When it came time for college, he decided to try something new, majoring in economics and then finance, and digging into the. Deutsche bank markets research global quantitative strategy signal processing date. View the profiles of professionals named yin luo on linkedin. Yin luo was working on artificial intelligence and machine learning long before the terms entered the investing lexicon. Our inaugural dbaccess global quant conference 2017 will feature two. Signal processing strategy crowding part i deutsche bank. A new approach to trading and hedging risks david h. United states quantitative strategy the quant view date 4 march 2014. Mr luo is the chief quant quantitative analyst at deutsche bank, where his team has developed an ai algorithm that autonomously scours the financial system for investment opportunities, scraping unfathomably large data sets to. If you are willing to share me the draft version of your advanced portfolio management with rrmetrics book, i will be happy to give you feedbacksuggestions and maybe even contribute to some writings. Page 3 letter to our readers in a break with tradition, let us begin with what this report is not about. Yin luo, wall streets topranked quant analyst, has left deutsche bank ag to join wolfe research llc. Hsbc executives get leadership roles at bradesco investment bank. He stepped down in july as the global head of quantitative strategy after a sixyear stint.
Big data and machine learning have generated tremendous interest in empirical finance research. Prior to wolfe research, yin spent seven years as a managing director and global head of quan. Yin luo first learned to code when he was 11, after his father brought back to china a used apple ii. Journal of investment strategies risk journals, vol. Advances in cointegration and subset correlation hedging methods. Theory, index and practice date thursday, february 10, 2011 time 8.
According to yin luo, managing director and global head of quantitative strategy at deutsche bank securities, its a very promising area. Luo suggested, in general, there may be more postannouncement price drift when there is limited investor attention or distraction. Fintech wizard yin luo mines human language for hidden. What artificial intelligence predicts for stocks barrons. Luo was a topranked quantitative analyst at deutsche bank. Yin luo managing director and global head of quantitative strategy, deutsche bank. When it came time for college, he decided to try something new.
Yin luo, managing director, global head of quantitative strategy, deutsche bank. By yin luo, cfa, deutsche bank yin luo is a managing director and global head of quantitative strategy at deutsche bank. Prior to deutsche bank, he spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research. Limited attention, visibility, economics news, and corporate governance earnings surprise the difference between reported earnings and consensus earnings estimates as an indicator of future stock performance is not a new concept. Deutsche bank north american equity quantitative strategy. Below is one of the key takeaways from yin s presentation, showing how ravenpack factors add value as part of his weekly investment. Invites you to attend the fourth annual cqasia conference november 45, 2015 deutsche bank level 52, international commerce centre kowloon, hong kong. Deutsche bank does dobusiness companiescovered itsresearch reports. The bifurcation between small players using third party market flow data, and large hedge funds with inhouse research teams. A peek into the future adding structure to the web in this research, we use a database of structured web data from a company called recorded. Eligible investors may getexposure through overthecounter products. We interviewed coauthor rochester cahan, head of u. Thus, investors should firmmay have couldaffect report. Us regulators have not approved most foreign listed stock index futures and options for us investors.
Jul 26, 20 assessment of a supply chainbased indicator for stock trading july 29th, 20 10. Assessment of a supply chainbased indicator for stock trading. Growing up in northern china, luo learned to code at age 10. Complete references for all papers mentioned are available in the references section at the back of this report. Using news flow predictstock returns deutsche bank securities inc.
Yin luo, vice chairman quantitative research, economics, and strategy qes, wolfe research. See the complete profile on linkedin and discover yin s connections and. Cahan tells us how he and coauthor yin luo, head of the firms global quantitative strategy, took earlier studies of crowding furtheroffering insights into the future risks of crowding. Our aim is not to convince the reader that the minimum variance portfolio is a great.
Yin joined deutsche bank in new york in october 2009. Quantitative trading portfolio construction pricing. Harnessing the best global markets research ideas from academia. Yin luo, vice chairman quantitative research, economics, and strategy qes, wolfe research 11. Bloomberg finance lp, msci, deutsche bank quantitative strategy 8 0. Yin luo is a financial advisor with wr securities, llc. Lawrence berkeley national laboratory, yin luo deutsche bank, attilio meucci kepos capital, nyu, maureen ohara cornell university, riccardo rebonato pimco, university of oxford and luis viceira hbs.
Supported in part by the director, office of computational and technology research, division of mathematical. Advances in cointegration and subset correlation hedging methods abstract we divide hedging methods between singleperiod and multiperiod. Yin, javed, george, kevin and the quant team deutsche bank quantitative strategy. I bought your book portfolio management with rrmetrics and like it a lot. Aug 12, 2016 yin luo, wall streets topranked quant analyst, has left deutsche bank ag to join wolfe research llc.
In addition, members of the team regularly make presentations at academic seminars and industry conferences. Harnessing the best global markets research ideas from. Fintech wizard yin luo mines the human language for hidden meanings. To find out, barrons asked wolfe researchs yin luo, former star quant at deutsche bank us. Artificial intelligence can help you find patterns a human would never see.
Deutsche bank markets research north america united states quantitative strategy the quant view date 4 march 2014 the wisdom of crowds. Us regulators have approvedmost foreign listed stock index futures usinvestors. In this report we bridge the gap between frequency. That is what deutsche bank s yin luo focused on in his presentation, surprise. The event featured a keynote on big data and machine learning by yin luo, managing director, global head of quantitative strategy at deutsche bank. View ying shens profile on linkedin, the worlds largest professional community. Eligible investors may be able to get exposure through overthecounter products.
The machines warn of significant downside risks facing. Advanced portfolio management with rrmetrics grokbase. Deutsche bank history deutsche bank from 1870 until today rooted in germany global from the beginning. Deutsche bank from 1870 until today rooted in germany. Deutsche bank screenshow template qwafafew new york. Deutsche bank has provided the latest piece in the gvs newsletter series on behalf. View yin luo s profile on linkedin, the worlds largest professional community.
Luo joined deutsche bank in new york in october 2009. Deutsche bank quantitative products one publications. Yin, rocky, miguel, javed, and john deutsche bank north american equity quantitative strategy 1 see cahan et al. Limited attention, visibility, economics news, and corporate governance. Deutsche bank does and seeks to do business with companies covered in its research reports. Yin luo vice chairman wolfe research, llc linkedin. Page 3 a letter to our readers dont all run for the exits at once since we launched our quant research efforts here at db two years ago, we have tended to eschew the usual outlook for 201x reports. 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. Invites you to attend the fourth annual cqasia conference. Mr luo is the chief quant quantitative analyst at deutsche bank, where his team has developed an ai algorithm that. Yin luos strategy still beats the benchmark the globe. In this report we bridge the gap between frequency arbitrage. Qp1 prepares technical white papers which are made available to clients of deutsche banks equity businesses. Prior to wolfe research, yin was a managing director and global head of quantitative strategy at deutsche bank.
Yin luo, md, north american head of quantitative strategy, deutsche bank. In the meantime, bloomberg also reports that yin luo. Yin luo is a managing director and global head of quantitative strategy at deutsche bankprior to deutsche bank, yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research. Deutschebank markets research global quantitative strategy signal processing date september2014 seven sins quantitativeinvesting db quant handbook, part ii deutschebank securities inc. Yin luo joined wolfe research in september 2016, as a vice chairman to lead qes research. See the complete profile on linkedin and discover yins connections and. Prior to deutsche bank, yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research.
Estimize coverage on the russell 3000 universe 0 200 400 600 800. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. View yin luos profile on linkedin, the worlds largest professional community. Deutsche bank from 1870 until today rooted in germany global. A new approach to trading and hedging risks abstract a basket is a set of instruments that are held together because its statistical profile delivers a desired goal, such as hedging or trading, which cannot be achieved through the individual constituents or even subsets of them. Bloomberg finance lp, factset deutsche bank quantitative strategy. Before deutsche bank, he spent over 12 years in investment banking and management consul. 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.
Lookahead bias using data that were unknown it is the bias created by using information or data that were unknown or unavailable as of the time when the backtesting was conducted. May 18, 20 i bought your book portfolio management with rrmetrics and like it a lot. Thus, investors should be aware that the firm may have a. Investors should consider singlefactor investmentdecision. Digitiing intelligence artificial intelligence report q1. Ask yin luo or our advisors a question, view yin luo s ratings, experience, qualifications, primary clients, articles or publications, professional designations, membership associations, firm services or. Practical applications of standing out from the crowd. Before joining boutique research firm wolfe in 2016, luo was a topranked quantitative analyst at deutsche bank. Quantitative strategy at deutsche bank securities 1 in new york. Yin luo, md, north american head of quantitative strategy, deutsche bank 1. Yin luo, cfastudy the factset revere supply chain database and show how por yin. Deutsche bank north american quantitative strategy. Javed jussa the socially responsible quant deutsche bank. Luo is managing director and global head of quantitative strategy at deutsche bank.
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