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MSCF Speaker Series '12-'13

February 1, 2013 (From New York)
Adam Johnson - Bloomberg TV
Anchor & Co-Host
"The Changing World of Quantitative Finance"


Adam is an anchor for Bloomberg Television, co-hosting "Street Smart," Bloomberg's daily business news program focused on the final hours of trading in the U.S., and "Lunch Money," the network's noon-hour program covering top news in equities, currencies, bonds, and commodities. Since joining Bloomberg in 2009, he has interviewed numerous high-profile business leaders including former AIG CEO Hank Greenberg, Newmont Mining President and CEO Richard O'Brien, AOL CEO Tim Armstrong, legendary investors Leon Cooperman, Carl Icahn and Tom DeMark. Prior to Bloomberg, Johnson was the founder of TheIndependentTrader.com, a Web site and newsletter service devoted to identifying investing trends and offering stock market commentary for investors. Until 2008, Johnson served as a co-founder and co-portfolio manager at New York-based hedge fund, MLH Capital, LLC. Earlier in his career, Johnson served as a director at ING Furman Selz Asset Management LLC and as a trader at Louis Dreyfus Energy Corporation. He began his career as an analyst at Merrill Lynch Capital Markets. Adam earned a degree in economics from Princeton University.

 

January 18, 2013 (From New York)
Seth Carpenter - Federal Reserve Board
Senior Associate Director in Monetary Affairs
"Monetary Policy and the Federal Reserve's Balance Sheet"


Seth joined the Federal Reserve Board in Washington D.C. in 1999 as an Economist. Throughout his tenure, his primary responsibilities have been providing analysis to support the Federal Open Market Committee in the conduct of monetary policy, especially in the areas of reserve markets, money markets, monetary policy accommodation, and the Federal Reserve’s balance sheet. Seth received his Ph.D. in Economics from Princeton University. In addition to his policy work, Seth has many publications in the fields of money demand, the liquidity effect, and the transmission of monetary policy.

 

November 30, 2012 (From Pittsburgh)
Dr. David Andre - Cerebellum Capital
Co-Founder, CEO, and CTO
“The Perils of Quantitative Investing"


Dr. David Andre is co-founder, CEO, and CTO of Cerebellum Capital, a hedge fund whose investment programs are based on a largely automated process for discovering financial trading strategies, evaluating strategies as to the likelihood they will generalize to unseen data, and combining these strategies to optimize the likelihood of significant steady return. David was instrumental in founding and building several companies, including BodyMedia, Inc, Blue Pumpkin Software, and Shinteki. In addition to holding numerous patents for his inventions, he is the author of more than 60 peer-reviewed publications in the areas of statistical machine learning, robotics, reinforcement learning, evolutionary computation, and parallel processing, as well as a book on automatic circuit design. Dr. Andre holds B.S. and B.A. degrees in Symbolic Systems and Psychology from Stanford University and a PhD in Electrical Engineering and Computer Science with a focus in Artificial Intelligence from U.C. Berkeley.

 

November 16, 2012 (From New York)
Farah Haddadin - Belvedere Trading
Pricing Models and Trading Strategies
"Introduction to Market-Making"


Following five years in the technology sector, Farrah joined North End Options Fund (NEOS energy) in 2005 as a quantitative analyst. In 2010, Farah joined Belvedere Trading LLC, a proprietary trading firm based in Chicago where he works on option pricing models and trading strategies in various products. Farah Haddadin received his undergraduate degree in Electrical Engineering from the University of Illinois at Urbana-Champaign and completed his Masters in Financial Mathematics from the University of Chicago in 2005.

 

October 12, 2012 (From New York)
Daniel Nehren - J.P. Morgan
Global Head of Linear Quantitative Research
"Algorithmic Trading: A Quant Perspective"

Daniel Nehren is the Global Head of Linear Quantitative Research at J.P. Morgan. LQR is a global quantitative group that focuses on both electronic trading and portfolio and risk analytics for the Equities Division. Prior to joining J.P. Morgan, he was the co-head of the Quantitative Products One group at Deutsche Bank and helped run the QP Lab, a research joint venture between Umbolt University and Technische Universität Berlin. Daniel spent the previous five years in Delta 1 Equity Strategies at Goldman Sachs focused on High Frequency Trading. He holds the title of Doctor in Electronic Engineering from the Politcecnico University in Milan, Italy.

 

October 5, 2012 (From New York)
Merrell Hora - Barclays Capital
Director of Research
"An Overview of Equity Algorithmic Trading"

Merrell Hora is the global head of Equity Algorithmic Trading & Quantitative Analytics Products at Barclays Capital. Before joining Barclays he was with Credit Suisse where he was responsible for the quantitative R&D for their algorithmic trading products and then moved into program trading. Prior to that, he worked on quantitative smart order routing and liquidity analytics for Lava Trading. Before that he held multiple positions at Oppenheimer Funds including senior portfolio manager. Dr. Hora has a PhD in economics from the University of Minnesota and a BA from the University of California at San Diego.

 

September 28, 2012 (From New York)
Dmitry Pugachevsky - Quantifi Inc
Director of Research
"CVA, DVA, FVA – the Good, the Bad and the Ugly"


Dmitry is responsible for managing Quantifi’s global research efforts. Prior to joining Quantifi in 2011, Dmitry spent three years as Managing Director and a head of Counterparty Credit Modeling at JP Morgan. from 2001-208, he was a global head of Credit Analytics of Bear Stearns. Prior to that, he worked for eight years with analytics groups of Bankers Trust and Deutsche Bank. Dr. Pugachevsky received his PhD in applied mathematics from Carnegie Mellon University. He is a frequent speaker at industry conferences and has published several papers and book chapters on modeling counterparty credit risk and pricing derivatives instruments.

 
 
September 14, 2012 (From New York)
Robert Almgren – Quantitative Brokers
Co-founder
"Algorithmic Trading for Interest Rate Futures"

Robert Almgren is co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in interest rate markets, and Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including papers on optimal trading, transaction cost measurement, and portfolio construction.

 

September 7, 2012 (From New York)
Peter Cai –  Morgan Stanley
Managing Director
"What Happened at JP Morgan"


Peter Cai is a Managing Director in charge of portfolio risk management at Morgan Stanley. Peter leads a global team aggregating, analyzing and stress testing Morgan Stanley's risk exposures, spanning all of Firm's businesses and operations. Previously Peter was a risk strategist at Lehman Brothers (subsequently Barclays Capital) Fixed Income Division, and also worked at Lehman's corporate trading business as a risk manager. Prior to Lehman Brothers, Peter was the global director of consulting at Askari, a boutique risk solutions firm. Peter holds a Ph.D. degree in materials science from Pennsylvania State University and the FRM (Financial Risk Manager) and PRM (Professional Risk Manager) certifications.

 

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