April 17-20, 2016
Fairmont Washington D.C., Georgetown
Reception and Informal Buffet Dinner
Remarks: James H. Scott, Jr.
President, Q Group
Continental Breakfast
Transaction Costs, Trade Throughs and Riskless Principal Trading in Corporate Bond Markets
Larry Harris, Fred V. Keenan Chair in Finance, Professor of Finance and Business Economics, Marshall School of Business, USC
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On the Role of Financial Innovation and Quantitative Finance in Financial Stability and Economic Growth: 50 Years of the Past into the Impending Future
Robert C. Merton, School of Management Distinguished Professor of Finance, MIT Sloan School of Management and Resident Scientist, Dimensional Holdings, Inc. London
Speaker Presentation
Lunch Break and One-on-One Time
Size Matters, If You Control Your Junk
Tobias Moskowitz, Fama Family Professor of Finance, University of Chicago, Booth School of Business
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Low Risk Anomalies?
Paul Schneider, University of Lugano and Swiss Finance Institute
Christian Wagner, Copenhagen Business School
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A New Look at Liquidity
Robert Engle, Michael Armellino Professor of Management Financial Services, Stern School of Business and Director of Volatility Institute
Speaker Presentation
The Credit Spread Puzzle in the Merton Model—Myth or Reality?
Peter Feldhutter, London Business School
Stephen Schaefer, London Business School
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Reception and Keynote Banquet
David and Goliath: Who Wins the Game of Quantitative Investing?
John C. Bogle, Founder, Vanguard Group
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Continental Breakfast
Quantifying Behavioral Finance
Robert J. Shiller, Sterling Professor of Economics, Yale University
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Mispricing Factors
Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, Wharton School, University of Pennsylvania
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Membership Meeting of the Institute
Lunch Break and One-on-One Time
Spectral Portfolio Theory
Andrew Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management and Director of the MIT Laboratory for Financial Engineering
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Looking to the Future
Moderator: Martin L. Leibowitz, Managing Director, Morgan Stanley
Panelists: Andrew Lo, Robert C. Merton, Stephen A. Ross, and Jeremy Siegel
Reception
International Spy Museum
800 F Street, NW
Drinks and heavy hor d’oeuvres
Shuttle bus transportation beginning at 7pm
Continental Breakfast
Testing Strategies Based on Multiple Signals
Robert Novy-Marx, Lori and Alan S. Zekelman Professor of Business Administration, Simon Business School, University of Rochester
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Some Notes on Fixed Income
Stephen A. Ross, Franco Modigliani Professor of Financial Economics, MIT and Managing Director, Ross, Jeffrey & Antle, LLC
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Adjournment
The Fairmont Scottsdale Princess
Scottsdale, Arizona
October 9-12, 2016
For additional information or questions, please email Kathleen Stevens at kstevens@q-group.org or call (203) 340-2165 or (203) 644-0206.