13th Annual Hedge Fund Conference

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

Time Activity
 08.25 -08.55 Registration

Main event in the Ballroom

 08.55-09.00 Welcome address
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)
Bond Risk Premia with Machine Learning (co-authored with Daniele Bianchi and Matthias Buechner)
Discussant: Marcin KacperCzyk (Imperial College Business School)

Paper 2: Keynote Speech – Bryan kelly (Yale University)
Empirical Asset Pricing Via Mahcine Learning (co-authored with Shihao Gu and Dacheng Xiu)
Discussant: Paolo Zaffaroni  (Imperial College Business School)

 10.45-11.15 Tea/Coffee 
 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)
Optimal Timing and Tilting of Equity Factors (co-authored with Hubert Dichtl, Wolfgang Drobetz, Carsten Rother and Patrick Vosskamp)
Discussant: Julien Penasse (Luxembourg School of Finance & Unigestion)

Paper 4: Andreas Neuhierl (University of Notre Dame)
Monetary Momentum (co-authored with Michael Weber
Discussant: Mungo Wilson (said Business School, Oxford University)

 12.45-13.45 Lunch 
 13.45-15.15 Session 3: FX and Market Anomalies Chairperson: Filippo Altissimo (Evince Partners)

Paper 5: Paul Whelan (Copenhagen Business School)
FX Premia Around the Clock (Co-authored with Ingomar Krohn and Philippe Mueller)
Discussant: Pasquale Della Corte (Imperial College Business School)

Paper 6: Andrew Patton (Duke University)
What You See Is Not What You Get: The Costs of Trading Market Anomalies (co-authored with Brian M.Weller)
Discussant: Marno Verbeek (Erasmus University, Rotterdam School of Management)

 15.15-15.45 Tea/Coffee
 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)
Discussant: Elena Andreou (University of Cyprus)

Paper 8: Shaun William Davies (Leeds School of Business, University of Colorado)
Speculation Sentiment 
Discussant: Nick Baltas (Goldman Sachs)

 17.15-18.45 Drinks Reception