Chicago Quantitative Alliance

About Us

March 2024


March Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

Please register as soon as possible for the Spring Conference. We have a great line up of speakers set for Las Vegas and the agenda was recently sent out to all members. We are required to get our final counts to the venues soon, so please help us out by registering as soon as you can. Although the CQA meetings are members-only events, we often allow guests to attend if there is space available. We will have some availability this year in Las Vegas if you have a colleague who would like to attend as a guest. The guest fee is $500. The guest registration policy can be found on our website.

We are planning on having the CQA/SQA Quant Trading Seminar in New York City in June, but we have not confirmed a date yet. We're looking forward to working with the SQA again on the event, and they are once again taking the lead in setting up the program. 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 2024 Conference
The Spring Conference will be held April 3-4 at the Wynn Hotel in Las Vegas, Nevada. You can book your room online here. To get our preferred rate of $369 per night, please book by March 15th.
Please note that the registration deadline for this event is March 22.
Register Now
Antti Petajisto
“Underperformance of Concentrated Stock Positions”
Dan Joldzic
Alexandria Technology
“Analyzing Earnings Calls with ChatGPT”
John Sileo
Sileo Group
“Savvy Cybersecurity in a World of Weaponized AI”     
Allison Bishop
Proof Trading
“Defining and Controlling Information Leakage in US Equity Trading”
Russ Wermers
University of Maryland
“Alpha in the 21st Century”
Nicole M. Boyson
Northeastern University
“Getting the Vote: Do School Bond Issuances and Outcomes Depend on Ballot Disclosures?”
Tom Philips
New York University
“Wine Valuation”

Marielle de Jong
Grenoble Ecole de Management
“Portfolio Optimization in an Uncertain World”
Joseph Simmons
University of Pennsylvania
“Academic Fraud”
Joey Muniz
“From Human to Machines: Cybersecurity Meets AI”
Xing Huang
Washington University
“Actual Retail Price of Equity Trades”  

Mihail Velikov
Penn State University
“The Expected Returns on Machine-Learning Strategies”
Download Agenda
Speaker Showcase
Professor Nicole Boyson is a prominent faculty member at Northeastern University's D'Amore-McKim School of Business, where she chairs the Finance Department. With over 15 years of experience, her expertise lies in Investments, Alternative Investments, and Fixed Income. Professor Boyson's research focuses on institutional investors and conflicts of interest among financial advisors, earning her recognition in elite finance journals and conferences. At the upcoming conference, she will present on the topic "Getting the Vote: Do School Bond Issuances and Outcomes Depend on Ballot Disclosures?"

Beyond academia, Professor Boyson actively bridges theory and practice as a co-editor for the Financial Analysts Journal and a board member of the Eastern Finance Association. With a background as a CPA and extensive industry experience, including roles at KPMG Peat Marwick and Ernst & Young, Professor Boyson brings practical insights to her teaching and research. Her media engagements, including appearances on Bloomberg television and NPR Marketplace, further showcase her expertise in the field.
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
Inquire Joint Spring Seminar
The Inquire-Europe and Inquire UK Joint Spring Seminar will be held March 24-26 in Southhampton, UK. Click here for the full list of presentations.

See key terms for CQA members planning to attend Inquire-Europe events.
CQA/SQA Trading Seminar
The Quant Trading Seminar will be held in New York City in June. The event is still in the planning stage and we hope to have a confirmation on the date and location soon. Keep an eye on the website for more information.

We are also working on the putting together the agenda. Please reach out to ChristosRudi, or John Wightkin if you have any ideas for potential speakers.
SQA Annual Full-Day Conference
This month, on March 25th, SQA will hold their Annual Full-Day Conference in New York CIty. This is a great opportunity to hear from the leading academics and practitioners in quantitative investing, factor investing and risk management. For registration details and the full speaker line up, click 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.
Mathematics of Intelligences
UCLA’s Institute for Pure & Applied Mathematics is offering a fourteen-week program titled "Mathematics of Intelligences." Running from September 9 to December 13, the program aims to bring together mathematicians and researchers from various fields to develop mathematical foundations for understanding natural and artificial intelligences. The program includes workshops on topics such as analyzing high-dimensional traces of intelligent behavior, deep learning theory and practice, naturalistic approaches to artificial intelligence, and modeling multi-scale collective intelligences.

For those who cannot attend in person, there is a remote/online participation option, plus many of the workshop talks will be recorded and made available to the public on the IPAM Videos webpage following the conclusion of the event. Applications are accepted until April 9.

More information and applications can be found here.
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
"T-Bills Without Tax Bills? This Fund Says It Cracked the Code"
This article highlights the innovative approach of the newly launched fund BOXX, which employs heartbeat trades to minimize taxes on interest income, a strategy typically utilized to avoid distributing realized capital gains. By utilizing a box spread strategy with options positions, BOXX synthetically earns interest while categorizing it as capital gains under tax regulations.
“When to Bet Against Beta? Ask Google”
Pedro Piccoli investigates the relationship between investor attention and returns from betting against beta, finding that higher levels of investor attention are associated with lower BAB returns. The study suggests that investor attention uniquely influences BAB performance, surpassing the impact of other well-known variables such as liquidity constraints, sentiment, lottery demand, or volatility.
“An Overview of Machine Learning for Asset Management”
This article provides a comprehensive overview of machine learning in asset management, highlighting its applications in portfolio management, factor analysis, sentiment analysis, recommendation, and customer segmentation. Emphasizing the transformative impact of machine learning on the industry, the article underscores its efficiency and necessity while acknowledging challenges in data quality, quantity, interpretability, and fairness during implementation.
“How a 27-year-old busted the myth of Bitcoin’s anonymity”
This story is part of a larger saga that unfolds in the new book "Tracers in the Dark: The Global Hunt for the Crime Lords of Cryptocurrency." It details how Sarah Meiklejohn debunked the notion of Bitcoin's complete anonymity by tracing transactions through the blockchain. Her groundbreaking discovery not only revealed cryptocurrency's surprising lack of privacy but also provided researchers, tech companies, and law enforcement with unprecedented transparency.
Socially Responsible Investing
Discover valuable insights into socially responsible investing. Watch Michael Greenstone's AEA lecture, "The Economics of the Global Energy Challenge," where he advocates for a broader approach to addressing the climate crisis. Greenstone defines the global energy crisis and offers solutions to energy market failures. "Corporate Climate Lobbying" analyzes corporate spending on anti-climate versus pro-climate lobbying, highlighting correlations with business models and future climate-related incidents. Next, "Performance Attribution for Portfolio Constraints," introduces a new framework for dissecting portfolio components under constraints, challenging traditional beliefs with evidence that constraints, including those from ESG portfolios, can enhance portfolio performance. Lastly, "Handbook of Sustainable Finance," compiles lecture notes covering topics like ESG scoring, financial performance of ESG investing, impact investing, and climate risk measures, offering a comprehensive guide to sustainable finance principles and practices.
Upcoming Events
Joint CQA-SQA Trading Seminar
co-hosted by Society of Quantitative Analysts

New York City - June 6 (tentative date)

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

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