Society of Quantitative Analysts (SQA)

?? Registration is NOW OPEN! ?? We are excited to invite everyone to SQA’s Annual Holiday Social on December 12, 2024 at the iconic Rosie O'Grady's in New York City! This is a great chance to network, celebrate, and wrap up the year with fellow professionals. ?? Date: December 12, 2024 ?? Location: Rosie O'Grady's, 148 West 51st Street, NYC ?? Register Here: https://lnkd.in/eBgjFtxC Join us for an evening of festive cheer and fantastic company! ?????? We can't wait to see you there. #SQA #HolidayEvent #Networking #QuantFinance #NYC

?? Exciting News! ?? The final agenda for the SQA Boston Half Day Quant Finance Conference on Wednesday, November 6th, has been released! We're thrilled to bring together some of the brightest minds in quantitative finance for an impactful day of learning, networking, and insights. With seating limited, now is the time to reserve your spot! If you're interested in joining us, don't wait—register today at the event page here: https://lnkd.in/ektj_PQP Looking forward to seeing you in Boston for an unforgettable experience!

Congratulations to the winners and finalists of Alphathon 2024! 77 teams were accepted to compete in quantitative challenges created by Point72, Cubist Systematic Strategies, AllianceBernstein, Principal Financial Group, and Optimal Portfolio, LLC, with data from Databento, Eagle Alpha, QuantConnect, and Northfield Information Services. Challenges spanned topics like data streaming, portfolio management, fund flows, and LLMs. I was impressed by the detail and effort put forth by all of the participants, who ranged from students to industry veterans. This was the only photo I managed to take - of Zhishu Zhang and Zilin Chen's work on the P72/Cubist challenge! If anyone has photos from the event, please share. ?? It was a pleasure reuniting with Ingrid Tierens after a decade, and meeting Christos K., Pawel Polak, Gene Ekster, Rong Zhao, and Mouli Narayanan! Thanks for the fun panel discussions. Alphathon is a joint effort, hosted as a part of #dataweekNYC by: Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, CFA Society New York, and Eagle Alpha. Congrats again to all of the participants! May this help you in each of your careers and personal learnings.

I’m very happy to be one of the winners of the Alphathon 2024! This year’s competition featured 77 teams (148 participants), including MS and PhD students, as well as professionals with 15+ years of experience. Presenting my solution at the SQA conference in New York was a great experience! I worked on the problem of constructing portfolios that better reflect stock selection skills. In a context where practitioners seem divided between those who rely on quadratic optimization and those who prefer more heuristic methods, I proposed a two-step solution that incorporates both approaches. In the first step, a clear and transparent weighting scheme is used to maximize the transfer coefficient between the forecasted return signals and portfolio weights. In the second step, quadratic optimization is applied to mitigate unintended bets and control portfolio turnover to avoid trading based on noise. As the turnover penalty increases, the transfer coefficient decreases almost linearly, whereas portfolio turnover declines at a faster rate. This creates a favorable trade-off while controlling for unwanted risk exposures, better reflecting stock selection skills. I would like to thank Richard Young and Jason MacQueen for their thoughtful contributions to understanding the nuances of this problem, and Pawel Polak and Christos K. for organizing such a great event. It was a pleasure meeting you in person!

?? Alphathon 2024 Winners and Wrap-Up! We're thrilled to announce the successful conclusion of #Alphathon2024 with the Wednesday, October 9th Final and Conference, after a month of coding! The event showcased incredible talent, creativity, and groundbreaking solutions from participants across the globe! ?? Congratulations to our winners: Question 1: A Real-Time Streaming Application Using #CSP, by Point72 / Cubist Systematic Strategies ?? Winner: Team 29:?Zhishu Zhang and Zilin Chen Question 2: Using Large Language Models (#LLMs) in Investment, by AllianceBernstein (AB) ?? Winner: Team 34 "Big Red Big Purple": Elina (Fuwei) Zhuang, Shun Wang, Hudson Chen, Yuao Peng, Yuanzhi Ma and Wanqing (Tyler) Li Question 3: Fund Flows, Crowding and Subsequent Returns, by Principal Financial Group ?? Winner: Team 54: Lars Warren Ericson Question 4: A Long-Short Portfolio Strategy that Accurately Reflects Stock Selection Skill, by Optimal Portfolio Strategies! ?? Winner: Team 76 "Alphasycratics":?Douglas Ricardo Sans?o These projects created #innovative, #robust research and applications, used #largedata, #statisticaltechniques, #machinelearning methodologies and great #insight, and addressed real issues for the world of investment! Thank you to our great speakers Ingrid Tierens, Rong Zhao, Christina Qi, Gene Ekster, Pawel Polak and Christos K., who put all this into the broader context of current research and industry best practices for the audience! And a huge thank you to all participants, question providers, judges, and partners who made this event a resounding success. Your dedication and passion for innovation continue to inspire us. For more details on #Alphathon2024, and for other upcoming #SQA events: https://lnkd.in/guZvv_jp ?? Looking ahead Mark your calendars! We're excited to announce that preparations for Alphathon 2025 are already underway. Whether you're a seasoned quant, an experienced developer, a graduate student or a curious newcomer, we invite you to join us for another exhilarating event of coding, creativity, and collaboration! Join the SQA distribution list or become a member to be kept up-to-date! https://www.sqa-us.org/ Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, Cornell Engineering Master of Engineering, Eagle Alpha, QuantConnect, Northfield Information Services, Opoint, Reha Tutuncu, Nijat Khanbabayev, Emily B., Andrew Chin, Jonathan Berkow, Philipp Rieder, Jason MacQueen, Richard Young, Kyle Johnson, CFA, FSA, CERA, PMP, Ashot Ordukhanyan #DataWeekNYC #quant #hackathon #hedgefunds #ML #AI #bigdata #LLMs #NLP #financialmarkets

Attend the SQA Conference on Wednesday, to hear form a great lineup of speakers on the current state-of-the-art on dealing with large and asynchronous data, AI and LLMs in investment, fund flows, crowding and portfolio construction! Alphathon 2024 Attend the SQA Conference? Wednesday, October 9th, 2024 Location: 360 Madison Ave, New York, NY 10017 Time: 12:00 – 1:30 pm https://lnkd.in/guZvv_jp Speakers include: Ingrid Tierens Head of Data Strategy for Global Investment Research Goldman Sachs Rong Zhao Center Director Center of Excellence in Wireless and Information Technology (CEWIT), Stony Brook University Christina Qi CEO, Databento Board of Trustees, MIT Gene Ekster Data Specialist, Maiden Century Adjunct Professor, NYU Courant Pawel Polak Assistant Professor, Department of Applied Mathematics and Statistics and Affiliated Faculty, Institute for Advanced Computational Science, Stony Brook University Christos K. CEO, Atlas Ridge Capital Adjunct Professor, NYU Courant Executive Advisory Board, Columbia Business School, Program for Financial Studies More details and register: https://lnkd.in/guZvv_jp Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, MS in Computational Finance at Carnegie Mellon University, AMS Stony Brook, Oxford-Man Institute of Quantitative Finance, University of Oxford, CFA Society New York, Eagle Alpha, Databento, QuantConnect, Northfield Information Services Christos K., Pawel Polak, Petter Kolm, Harry Mamaysky, Melina Denebeim, Izabela Rutkowski, Ariane Saney, Charles-Albert Lehalle, Giuseppe Paleologo, Jerome Benveniste, Dan Cardell CFA, Reha Tutuncu, Andrew Chin, Gene Ekster, Julien Guyon, Julien Turc, Natascha Hey, Johannes Muhle-Karbe, Prof. Alexander Lipton #Alphathon2024 #DataWeekNYC #quant #quantresearch #hackathon #data #hedgefunds #quantinvestments #alphathon2024 #machineleanring #ML #AI #bigdata #LLMs #NLP #financialmarkets #portfolioconstruction #portfoliooptimization #meanvariance #robustoptimisation #riskmanagement #alpha #fundflows #crowding

Alphathon 2024 is pleased to announce the finalists in Q4: A Long-Short Portfolio Strategy that Accurately Reflects Stock Selection Skill, by Optimal Portfolio Strategies! Congratulations Team 55 (Ashot Ordukhanyan), Team 76 (Douglas Ricardo Sans?o) and Team 70 (Mathew Thiel, Yago Mateos Vela)! Attend the SQA Conference this Wednesday, Oct 9th, to see the winner present, across the Alphathon questions, as well as a Panel of Experts, putting the results into the broader industry and academic context! More info & Register: https://lnkd.in/guZvv_jp Alphathon 2024 The Conference Wednesday, October 9th, 2024 Location: 360 Madison Ave, New York, NY 10017 Time: 12:00 – 1:30 PM Eastern 77 teams (148 Participants) were accepted to compete, over a 1-month Alphathon! But at the end, there can only be 1 winner per category! Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, MS in Computational Finance at Carnegie Mellon University, AMS Stony Brook, Oxford-Man Institute of Quantitative Finance, University of Oxford, CFA Society New York, Eagle Alpha, Databento, QuantConnect, Northfield Information Services Christos K., Pawel Polak, Petter Kolm, Harry Mamaysky, Melina Denebeim, Izabela Rutkowski, Ariane Saney, Charles-Albert Lehalle, Giuseppe Paleologo, Jerome Benveniste, álvaro Cartea, Dan Cardell CFA, Reha Tutuncu, Andrew Chin, Christina Qi, Harvey Stein, Gary Kazantsev, Ali Hirsa, Gene Ekster, Philipp Rieder, Jason MacQueen, Richard Young, Kenneth Hightower, PhD, CFA. #Alphathon2024 #DataWeekNYC #quant #quantresearch #hackathon #data #hedgefunds #quantinvestments #alphathon2024 #machineleanring #ML #AI #bigdata #LLMs #NLP #financialmarkets #portfolioconstruction #portfoliooptimization #meanvariance #robustoptimisation #riskmanagement #alpha #beta

Alphathon 2024 is pleased to announce the finalists in Q3: Fund Flows, Crowding and Subsequent Returns, by Principal Financial Group! Congratulations Team 54 (Lars Warren Ericson) and Team 2 (Antonios Santamouris, MSc)! Attend the SQA Conference this Wednesday, Oct 9th, to see the winner present, across the Alphathon questions, as well as a Panel of Experts, putting the results into the broader industry and academic context! More info & Register: https://lnkd.in/guZvv_jp Alphathon 2024 The Conference Wednesday, October 9th, 2024 Location: 360 Madison Ave, New York, NY 10017 Time: 12:00 – 1:30 PM Eastern 77 teams (148 Participants) were accepted to compete, over a 1-month Alphathon! But at the end, there can only be 1 winner per category! Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, MS in Computational Finance at Carnegie Mellon University, AMS Stony Brook, Oxford-Man Institute of Quantitative Finance, University of Oxford, CFA Society New York, Eagle Alpha, Databento, QuantConnect, Northfield Information Services Christos K., Pawel Polak, Petter Kolm, Harry Mamaysky, Melina Denebeim, Izabela Rutkowski, Ariane Saney, Dan Cardell CFA, Reha Tutuncu, Andrew Chin, Dave Mabe, Tyler Wood, CMT, Jared Broad, Jason Strimpel, Randall Thomas, Herbert Blank, Kyle Johnson, CFA, FSA, CERA, PMP, Yesim Tokat-Acikel, Ph.D. #Alphathon2024 #DataWeekNYC #quant #quantresearch #hackathon #data #hedgefunds #quantinvestments #alphathon2024 #machineleanring #ML #AI #bigdata #LLMs #NLP #financialmarkets #FundFLows #crowding #forecasting #riskmanagement #ESG

Alphathon 2024 is pleased to announce the finalists in Q2: Using Large Language Models (#LLMs) in Investment, by AllianceBernstein (AB)! Congratulations Team 38 (Ryan Engel, Mario Xerri, Michael Gannon), Team 13 (Soohan Kim, Ju Hyung Kang and Sicheng Wang), Team 39 (Lingyi Kong, Mark McAvoy and Sabrina McAvoy) and Team 34 (Elina (Fuwei) Zhuang, Shun Wang, Hudson Chen, Yuao Peng, Yuanzhi Ma, Wanqing (Tyler) Li)! Attend the SQA Conference this Wednesday, Oct 9th, to see the winner present, across the Alphathon questions, as well as a Panel of Experts, putting the results into the broader industry and academic context! More info & Register: https://lnkd.in/guZvv_jp Alphathon 2024 The Conference Wednesday, October 9th, 2024 Location: 360 Madison Ave, New York, NY 10017 Time: 12:00 – 1:30 PM Eastern 77 teams (148 Participants) were accepted to compete, over a 1-month Alphathon! But at the end, there can only be 1 winner per category! Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, MS in Computational Finance at Carnegie Mellon University, AMS Stony Brook, Oxford-Man Institute of Quantitative Finance, University of Oxford, CFA Society New York, Eagle Alpha, Databento, QuantConnect, Northfield Information Services Christos K., Pawel Polak, Petter Kolm, Harry Mamaysky, Izabela Rutkowski, Charles-Albert Lehalle,Reha Tutuncu, Andrew Chin, Jonathan Berkow, Ali Hirsa, Gene Ekster #Alphathon2024 #DataWeekNYC #quant #quantresearch #hackathon #data #hedgefunds #quantinvestments #alphathon2024 #machineleanring #ML #AI #bigdata #LLMs #NLP #financialmarkets

Alphathon 2024 is pleased to announce the finalists in Q1: A Real-Time Streaming Application Using #CSP, by Point72 / Cubist Systematic Strategies! Congratulations Team 55 (Ashot Ordukhanyan), Team 101 (Gregory Sharma) and Team 29 (Zhishu Zhang, Zilin Chen)! Attend the SQA Conference this Wednesday, Oct 9th, to see the winner present, across the Alphathon questions, as well as a Panel of Experts, putting the results into the broader industry and academic context! More info & Register: https://lnkd.in/guZvv_jp Alphathon 2024 The Conference Wednesday, October 9th, 2024 Location: 360 Madison Ave, New York, NY 10017 Time: 12:00 – 1:30 PM Eastern 77 teams (148 Participants) were accepted to compete, over a 1-month Alphathon! But at the end, there can only be 1 winner per category! Society of Quantitative Analysts (SQA), Center of Excellence in Wireless and Information Technology (CEWIT) At Stony Brook University, M.S. in Mathematics in Finance, NYU Courant, Program for Financial Studies at Columbia Business School, Columbia University’s Mathematics of Finance MA (MAFN) program, MS in Computational Finance at Carnegie Mellon University, AMS Stony Brook, Oxford-Man Institute of Quantitative Finance, University of Oxford, CFA Society New York, Eagle Alpha, Databento, QuantConnect, Northfield Information Services Christos K., Pawel Polak, Petter Kolm, Harry Mamaysky, Melina Denebeim, Izabela Rutkowski, Ariane Saney, Charles-Albert Lehalle, Giuseppe Paleologo, Jerome Benveniste, álvaro Cartea, Dan Cardell CFA, Agostino Capponi, Reha Tutuncu, Andrew Chin, Igor Halperin, Christina Qi, Harvey Stein, Gary Kazantsev, Ali Hirsa, Gene Ekster #Alphathon2024 #DataWeekNYC #quant #quantresearch #hackathon #data #hedgefunds #quantinvestments #alphathon2024 #machineleanring #ML #AI #bigdata #LLMs #NLP #financialmarkets