a project that he would like everyone to check out. He would appreciate input from practitioners and other academics. Please take a look at it using this link, and feel free to pass it on to others. The more people who contribute to the project the better.
This project proposes a protocol and offers easily-accessible, easily-implementable tools for dissecting and understanding newly proposed cross-sectional equity return predictors. 

The project has three main components:

  1. A companion paper, Assaying Anomalies, that describes the protocol.
  2. A public github MATLAB repository with code that implements the protocol, and also includes a far broader set of tools for conducting research in empirical asset pricing. A preliminary beta version (v0.4.0) was released on 1/25/2023.
  3. A web application that allows users to test proposed new return predictors by simply uploading a .csv file. After applying the protocol, the system emails the user a self-contained report that describes the results (.pdf and underlying .tex files). While the web application is still under development, this page includes a form where users can upload their signal and, subject to availability of computing resources, the authors will run the code for the protocol manually and email the user the output.
This page also contains  step-by-step tutorials for using the main scripts in the code, information about the authors, examples of reports the protocol generates, and an FAQ page.
Recommended Reads
"The AI Revolution: From Linear Regression to ChatGPT and Beyond and How It All Connects to Finance"
The evolution of machine learning, AI's advantages over traditional methods with US equities market, and how AI identifies signals from data.
“Econometrics of Machine Learning Methods in Economic Forecasting”
Machine learning advancements in economic forecasting, including nowcasting, textual data analysis, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation, and economic loss-focused classification.
“Financial Machine Learning”
Upcoming CQA-SQA Seminar speaker Dacheng Xiu surveys machine learning in financial markets, presenting best examples and recommending future research directions for financial economists, statisticians, and machine learners.
“A Research-based Approach to Fixed Income Factor Portfolio Implementation”
These researchers examine the effectiveness of factor investing in fixed income, exploring motivations, multi-factor portfolio implementation with turnover and risk constraints, and offering a framework for return attribution and monitoring.
“You Have a Point – But a Point Is Not Enough: The Case for Distributional Forecasts of Earnings”
Machine learning used to estimate probability distributions for future earnings, revealing their accuracy compared to actual earnings, and their potential for predicting stock performance relative to consensus analyst forecasts during earnings announcements.
Local Chicago comedian Vik Pandya offered some levity to the meeting with a short set on Wednesday before the cocktail reception.

Check out his YouTube page here.
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
Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6, 2024
Copyright © 2022 CQA, All rights reserved.

Our mailing address is:

Want to change how you receive these emails?
You can update your preferences or unsubscribe from this list.


© 2023 Copyright CQA

Chicago Quantitative Alliance