[R-SIG-Finance] London Quant Group

[david.jessop at ubs.com]

www.LQG.org.uk
 
We are very pleased to announce the formation of the London Quant Group
- an individual membership, not-for-profit organisation, whose sole
purpose is to provide a continuing forum for the presentation and
discussion of practical quantitative investment ideas.

It has long been our belief that the growing London-based quantitative
community would benefit from the existence of an active forum for the
presentation and exchange of ideas, such as those that exist in other
cities such as Chicago and Boston. It is our intention that the LQ will
fulfil this role through evening seminars, bi-annual conferences plus
discussion forums for members.

Inaugural Meeting :   6.30pm, Thursday 18th October
BlackRock, 33 King William Street, London, EC4R 9AS

The Quant Crisis: the nature and causes of recent extreme volatility in 
quantitative equity strategies

During July and August this year many quantitatively managed equity
portfolios exhibited extreme volatility - initially sever weakness
followed by a sharp rebound. This effect was global - occurring at first
in the US, but followed rapidly in the rest of the world. It is clear
that the interaction of model correlation, leverage, short selling, and
rapid variation in price of risk played a major role in the evolution of
returns over this volatile period. At the inaugural meeting of the
London Quant Group practitioners involved in the management of
quantitative equity portfolios will recount some of their experiences
during this episode, and present analysis of the causes and consequences
of these events.

Speakers

Ed Fishwick (BlackRock)       Eoin Murray (Old Mutual Asset Management)
Sebastian Ceria (Axioma)
Jason MacQueen (Alpha Strategies)      Stephen Satchell (Trinity
College, Cambridge)

(NB: BlackRock is at the North end of London Bridge, next to Momument.
It will be necessary to pre-register for this event.)

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