The Changing Landscape of Quantitative Investing


11:30 a.m. ROUND TABLE: The Changing Landscape of Quantitative Investing

Moderator: Petter KolmMathematics Director of the NYU Finance MS Program, Quant of the Year 2021

Andrew ChinHead of Quantitative Research and Chief Data Scientist, Alliance Bernstein, Adjunct Professor, Cornell Financial Engineering Manhattan, Arik Ben DorBarclays, Head of Quantitative Equity Research, Jae Ho KimHead of Risk Research at Point72, Judith GuChief Quantitative Equity Strategist, Scotiabank

Full conference agenda

• Awarded “Quant of the Year” in 2021 by Portfolio Management Research (PMR) and Journal of Portfolio Management (JPM) for his contributions to the field of quantitative portfolio theory.
• Accomplished, results-oriented scholar and practitioner with a strong background in the financial industry as a professor (NYU Courant), Principal Investigator/Principal Investigator, witness and expert testimony, consultant, and advisory board member. Author of highly regarded books in quantitative finance and numerous key research publications.
• Effective communicator of findings and results, verbally and in writing, to technical and non-technical audiences, peers, clients, board members and stakeholders. Uses active listening and mediation skills to identify key requirements and reach consensus. Considerable experience in teaching and delivering presentations in corporate and academic settings.
• Extensive network of contacts in the finance and data science sectors.
• Guest speaker, presenter and moderator at 15-20 industry and academia conferences and events each year.


Director of NYU Courant’s Master of Mathematics in Finance program.
Member of the advisory board of robo-advisory, asset management and alternative data/data science companies.
Member of the editorial board of several academic and practitioner journals in quantitative finance, portfolio management and financial data science.
Board member of the International Association of Quantitative Finance and the Yale Graduate School Alumni Association.

Research of interests
Alternative data, data science, econometrics, financial mathematics, forecasting models, high frequency trading, machine learning, optimization, portfolio optimization with transaction costs and taxes, quantitative and systematic trading, reinforcement learning, risk management, robot- advice and investment, and finally smart beta strategies, stochastic optimal control, transaction costs and tax investment.

Andrew Chin is Head of Quantitative Research and Chief Data Scientist for AB. He is responsible for optimizing the quantitative research infrastructure, tools and resources across all of the firm’s investment platforms. Chin also leads the company’s data science strategy. Harness big data and leverage machine learning to improve decision-making across the organization. From 2009 to 2021, Chin served as Chief Risk Officer. Where, in addition to his quantitative research responsibilities, he led all aspects of risk management and built a global team. Identify, manage and mitigate various risks across the organization.

Chin has conducted various quantitative researches. Risk management. And portfolio management roles in New York and London since joining the firm in 1997. Prior to joining AB, Chin spent three years as a project manager and business analyst in global investment management at Bankers Trust. Finally, Chin holds a BA in Mathematics and Computer Science and an MBA in Finance from Cornell University.

Judith Gu, MS, MBA, CPA

Judith Gu, MS, MBA, CPA is Managing Director and Head of Statistical and Systematic Operations in Scotiabank’s US Equities Division. She is responsible for alpha signals, risk management and electronic market making for the Canadian bank’s growing US equity trading activity. Prior to joining Scotiabank, Judith was a strategist at Goldman Sachs. She has worked in the Fundamental Strategy Group, the Equity Market Making Office as well as the GSAM Quantitative Investment Solution (“QIS”) Group. Judith received her master’s degree in data mining from the University of Central Connecticut. Plus, his MBA in Finance from New York University.

In addition, Judith surprisingly passed the 4 CPA exams!

Dr. Kim has a dual role at Point72.

First, he works on allocating risk and managing exposures within the business on behalf of our Founder and the LPs to maximize risk-adjusted return for the business from the top down.

Second, it provides quantitative insights and creates tools for our independent investment teams to help them individually improve their risk-adjusted returns from the bottom up.

Prior to Point72, Dr. Kim was Vice President at Alliance Bernstein, where he:

• Creation of a market cycle indicator that indicates whether a country is in a recession, recovery, bubble or stable growth phase.
• Created a model that predicts the likelihood that OAS and high-quality Treasury yields will move in the same direction. The forecast can determine the split between credit and treasuries when implementing a neutral carry barbell strategy.

Created a global yield curve model that forecasts medium to long-term changes in interest rates in 43 countries.

Additionally, Arik has created various investment strategies integrating the aforementioned rate forecasting model with the Barclays POINT risk model. Participated in monthly global rate and currency portfolio construction meetings recommending trades to discretionary portfolio managers based on the aforementioned yield curve model as well as ongoing ad hoc market analysis. In addition, created a European Crisis Indicator to gauge the direction of EUR and Eurozone corporate bonds during the European debt crisis. Finally, creation of a model that forecasts the evolution of the gap between the Canadian provinces and the Canadian central government.

Dr. Kim graduated from Cooper Union with bachelor’s and master’s degrees in electrical engineering and holds a doctorate from Princeton University in operations research and financial engineering.

• Thesis: “Optimization of quantiles in the presence of heavy-tailed stochastic processes, and an application to the electricity market”.
• Main publication: “Optimal Energy Commitments with Storage and Intermittent Supply”, Operations Research, Vol. 59, No. 6. (2011)

Arik Ben Dor is Managing Director and Head of Quantitative Equity Research at Barclays.

For nearly two decades, Arik has overseen large-scale equity, rates, credit and hedge fund research projects used by the world’s largest institutional investors, including central banks, sovereign wealth funds, managers asset managers, insurance companies, pensions and hedge funds. He has co-authored two books on quantitative investing in credit securities and more than a dozen articles in leading journals such as the Journal of Portfolio Management, as well as the Journal of Fixed Income, the Journal of Investment Management and the Journal of Alternative Investments.

Arik is a member of the editorial board of the Journal of Portfolio Management. And one of his papers received the Martello Award for Best Practitioner Paper in 2007. Additionally, in 2018, he ranked 1st in the Institutional Investor All-America Fixed Income Research survey in the Quantitative Analysis category. Prior to Barclays, Arik worked at Lehman Brothers and Morgan Stanley. In addition, he holds a doctorate in finance. From the Kellogg Business School at Northwestern University. And finally, completed both her Bachelor of Arts and Master of Arts in Economics, from Tel Aviv University, Cum Laude.

Cornell Financial Engineering Future of Finance Conference in Manhattan

The Changing Landscape of Quantitative Investing: Cornell Financial Engineering Manhattan Futures of Finance 2022 Speaker Profile

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