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Next Boston QWAFAFEW Meeting:  Tuesday, 20 Mar 2018

March 20 @ 6:00 pm - 8:00 pm

| $30

Next Boston QWAFAFEW Meeting: 
Tuesday, 20 Mar 2018

 

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org

Mailing List and Payment Link: http://boston.qwafafew.org/

Machine Learning Takeovers
 

A QWAFAFEW discussion led by:

Yin Luo
 

Abstract
The upside from participating a takeover transaction before the deal is announced is enormous. However, predicting takeover targets has long been proven to be extremely difficult. In this research, we first explore a large number of both traditional and innovative factors that can help us identify target firms. Furthermore, we study a wide range of sophisticated machine learning techniques (e.g., SVM, boosting, random forest, ANN) in rare event prediction. Our SMAP (Systematic Merge and Acquisition Prediction) model has achieved high accuracy. Lastly, we show two user cases of how to use the SMAP – either buying the firms with high probabilities of being taken over or avoiding to short the target companies in the short book.

If time permits, Yin will discuss:

The Silk Road to China

Abstract

With over 1,000 large-cap stocks, tremendous trading liquidity, and alpha opportunities, China’s domestic equity market (aka China A) offers great investment opportunities. However, there are also unique features and challenges in China, from data and vendor selection, factor construction, to market microstructure issues. We compare the differences of using global vs local data vendors and GICS vs local industry classification. We discuss the unique features in designing factors and seasonal patterns in China A shares. We extend our machine learning global stock-selection model – LEAP to China. LEAP-China model achieves a Sharpe ratio of 3.0x.

Bio

Yin Luo joined Wolfe Research, LLC in September 2016, as a Vice Chairman to lead the coverage of quantitative research, economics, and portfolio strategy (QES). Prior to Wolfe Research, Yin was a Managing Director and Global Head of Quantitative Strategy at Deutsche Bank. Yin started at Deutsche Bank in New York in October 2009 and in seven years, he built a world class quantitative and macro research franchise. Before arriving at Deutsche Bank, he spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research, fundamental research, portfolio management, investment banking and consulting.

Yin has been ranked #1 in Institutional Investor magazine’s II-All America equity research survey in quantitative research for the past six years (2011-2016), and top ranked in the Accounting & Tax Policy and Portfolio Strategy sectors. At Deutsche Bank, Yin also led the team and achieved #1 ranking in II-Europe and II-Asia surveys. In 2016 and 2017, Yin was selected to the UPstanding’s top 100 ethnic-minority executives in the US and UK by the Financial Times.

Yin holds a Bachelor of Economics degree from Renmin University of China, a MBA in Finance from University of Windsor, and a Master of Management and Professional Accounting from University of Toronto. He is a CFA charterholder, a U.S. CPA, a CGMA (Chartered Global Management Accountant), and a PStat (Professional Statistician). Mr. Luo is also an Adjunct Professor of Finance at Renmin University of China.

Please RSVP hugh@QWAFAFEW.org
Mailing List and Payment Link: http://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)
http://qwafafew.org/BostonPayDues.html

By Bitcoin
Send us Bitcoin, our address is:
153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH  03811
bostonqwafafewbilling@gmail.com

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (eg: two twenties = $40 Guest Fee).

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:

 

Steerage Committee
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy (Dinners)
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome.

RSVP to: hugh@QWAFAFEW.org

Mailing List and Payment Link: http://boston.qwafafew.org/

Details

Date:
March 20
Time:
6:00 pm - 8:00 pm
Cost:
$30

Venue

Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map