13th Annual Hedge Fund Conference
5th December 2018
The conference is organised by the Brevan Howard Centre for Financial Analysis at Imperial College Business School and the Centre for Economic Policy Research. It will be held in London at The Berkeley Hotel, Knightsbridge as a full day event.
The keynote speech will be given Bryan Kelly is Professor of Finance at the Yale School of Management, a Research Fellow at the National Bureau of Economic Research, Associate Director of SOM’s International Centre for Finance, and a consultant for AQR Capital Management, LLC
There will be four sessions, Machine Learning and Bond and Equity Risk Premia, Time Variation in Equity Premia, FX and Market Anomalies and Structural Breaks and Sentiment.
The full programme for the event can be found here.
Speakers Papers can be found here
Speakers that agreed to share their slides can be found here
Main event in the Ballroom
Francisco Veloso (Dean of Imperial College Business School)
|09.00-10.45|| Session 1: Machine Learning and Bond Equity Risk Premia Chairperson: Thomas Flury (Man/AHL)
Paper 1: Andrea Tamoni (London School of Economics)
Paper 2: Keynote Speech – Bryan kelly (Yale University)
|11.15-12.45||Session 2: Time Variation in Equity Premia Chairperson: Robert Kosowski (Imperial College Business School & Unigestion)
Paper 3: Harald Lohre (Invesco, lancaster University Management School)
Paper 4: Andreas Neuhierl (University of Notre Dame)
|13.45-15.15||Session 3: FX and Market Anomalies Chairperson: Filippo Altissimo (Evince Partners)
Paper 5: Paul Whelan (Copenhagen Business School)
Paper 6: Andrew Patton (Duke University)
|15.45-17.15||Session 4: Structural Breaks and Sentiment Chairperson: Maurizio Luisi (Unigestion
Paper 7: Simon Smith (USC)
Break Risk (co-authored with Allan Timmermann)
Paper 8: Shaun William Davies (Leeds School of Business, University of Colorado)