Takeaways from the CQA Spring Conference 2023 by Peter Millington, Founder and CTO of Scientific Financial Systems (SFS)
Peter Millington, founder, and CTO of SFS, recently attended the 2023 CQA Spring Conference in Las Vegas. This annual event brings together top quantitative finance professionals to discuss the latest developments and trends in the field. As an industry leader, Peter was keen to attend and share his insights on innovative approaches in quantitative finance and investment decision-making. In this article, we will explore Peter’s key takeaways from the conference, including the latest developments in investment alpha, the sensitivity of factor return calculations to data revisions, and innovative ways of finding new investment opportunities from textual news sources.
Great talks at the Spring CQA Quant Finance Conference in Las Vegas. Some interesting takeaways from the event:
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- Quants continue to push the envelope in exploring new sources of investment alpha – such as applying insightful sentiment analysis to corporate announcement transcripts.
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- Pat Akey (University of Toronto) gave an excellent and detailed talk about the sensitivity of factor return calculations to data revisions, restatements, and corporate actions. Dr. Akey’s presentation documented significant differences in style factor returns drawn from different data “vintages”. These observations underscore the impact that historical data revisions can have on analytical results and emphasize the importance of utilizing “point-in-time” data techniques when possible.
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- Quants are developing innovative ways of finding new investment opportunities from textual news sources. Ronnie Sadka (Boston College Finance Dept Chair) gave a very interesting talk about his work with “Attention” Investing. Through his collaboration with MKT MediaStats. Dr. Sadka has created a sentiment-based methodology to define news-driven investment “narratives”. This sophisticated approach identifies impactful news topics and tracks the dynamics of the associated news “intensity” to implement exposure-based investment factors that capitalize on financial market responses to news flow.
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Exploring novel ways to harness vast troves of information can lead to better and more informed investment decisions. Quantitative investment professionals continue to lead this charge. Scientific Financial appreciates the value of evaluating new data sources as well as the underlying importance of proper data preparation and management techniques in financial analysis.
