Exposure

The 18th International Joint Conference on Computational and Financial Econometrics (CFE) and Computational and Methodological Statistics (CMStatistics), CFE-CMStatistics 2024, will be hosted by King’s College London, 14-16 December 2024.

The Annual Hedge Fund Research Conference is a two-day academic conference with sessions that did cover the latest research on asset management, and more particularly on institutional investors’ risks and performance; transparency (reporting) and due diligence; financial intermediation activity; hedge fund and broad macroeconomic issues such as systemic risk and contagion; institutional investors’ incentives and...

The 17th International Conference on Computational and Financial Econometrics (CFE 2023) will be be hosted by HTW Berlin, University of Applied Sciences (Wilhelminenhof campus), Berlin, Germany, 16-18 December 2023. The joint conference CFE-CMStatistics will have five Plenary Sessions. Moreover, CFE 2023 had four Special Invited Sessions, a significant number of Organized Invited Sessions on key topics, Contributed, and Poster Sessions that...

The 16th International Conference on Computational and Financial Econometrics (CFE 2022) will be hosted by King’s College London, 17-19 December 2022. The joint conference CFE-CMStatistics will have five Plenary Sessions. Moreover, CFE 2022 will have four Special Invited Sessions, a significant number of Organized Invited Sessions on key topics, Contributed, and Poster Sessions that will run in parallel during the three...

Dès l’après-midi du vendredi 11 mars, travaillez pendant 24h avec étudiants, jeunes diplômés, chercheurs et ingénieurs de l’Université Paris-Dauphine PSL, ENSAE, LFIS et SESAMm pour explorer les domaines de l’intelligence artificielle et du machine learning dans l’industrie de la gestion d’actifs. L’évènement est gratuit mais l’inscription avant le 25 février est obligatoire et se fait...

The joint conference CFE-CMStatistics will have five Plenary Sessions. Moreover, CFE 2021 will have five Special Invited Sessions, a significant number of Organized Invited Sessions on key topics, Contributed, Virtual and Poster Sessions that will run in parallel during the three days of the conference.

A portfolio manager’s two primary objectives are to: (i) achieve an optimal long-term allocation across strategies and / or assets, and (ii) appropriately rebalance the portfolio over time, i.e. in the short-term. This article considers the weaknesses of classical approaches to these challenges and proposes an innovative short-term allocation approach designed to achieve the portfolio’s long-term...

During this conference, we would like to raise some questions regarding the ability of the financial sector to bring real solutions to these complex challenges. Sustainable Finance, what are we talking about? Is/can Finance an adequate answer to these long-term issues? What are the impacts of Green Investments? Are we able to measure them? Is...

Dès l’après-midi du vendredi 5 fevrier, travaillez pendant 24h avec étudiants, jeunes diplômés, chercheurs et ingénieurs de l’Université; Paris-Dauphine, ENSAE, LFIS et SESAMm pour explorer les domaines de l’intelligence artificielle et du machine learning dans l’industrie de la gestion d’actifs. L’évènement est gratuit mais l’inscription avant le 20 janvier est obligatoire et se fait par...

The 2020 QMI annual conference will be an educational afternoon at the #Cloud Business Center, featuring leading quant researchers and practitioners to discuss and debate the fast changing world of quantitative investing.

Dès l’après-midi du vendredi 28 février, 64 étudiants ont travaillé; (en solo ou en équipe de max 4 personnes) pendant 24h avec étudiants, jeunes diplômés, chercheurs et ingénieurs de l’université Paris-Dauphine, ENSAE, LFIS et SESAMm pour explorer les domaines de l’intelligence artificielle et du machine learning dans l’industrie de la gestion d’actifs. Ils ont testé...

The Research Initiative QMI is a research project supported by Université Paris-Dauphine and structured around the following objectives: 1) Promoting quantitative research for asset management;2) Facilitating the transmission of know-how between academic researchers and asset managers; and3) Promoting a positive image of quantitative-based asset management through education; QMI invites applications for PhD professional thesis fellowships....

Dès l’après-midi du vendredi 25 janvier, 42 étudiants ont travaillé (en solo ou en équipe de max 4 personnes) pendant 24h avec étudiants, jeunes diplômés, chercheurs et ingénieurs de l’université Paris-Dauphine, ENSAE, LFIS et Addstones GFI pour explorer les domaines de l’intelligence artificielle et du machine learning dans l’industrie de la gestion d’actifs. Ils ont...

The Research Initiative QMI is a research project of Université Paris-Dauphine structured around the following objectives: Promoting quantitative research for asset management; Facilitating know-how transmission between academic researchers and asset managers; and Promoting a positive image of quantitative-based asset management throught education.

After the success of the London 2015 Workshop on “Risk Based and Factor Investing”, we are proud to announce this new event organized by the QMI and Imperial College London Business School with the support of Unigestion and UBS.

For some years now, the Big Data revolution is underway in the financial industry and is in everybody’s mind. For many, the question is no more whether to focus on Big Data but rather how not to miss innovations that promise to transform the financial markets quickly. This conference aims at understanding the implications of...

New Challenges for Big Data in Economics and Finance

The third QMI Annual Research Conference did explore and presente new findings on the following topics: Investment strategies, Liquidity and contagion, and more generally all subjects dealing with Portfolio and Risk Management. It took place in the Université Paris-Dauphine in Paris.

Systemic Risk At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes. This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with the support of...

Risk Based and Factor Investing At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes. This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with...

The second QuantValley/QMI Annual Research Conference explored and presented new findings on the following topics: Investment strategies, Predatory and toxic trading, Liquidity and contagion, Machine learning and more generally all subjects dealing with Portfolio and Risk Management. It took place in the Université Paris-Dauphine in Paris. This conference received the financial support of the “Financial...

Diversification & Risk At the heart of the asset management industry, diversification and risk management will be taken up by the presentation of four recent academic  papers on this theme and discussed during the panel session that will follow. This event is organized by the QMI/QuantValley Research Project and the International Center for Economics and...

Liquidity Risk & Tick Size The discussions about liquidity risk per se and/or the price impact of the tick size, show that the liquidity issue is at the heart of today’s preoccupations. The liquidity issue will be taken up by the presentation of four recent academic papers on this theme and discussed during the panel...

Risk-Based Portfolio Construction The objective of this event is to promote exchange of ideas on risk-based portfolio construction, a topic of increasing importance both in the asset management industry and in the academic literature. The event will start with an academic session where speakers will review the different methodologies from different angles. A panel will...

The first QuantValley/QMI Annual Research Conference explored and presented new findings on the following topics: Statistical Signal Processing, Market Liquidity, High Frequency Trading, Contagion and Systemic Risk, Risk Parity, and more generally all subjects dealing with Portfolio and Risk Management. It took place in the NYSE in New-York. The conference booklet is available at conference booklet.

The official launch of the research initiative was marked by the participation in the opening ceremony of the Parisian financial market: Ring the Bell Ceremony

Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds

A collaborative initiative to advance shared knowledge

Quantitative Management institutions can encounter difficulties in accessing up-to-date research and articles. One of the goals of the chair is to develop a tutorial program susceptible of encouraging management companies to regularly use and valorise research results.