Similarly to how we prioritize our own research, we choose speakers for our QES conferences primarily on the quality of their papers. We went through thousands of academic papers published in the last 12 months and applied a hybrid machine learning plus domain expert approach to identify six academic researchers – all have new, innovative, and cutting edge research. We also presented our latest research on Systematic Alpha from Risk Arbitrage (SARA) and introduced our Port@ Analytics platform.
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The year 2018 will be dominated by policy interventions. The administration’s infrastructure package is in the works after the successful passage of tax reform last year. After a decade of expansionary monetary policy, the Fed has signaled it is tightening with multiple rate hikes and balance sheet normalization on the horizon – all under a new Chairman. Investors are also watching closely the actions by the ECB and Bank of Japan. In this month’s JQES, we provide a list of some of the most influential and relevant academic papers which focus on the impact that monetary and fiscal policy have on economic conditions and asset prices.
Luo’s QES Team held an inspiring seminar on the dynamic China A share market on February 9 at Wolfe’s New York City office. Over 50 buy-side investment professionals, researchers and data scientists attended the event.
Wolfe Research’s QES team held its inaugural global quantitative and macro investing conference on November 14th and 15th in New York City. Nearly 500 buy-side investment professionals, academics, investment researchers, traditional as well as alternative data vendors, data scientist, and technologists attended the event.
This month, we highlight a paper studying how credit card payment data can be used in stock selection (see Agarwal, et al [2017). Furthermore, (see Rohal, et al ), Chew, et al  provides a relatively complete framework for textual analysis. Both credit card payment and NLP are active areas of research that we are currently pursuing. However, the relatively short history of data coverage for most alternative data sources pose a serious challenge for statistical analysis. Ledoit, et al  introduce the DCC-NL covariance matrix estimator and show how it can be used in cross-sectional market anomaly detection, especially limited data history.
This month, we highlight one recent academic paper by Löffler, et al , using linguistic tone analysis on Moody’s rating reports. Löffler, et al  research coincides with one of our recent papers (see Rohal, et al ), in which we apply NLP (Natural Language Processing) and machine learning techniques on corporate filing data from the EDGAR database. We are in the process to expand our research to other textual datasets.
After sifting through over 2,000 papers presented at the annual AEA (American Economic Association) and AFA (American Finance Association)
conference in January 2017 in Chicago, we have carefully chosen around 150 most interesting and relevant
papers in five fields: alpha signal, risk and portfolio construction, multi-asset and global macro, trading, and
ESG for this issue. The AEA/AFA conference is probably the largest and most well-known event for
graduating PhD students seeking jobs in either academia or industry. In our opinion, the papers presented
during the conference represent some of the best and most innovative research.
Introducing our first Journal of Quantitative, Economics, and Strategy (JQES) publication. Before we officially launch our research in February 2017, we would like to share some of the best academic research papers related to investing that we have come across over the past few months.