London Quant Group
Monday 2012 January 30 starting at 6.30pm, to be held at the offices of BlackRock, 12 Throgmorton Avenue, London.
Jason MacQueen speaking on “The Structure of Equity Risk Models”.
Abstract:There are a number of different ways to build equity risk models, and some are demonstrably better than others. This talk will first review the three standard approaches and explain why some methods are better than others, and then describe a double hybrid approach that combines the best features of each approach.
Far too many users of risk models judge their performance by simply comparing an ex ante forecast of tracking error with an ex post result, not realising that this is comparing apples and oranges. The talk will therefore conclude by discussing three ways in which risk models can be (legitimately!) tested, and giving some examples.
Admission is free (new policy) but registration is mandatory, do that at http://www.lqg.org.uk/
Note that for non-members “register” is an ambiguous term: you need to “register” to have a login, and you need to go to the Events Calendar, click on the seminar and sign up to go.
A quant social in London
On 2012 February 13 some quants will be going to have a drink from
6.30 pm at the Barlew Mow:
http://maps.google.co.uk/maps/place?cid=8999979703109704637&gl=uk&cd=1&cad=src:ppiwlink&ei=sF8LT76rJY6TswbQ85HTCg&dtab=2
If you can — with a straight face — call yourself a financial quant, you qualify.
R/Finance
2012 May 11-12 in Chicago. Highly Recommended.
Deadline to submit abstracts is 2012 January 31.
See details at http://www.RinFinance.com
Previously announced
Introduction to R
2012 January 25 at Imperial College.
A one-day introduction to the free statistical programming language R, including the fundamentals of the language, elementary data handling and statistical analysis, production of graphics and programming.
The course is run over 1 full day, 10am – 5pm (participants are required to arrive at 9.45am in order that the course starts promptly).
Details at: http://www3.imperial.ac.uk/stathelp/courses/rcourses/introductiontor
14-10 club
2012 February 02 speakers are Paul Wilmott and Professor Joao Magueijo.
More details at the 14-10 club website.
Quantitative Asset and Risk Management Workshop
2012 February 9-10 in Venice.
Details at: http://www.quant.it/community/default_en.asp
Statistical Analysis Using R
2012 February 22 at Imperial College.
The course will outline the implementation of the main statistical tests and statistical modelling procedures in the R statistical programming language.
The analyses described will include:
- t-tests and non-parametric procedures (eg the Mann-Whitney test)
- 1-way and 2-way Analysis of Variance
- Linear and Multiple Regression
- Analysis of Covariance
Features include the use of extractor functions and graphical procedures to aid interpretation of results and allow assessment of adequacy of model assumptions.
Please note that a basic knowledge and experience of R is required to complete this course.
Details at: http://www3.imperial.ac.uk/stathelp/courses/rcourses/statisticalanalysisusingr
14-10 club
2012 March 01 speakers are Professor Tim Palmer and Sonia Schulenburg.
More details at the 14-10 club website.
Forecasting Financial Markets
The conference will be held 2012 May 23-25 in Marseille. Abstracts are accepted until 2012 February 10.
The home page is http://www.ffm-conference.com/
useR! 2012
2012 June 12-15 at Vanderbilt University, Nashville Tennessee. Details at http://biostat.mc.vanderbilt.edu/wiki/Main/UseR-2012
Even more events
MoneyScience has an events calendar.
