Keynotes

Scholars

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A new method of getting to know the participants of the workshop, exchanging ideas and business cards.

Program

Day 1 : Thursday, 9th February 2012
10.00 -	Reinforcement Learning for High Frequency Trading
10.30 -	Multidimensional time-frame for index future
11.00 -	Coffee break
11.30 -	An Allocator’s Perspective on Blackbox Hedge Fund Strategies
12.00 -	Panel Discussion - Credit, Liquidity and Operational Risk: a general approach
12.30 -	Investing in Hedge Funds under Solvency II
13.00 -	Networking Lunch
14.00 -	Challenges and Opportunities of Managed Futures
14.30 -	How to Find a Black Swan in a Dark Night
15.00 -	Speed Networking
15.30 -	Explaining Commodity Dynamic Roll Indices, Algorithms and ETFs
16.00 -	Looking beyond VaR and Tracking Error
16.30 -	How to complete the price information in structured products
17.30 -	Closing remarks by chairman - End of first Day

Day 2 : Friday, 10th February 2012
10.00 -	Algorithmic Trading: Dynamics and Market Impact
10.30 -	The application of Independent Component Analysis
11.00 -	Coffee break
11.30 -	Margin lending for counterparty credit risk
12.00 -	Combining Quant and Traditional strategies
12.30 -	Market Spreads versus Fair Value Spreads in Fixed Income and Equity Markets
13.00 -	Networking Lunch
14.00 -	A Few of the Many Things That Drive Me Crazy About Mathematicians Working in Banks
14.30 -	Euro sovereign bond yields and the ECB Securities Market Program (SMP)
15.00 -	Sponsor Networking
15.30 -	Process Performance testing versus Traditional back testing
16.00 -	Strengths and weaknesses of statistical indicators
16.30 -	Geometric Mean Maximization
17.00 -	Closing remarks by chairman - End of conference