Chicago Quantitative Alliance

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April 2024


April Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

It was great to see everyone in Las Vegas at the Spring conference. We had an amazing line-up of speakers covering a very diverse array of topics. If you'd like to download the presentations, you can do so by clicking on the links in this email. Please note that these download links will only be available for the next 2 weeks.

We have confirmed the CQA-SQA Trading Seminar will be held at the Blackrock offices at Hudson Yards on June 10. Registration is now open. Stay tuned for details on speakers and topics.

Dan Cardell
Conference Recap
The CQA Texas Hold 'em Tournament was back this year! After a break for a few years due to COVID, we were able to bring back this popular event. Everyone had a great time and we'd like to congratulate our winner Anna Semakhin
Winner Anna with past champions Stas Timofeyev and Ed Keon
Congratulations to everyone who made it to the "Final Table". Quite an accomplishment!
If you weren't in Las Vegas, you missed a chance to see the "30 Years of CQA" presentation, which went back in history to the founding of CQA. Hard to believe it's been 30 years!
Spring Conference Presentations
Click below to download.
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.
See More Details Here
CQA / SQA Trading Seminar
The Quant Trading Seminar will be held in New York City on June 10 at the Blackrock offices at Hudson Yards.

We are currently working with the SQA on the putting together the agenda. Please reach out to ChristosRudi, or John Wightkin if you have any ideas for potential speakers.
SQA Portfolio Optimization Event
SQA is excited to announce an upcoming quant teach-in on Portfolio Optimization, to be held in-person at the AB offices in Midtown on May 20th or 22nd. This event welcomes all CQA members in NYC. Stay tuned for registration details and information on CQA member fees.

Featured Speakers
Robert Michaud
"In Defense of Portfolio Optimization"

Robert will speak about the motivation, merits and limitations of Portfolio Optimization, the merits of Robust Optimization, as well as practical applications and implementation issues with portfolio construction.
Jason McQueen
"Portfolio Selection Redux"
Jason will focus on the mathematics and the realit
y of Portfolio Efficiency, usual pitfalls and problems with Portfolio Optimization, methodologies to improve Portfolio Efficiency, as well as practical issues of relevance to active managers.
Call for Submissions
The Journal of Financial Markets
The Journal of Financial Markets invites paper submissions for a Special Issue on the theme of “Machine Learning, Generative AI, and Trading." Papers of interest are those that explore applications of such new technologies as Machine Learning and Generative AI for the way information is (or will be) processed and prices are (or will be) formed in financial markets. Both theoretical and empirical work is welcome. See more details here.
NYSE Microstructure Meets AI Conference
The NYSE is seeking academic papers covering either AI/ML’s Intersection with U.S. Equity Market Microstructure or classic U.S. Equity Market Microstructure. Discussants will be drawn from leaders in the financial industry. Further information, including how to register, instructions on how to submit a paper, and the list of program committee members can be found here.
Applied Finance with R
The sixteenth annual R/Finance conference for applied finance using R will be held May 17-18 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.
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
Change in Datasets
Mary Childs' article "Upstarts Challenge a Foundation of Modern Investing" delves into Fama and French's reaction to Pat Akey's "Noisy Factors," which scrutinizes alterations in their dataset, prompting widespread discussion among economists due to the lingering unanswered questions. "Change You Can Believe In? Hedge Fund Data Revisions" investigates the reliability of hedge fund data disclosures, revealing systematic revisions in historical returns that impact investor decision-making and underline the importance of accurate and transparent data. Lastly, "Rewriting History" examines alterations in the historical I/B/E/S analyst stock recommendations database, demonstrating nonrandom changes influenced by factors such as analyst reputation and recommendation boldness, with implications for trading signal classifications and back-tests of trading strategies.
Econometrics / AI
Two new studies demonstrate the value of utilizing AI models in processing complex financial information. "Dissecting Corporate Culture Using Generative AI" pioneers the application of generative AI models to unveil analysts' perceptions of corporate culture from analyst reports, shedding light on the influence of corporate culture on financial outcomes. Meanwhile, "The Usefulness of ChatGPT for Textual Analysis of Annual Reports" investigates the effectiveness of ChatGPT generated sentiment and complexity scores in analyzing UK annual reports for investors. It finds that both measures contain valuable information associated with price reactions to annual report announcements and future profitability levels and changes.
As a chaser to the Vegas cybersecurity presentation, these two papers shed light on the financial implications of cybersecurity risks for firms. "Cyber Risk and the Cross-section of Stock Returns" introduces a machine learning algorithm to quantify firms' cyber risk, demonstrating its ability to generate significant excess returns for stocks with high cyber risk and emphasizing the importance of cyber risk in pricing stock returns. Conversely, "The Cost of Cybersecurity Exposures: Evidence from a Direct Measure of Firm Network Vulnerabilities" presents a novel measure of cybersecurity exposures based on exploitable vulnerabilities in firms' networks, revealing that firms with high exposures underperform others by 0.42% per month, resulting in substantial losses.
Portfolio Management
“Valuing Data as an Asset” underscores the need to update traditional valuation tools to account for the changing dynamics of the data economy, particularly in entrepreneurship, corporate finance, and risk management. Meanwhile, the second paper, "A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies Through the Cycles," advocates for aligning portfolio allocation with predicted macroeconomic scenarios and leveraging advanced frameworks to enhance risk management and capture predictive signals from asset class and style factors.
“Non-Linear Factor Returns in the U.S. Equity Market”
This paper investigates non-linear relationships between five equity market factors (Value, Momentum, Small Size, Low Beta, and Profitability) and stock returns, utilizing data from 1964 to 2023. It finds that allowing for non-linearity in modeling these relationships can improve Information Ratios for certain factor portfolios and highlights the complexity of non-linear returns
Upcoming Events
Join CQA-SQA Trading Seminar
New York City - June 10
BlackRock Offices

CQA Fall Conference
Chicago, IL - September 11-12
InterContinental Hotel

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