Quant Summit Asia Virtual

Tuesday 24 November 2020 |

9:00 am

– 5:00 pm

Date:

Tuesday 24 November 2020

Start Time:

9:00 am

Venue:

Digital event

Organiser:

About Event

Quant Summit Asia conference

Quant Summit Asia will bring together top quants to deliver their latest research and insights in quantitative finance. Key themes include:

• Machine Learning in pricing and risk management
• Portfolio Construction
• Initial Margin / MVA / CVA
• Smart Beta / Factor Investing
• LIBOR reform
• Model risk, quantum computing
• Volatility modelling and products

Programme

Programme: https://events.risk.net/quantsummitasia/programme

SESAMm Presentation:

ESG and Sentiment Data with Machine Learning to Improve Volatility Forecasting Models

Building alternative data indicators of Sentiment & ESG based on Natural Language Processing on news, blogs, social discussions
Forecasting the STOXX600’s least & most volatile stocks
Leveraging these technologies to:
- Build quantitative strategies
- Provide quantitative and discretionary ESG insights as alerts and scores

Sylvain Forté, SESAMm

Damien Vergnaud, LFIS

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