Chicago Quantitative Alliance

About Us

September 2023


September Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

     We're looking forward to seeing everyone this week in Chicago for our annual September conference. We're pleased to present another excellent line-up of speakers and topics. We'll be heading back to the Gleacher Center again, but this time we'll be in the larger room on the 5th floor. We're starting to get the attendee numbers back up into the range we were at pre-covid. The Tuesday night reception will also be held at the Gleacher Center. They have a very nice reception and bar area that overlooks the Chicago River. The reception will be held from 7:00 pm until 9:00 pm. The conference kicks off on Wednesday at 8:00 am with a continental breakfast and then our first speaker at 8:30 am. One thing to keep in mind is that the Wednesday night dinner location is a few blocks from the conference venue, so it may be a good idea to head straight from the Gleacher Center to the dinner instead of going back to the hotel, which is back in the other direction. Please plan to stick around for the academic competition on Thursday afternoon. The academic competitors appreciate it when we have a full room for their presentations. 
     We're planning another virtual presentation co-sponsored with the SQA in October. See below for details. 

Dan Cardell
Speaker Showcase
Gregory Zuckerman is a Special Writer at The Wall Street Journal. He is an investigative reporter who writes about various investing and business topics.

Greg is also the author of A Shot to Save the World: The Inside Story of the Life-or-Death Race for a COVID-19 Vaccine, The Man Who Solved the Market: How Jim Simons Launched a Quant Revolution, and The Frackers: The Outrageous Inside Story of the New Billionaire Wildcatters.

Greg is a three-time winner of the Gerald Loeb award, the highest honor in business journalism. He won the Loeb Award in 2015 for a series of stories revealing discord between Bill Gross, founder of bond powerhouse Pimco, and others at the firm, stories that led to his departure. In 2012, Greg broke news about huge, disastrous trades by the J.P. Morgan trader nicknamed the “London Whale,” trades that resulted in $6.2 billion losses for the bank.

Greg appears regularly on CNBC, Fox Business and other networks and he makes appearances on radio stations around the globe.

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”

 Dorian Abbot
University of Chicago
Iván Marinovic
Stanford University
“The Problems with DEI and ESG”
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”

 Philip Straehl
“No Direct Indexing Portfolio is an Island”
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”
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 17, 2023
12:00 PM - 1:30 PM EST
Register Now!
Dacheng Xiu’s research interests include developing statistical methodologies and applying them to financial data, while exploring their economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. His current work focuses on developing machine learning solutions to big-data problems in empirical asset pricing.

Xiu’s work has appeared in Econometrica, Journal of Political Economy, Journal of Finance, Review of Financial Studies, and  Journal of the American Statistical Association. He has served as Co-Editor for the Journal of Financial Econometrics, and has been on the editorial board as an Associate Editor for many journals, including the Review of Financial Studies, Journal of the American Statistical Association, and Journal of Econometrics. He has received several recognitions for his research, including Fellow of the Society for Financial Econometrics, Fellow of the Journal of Econometrics, and Best Conference Paper Prize from the European Finance Association. He has been recognized as one of Poets & Quants’ Best 40-under-40 Business School Professors.

Xiu earned his PhD and MA in applied mathematics from Princeton University, where he was also a student at the Bendheim Center for Finance. Prior to his graduate studies, he obtained a BS in mathematics from the University of Science and Technology of China.
Recommended Reads
“Oil-Indexation and Pricing Natural Gas"
CQA member Hilary Till discusses the historical trends and regional variations in pricing natural gas, with a focus on the challenges and criticisms of oil-indexation as a pricing mechanism.
"Stocks as a Hedge against Inflation: Does Corporate Profitability Keep Up with Inflation?"
This paper unveils the intriguing relationship between stock market performance, inflation, and corporate profitability over 151 years, shedding new light on investing strategies in various economic climates.
"Stagflationary Stock Returns and the Role of Market Power"
This paper delves into the relationship between inflation, market power, and stock returns, revealing how firms with substantial market power can defy the negative impact of inflation on stock prices.
"Betting Against Momentum"
This study, using real-world sports betting contracts, uncovers compelling evidence that supports behavioral theories of momentum by demonstrating a significant daily return differential between high and low momentum contracts.
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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