Arvindh Rao will be presenting on Statistical Independence and other math stuff.

Cornelius Sheridan will be dropping some pearls of wisdom this Thursday in a presentation on weather derivatives and carbon emissions trading. Be sure to stop by!

Kent Quanrud, our upcoming Computer Science Chair will be wowing us with a demonstration and explanation of Algorithmic Pairs Trading in MATLAB. ** MATLAB files from the presentation are in the Members-Only section **

Joel Nybeck will be presenting on Credit Risk with focus on Altman's Z-Score and variations on the model.

Jeff Qiu will be giving a presentation on basic option strategies: bull spread, butterfly spread, strangle, straddle, etc.

Arvindh will be presenting a mathematical perspective on stock prices and volatility.

Joel Nybeck will be presenting on volatility, how we can forecast it, and the pros and cons of ARCH.

Mike and Varun will be discussing the evolution of risk management up to the crisis, how risk is currently handled, the implications and problems of the current systems, and the future of risk management.

Hello QFS!

This Thursday will be our final meeting for the semester. It will be a trading simulation (open outcry), in which we will split everyone into groups and run trading sessions within each group to teach aspects of market-making and trading.

The rules for the game will differ slightly (explained at the end of the email) from the rules below:

So the game uses a deck of cards and at least 3/4 people. First, we need to know the number of people playing...we need 6 + N*2 cards where N is the number of people playing. Ideally, you would not have a traditional deck of cards, but cards with numbers on them, ordered from 1 to (6 + N*2). As an example, if we had 5 people playing, we would need 16 cards numbered from 1 to 16...

Now, every person playing gets 2 cards, face-down, and there are 3 cards placed in the center (like community cards in Texas Hold 'Em). Each person can look at their cards, but will only know their two cards (no peeking, sharing, cheating). Every "round", one of the community cards will turn over and everyone will know the value of 5 different cards (3 community, 2 theirs) by the end of 3 rounds.

The goal of the game is to buy and sell shares, which are cashed in at the end to the dealer at a specific price. The specific price is equal to the sum of ALL the cards in play (so, that's 3 community cards + 2*N cards in N players hands).

Example: We have 2 players:
Player 1 --> 1, 4
Player 2 --> 3, 6
Community --> 2, 10, 8
==> Price = 1+4+3+6+2+10+8 = 34

So, assuming perfect knowledge, the Players can extrapolate the expected outcome at each round using the known cards. So Player 1, using only his cards, can say "oh, well I know that we have cards from [1,10] and there are only 7 cards in play, so knowing the average of [1,10] is 5.5, the expected total is 5.5*7 = 38.5. However, since I know two of the cards, I can subtract 5.5*2 from the total, giving me 27.5, and then add my two cards to it, getting 32.5, which is MY expected total!" Therefore Player 1, would most likely bid/ask around his price of 32/33. Player 2 would do the same, his price being 5.5*7-5.5*2+3+6 = 36.5 and his bid/ask probably 36/37. A-ha! we have a game!

The format of the bidding is done by one player asking another "what's your spread for ____" where the blank is a quantity.THE OTHER PLAYER MUST RESPOND WITH A SPREAD. This simulates the idea of being a market-maker, since they never (almost never*) have the option of saying "I don't want to deal with you on this." Only one trade can be done between the same pair of people each round (i.e. I can't buy 10 shares from Jon at $30 and then ask him again if I thought his price was low and buy another 10 again at $30). No one is forced to execute trades, but if someone asks you to trade, you must.

We usually set limits on the amount played, or require that it be done in batches of some number...like 10, for easy calculation of P&L later. All shares (either long or short) will be settled with the dealer at a choice price (the specific price that comes in after 3 rounds of betting)...we can make this more real by making the price have a spread or whatever...

Our rules may differ by having a different sum (instead of the price being the sum of the cards, it may be the product...or the product of the community cards plus the sum of the rest...) or by adding dice/coins to the mix -- you know, "quant" stuff.

Arvindh Rao will be running a review session on how probability & statistics are used in trading. It will act as a prep for our trading game, which will take place on 12/08 at 7pm.

Mike, Jeff, and Varun will discuss the progress on their portfolios: Credit, Commodity, and Equity, respectively.

Join us on this pre-turkey-slaughter Thursday!

Varun will be speaking about analytical thinking, specifically how to decompose any problem into parts and the realization of inherent modularity in every system. He will focus on programming, finance, and day-to-day applications.

Chow down on some knowledge...and food.

Our very own, John Wood, will be speaking this week about Autoregressive Trading Strategies.

Join us!

**Excel File in Member-Only Section**

Our very own, Jeff Qiu, will be presenting on the Commodities market and technical indicators in trading.

Join us, s'il vous plait.

Vishal Shah, our ex-Finance Chair and now FX Options Trader at RBSGC, will be speaking about the markets this Thursday, specifically how current conditions will carry forward with currencies, commodities and fixed income.

Join us for a relaxing discussion!

Seating is first come, first served

Mike and Varun will go over the QFS portfolio and outline all the steps needed to make this thing a reality.

They will also be speaking briefly about the importance of soft skills in this environment as well as what quants *really* do on a day-to-day basis.

"What Happened?" - Santosh Sateesh, Lehman, Credit Derivatives Trader

Join us for some interesting dialogue with a hefty Q&A session...and food.

Hey,

This week we will focus on SWAPS: What they are, how to price them, how to trade them, nitty-gritty details, and some jokes will be told.

Come join us for an evening of swarthy frivolity!

-VRun

Hi there!

This meeting will be an introductory meeting for new members (who we are, what we do, market, jobs, positions, agenda, board).

Food will be served.

Wow, we're watching "The Trillion Dollar Bet", a PBS Special about LTCM.

Come by for some pizza, soda, popcorn, and some good fun

In 1973, three brilliant economists, Fischer Black, Myron Scholes, and Robert Merton, discovered a mathematical Holy Grail that revolutionized modern finance. The elegant formula they unleashed upon the world was sparse and deceptively simple, yet it led to the creation of a multi-trillion dollar industry. Their bold ideas earned Scholes and Merton a Nobel Prize (Black died before the prize was awarded) and attracted the elite of Wall Street.
In 1993, Scholes and Merton joined forces with John Meriweather, the legendary bond trader of Salomon Brothers. With 13 other partners, they launched a new hedge fund, Long Term Capital Management, which promised to use mathematical models to make investors tremendous amounts of money. Their money machines reaped fantastic profits, until their theories collided with reality, and sent the company spiraling out of control. The crisis threatened to bring markets around the world to the brink of collapse.
Join NOVA in the quest to turn finance into a science. Plus, trace the little-known history of predicting financial markets and go to work with some successful modern traders who rely on intuition as well as mathematical models.
Original broadcast date: 02/08/2000

We will have working models for data analysis for our models.
Jawad, Varun, Michael, Cornelius will all show their progress and present a full update/report.

We'll talk about commodities and futures and what happened with them over the past 3 years, from august to january, january to march, and most recently with the sudden swing.

We will discuss the (6) portfolio strategies from last time. Empirical testing should be completed by now and we will be able to determine the effectiveness of each model.

We will begin talking about our portfolio today. Will also look at resumes at the end / interview questions, tips.

Didn't Vishal do this already? Maybe, but Varun and Mike will take a more direct approach.

Quant Interviews, Jobhunting Tips (fresh ones), and more

Bring your resumes!

Our first-meeting-this-semester's purpose is to introduce our hedgefund that our portfolio team will be running (that's the active members of QuantFS) and to clarify changes to the board and how things will be running from now.

We will also be discussing the chairs' plans regarding workshops and positions that will be open at the end of the semester (and how to apply for them). *Note: Cheif of Marketing is open right now*

Self-Explanatory.

Specifics: Vishal will speak about the job process and how to prepare for your dream job.

Vishal, our Finance Chair, will give a club-presentation on Currencies.

Specifically, how to trade them, what platform to use, common strategies, and their role in the markets.

Mike Gorun, and Jawad Ahmed will be presenting on Interest Rates, more specifically what they are, how they are used in quant, and their effects on the economy.

Josh Shvartsman, a QuantFS member, will be our first member-presenter this year. He will be speaking about the important and variety (of types) of programming in quantitative finance.

Bob Litterman, Managing Director, Head of Quantitative Resources of Goldman Sachs will be the speaking at this event. More details TBA.

Bob Litterman is the Head of Quantitative Resources at Goldman Sachs. In this role, he oversees Quantitative Investment Strategies and Global Investment Strategies. Quantitative Investment Strategies is a portfolio management business formerly known individually as the Quantitative Equities and Quantitative Strategies Groups, and Global Investment Strategies is an institutional investment research group. Bob is the codeveloper, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model, a key tool in the Investment Management Division's asset allocation process. Prior to moving to the Investment Management Division, Bob was head of the firmwide Risk Department. Preceding his time in the Operations, Technology & Finance Division, he spent eight years in the Fixed Income Division's research department, where he was co-director. Bob became a partner in 1994.

Before joining the firm in 1986, Bob was an assistant vice president in the Research Department of the Federal Reserve Bank of Minneapolis and an assistant professor in the Economics Department at the Massachusetts Institute of Technology. Bob earned a BS from Stanford University in 1973 and a Ph.D. in Economics from the University of Minnesota in 1980.

Savita Subramanian is the senior U.S. quantitative strategist within the Investment Strategy Group. Along with her role as an analyst, she is responsible for marketing the firm’s equity investment strategies to both institutional and individual clients. She has been in Quantitative Strategy since 2001.

Varun and Mike will speak about models used in Finance. The common ones, why they are used, how they were made, and how to develop them.

They will also walk through the development of a factor model, one of the most common 'quant' type models in use and develop one within the hour of the meeting.

Show up for some good knowledge and good eats.

At our weekly meeting, Chris Shaw will be in to speak about his role at HSBC Securities as Head of Program & Algorithmic Trading, Americas. There will be time to ask questions.

Refreshments will be provided

Tair Aurmont of Morgan Stanley will go over different types of derivatives. If you went to the workshop with our Finance Chair, Vishal Shah, you should be in prime position to be a sponge this Thursday.

Join us for some good food and learning.

Varun Dube will speak about the field of Quantitative Finance -- where it came from, where it is right now, and where it is headed. Join us for some fun and learning on Thursday, September 20th 2007 at 7pm in Tisch 201.

For those who passed the Mathematics Exam, membership fees will be accepted at this meeting. For those wishing to take the exam, an exam will be given after the presentation.

More information on this to come, but you don't want to miss this meeting...yes, food will be there. We will be presenting a lot of new information about the club's future direction as well as set the standard for the semester to come.

See you there!

-Varun, President

The QFS is proud to present Dr. Robert DeBellis. The title of his presentation will be The Quant 'Tech' Interview (or How I Learned to Stop Worrying and Love C++)

Hey Hey Hey! Vishal Shah, our newly elected Finance Chair will be speaking about the importance of Fundamental analysis. More information on this later. Stay tuned!

We are proud to present Dr. Photios Harmantzis to QuantFS. He will be speaking about the career path to becoming a quant in the field and he will be doing a Q&A session.

Dr. Photios Harmantzis Systematic Trading Models R&D Product Development Committee New York City

Dr. Harmantzis joined FX Concepts in June 2006, as a member of the Investment Management Research group. His responsibilities include researching and developing new proprietary investment and trading models for the firm's portfolios. He has prior systematic trading hedge fund experience in the areas of Long/Short (Market Neutral) U.S. equities (fundamentals driven) and Long/Short U.S. credit (capital structure arbitrage). Besides the US, he worked in Canada and Greece.

His current research interests include various topics in finance, such as equity and credit modeling, financial econometrics, real options, risk management and optimal portfolio construction. His works have been presented in several conferences and he maintains strong ties with academia.

His degrees include a Ph.D. from the University of Toronto, an MBA from the Rotman School (U. Toronto) & Stern (NYU), and a Master's from the University of Pennsylvania.

This will be The QuantFS's first workshop. Varun Dube will speak about Financial Programming with emphasis on the elementary flow functions and Visual Basic Macros in Excel.

This is a member-only event. We will be accepting dues for folks who want to join at that time.

Vishal Shah will be speaking on financial chart reading. These will include such topics as: SMA, EMA, MACD, Fibonacci Fans, RSI, Fast and Slow Stochastics, Williams and much more...Stop by for some wisdom from a real currency trader!

This will be the QFS's second meeting. It will be given by our Math Chair, Igor and our Computer Science Chair, Steven. Come and join the fun!

This is the Quantitative Finance Society's first meeting! Come check out the club and remember to be open-minded...we won't throw a stochastic pitch just yet!