11.30 – PANEL DISCUSSION: Changing Landscape of Quantitative Investing
Moderator: Petter Kolm, Director of Mathematics in NYU Finance M.S. Program, Quant of the Year 2021
Andrew Chin, Head of Quantitative Research and Chief Data Scientist, Alliance Bernstein, Adjunct Professor, Cornell Financial Engineering Manhattan, Arik Ben Dor, Barclays, Head of Quantitative Equity Research, Jae Ho Kim, Head of Risk Research at Point72, Judith Gu, Head Equities Quantitative Strategist, Scotiabank
• Awarded `Quant of the Year’ in 2021 by Portfolio Management Research (PMR) and Journal of Portfolio Management (JPM) for his contributions to the field of quantitative portfolio theory.
• Accomplished and results-oriented academic and practitioner with a solid track record in the financial industry as professor (NYU Courant), lead researcher/principal investigator, expert witness and testimony, consultant, and advisory board member. Author of highly-regarded books in quantitative finance and numerous key research publications.
• Effective communicator of results and outcomes, verbally and in writing, to technical and non-technical audiences, peers, clients, board members and stakeholders. Employs active listening and mediation skills to identify key requirements and build consensus. Considerable experience teaching and giving presentations in corporate and academic settings.
• Extensive contact network in the financial and data science industries.
• Invited speaker, presenter and moderator at 15-20 conferences and events in industry and academia annually.
Director of NYU Courant’s Mathematics in Finance Master’s program.
Advisory Board Member of robo-advisory, asset management, and alternative data / data science companies.
Editorial board member of several academic and practitioner journals in quantitative finance, portfolio management and financial data science.
On the Board of Directors of International Association of Quantitative Finance and Yale Graduate School Alumni Association.
Alternative data, data science, econometrics, financial mathematics, forecasting models, high frequency trading, machine learning, optimization, portfolio optimization w/ transaction costs and taxes, quantitative and systematic trading, reinforcement learning, risk management, robo-advisory and investing, and lastly smart beta strategies, stochastic optimal control, transaction costs, and tax-aware investing.
Andrew Chin is Head of Quantitative Research and Chief Data Scientist for AB. He is responsible for optimizing the quantitative research infrastructure, tools and resources across the firm’s investing platforms. Chin also leads the firm’s data science strategy. To harness big data and leverage machine learning to improve decision-making across the organization. From 2009 to 2021, Chin was chief risk officer. Where, in addition to his quantitative research responsibilities, he led all aspects of risk management and built a global team. To identify, manage and mitigate the various risks across the organization.
Chin has held various quantitative research. Risk management. And portfolio management roles in New York and London since joining the firm in 1997. Before joining AB, Chin spent three years as a project manager and business analyst in Global Investment Management at Bankers Trust. Lastly, Chin holds a BA in math and computer science, and an MBA in finance from Cornell University.
Judith Gu, MS, MBA, CPA
Judith Gu, MS, MBA, CPA is a Managing Director and Head of Statistical and Systematic trading at Scotiabank US Equities business. She is responsible for alpha signals, risk management, furthermore, electronic market making for the growing US equities trading business at the Canadian bank. Prior to joining Scotiabank, Judith was a “strat” at Goldman Sachs. She worked at fundamental strategy group, equities market making desk as well as GSAM Quantitative Investment Solution ( “QIS” ) group. Judith earned her MS in Data Mining from University of Central Connecticut. In addition, her MBA in finance from New York University.
In addition, Judith has amazingly passed all 4 Certified Public Accounting exams!
Dr. Kim has a dual role at Point72.
First, he works on allocating risk and managing exposures across the firm on behalf of our founder and the LPs to maximize risk-adjusted return for the firm from the top-down.
Second, he provides quantitative insights and build tools for our independent investment teams to help them individually improve their risk-adjusted returns from the bottom-up.
Prior to Point72 Dr. Kim was a Vice President at Alliance Bernstein, there he:
• Created a market cycle indicator that shows whether a country is in a recession, recovery, bubble, or stable growth phase.
• Created a model that forecasts the probability that investment grade credit OAS and treasury rates move in the same direction. The forecast can determine the allocation between credit and treasuries when implementing a carry-neutral barbell strategy.
Created a global yield curve model that forecasts medium-to-long-term changes in interest rates across 43 countries.
In addition, Arik created various investment strategies integrating the aforementioned rates forecast model with the Barclays POINT risk model. Participated in monthly global rates & currencies portfolio construction meetings by recommending trades to discretionary portfolio managers based on the aforementioned yield curve model as well as ongoing ad-hoc analysis on the market. Moreover, created a European crisis indicator to gauge the direction of EUR and euro-zone corporate bonds during the European debt crisis. Lastly, created a model that forecasts changes in the spread between Canadian provincials and the Canadian central government.
Dr. Kim is a graduate of the Cooper Union with a joint bachelor’s and master’s in Electrical Engineering and has his Doctorate from Princeton University in Operations Research and Financial Engineering.
• Thesis: “Quantile Optimization in the Presence of Heavy-tailed Stochastic Processes, and an Application to the Electricity Market.”
• Main publication: “Optimal Energy Commitments with Storage and Intermittent Supply,” Operations Research, Vol. 59, No. 6. (2011)
Arik Ben Dor is a managing director and head of quantitative equity research at Barclays.
For nearly two decades, Arik oversaw large scale research projects in equities, rates, credit, and hedge funds used by the largest institutional investors globally, including central banks, sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. He has co-authored two books on quantitative investing in credit securities and over a dozen articles in leading industry journals such as the Journal of Portfolio Management, furthermore, Journal of Fixed Income, Journal of Investment Management, and Journal of Alternative Investments.
Arik is a member of the Journal of Portfolio Management Editorial Board. And one of his articles received the Martello award for the best practitioner paper in 2007. Moreover, in 2018, he became ranked 1st in the Institutional Investor All-America Fixed Income Research survey in the Quantitative Analysis category. Prior to Barclays, Arik worked at Lehman Brothers and Morgan Stanley. In addition, he holds a PhD in finance. From the Kellogg Business School at Northwestern University. And lastly, completed both his Bachelor of Arts and Master of Arts in economics, from Tel Aviv University, Cum Laude.