2023 Monash-Q Group finance colloquium
The Department of Banking and Finance, the Q group, the Monash Centre for Financial Studies, and the Monash Centre for Quantitative Finance and Investment Strategies are pleased to host this event.
The aim of the colloquium is to bring together academics and practitioners to discuss issues of relevance in quantitative investment management. The program will consist of a panel discussion on climate risk, and a series of presentations by both academics and practitioners on a breadth of finance topics.
This event has been jointly hosted by Monash University and the Q group since 2005.
Speakers
Mike Aked, Scientific Beta
Mr Aked, CFA is Senior Investment Strategist for Australia & New Zealand at Scientific Beta, a provider of multi-factor and ESG equity indices. Prior to joining Scientific Beta, Mr Aked held positions responsible for equity and asset allocation research and investing at Research Affiliates, Sunsuper (an Australian superannuation fund), and at UBS Global Asset Management across four continents.
Mr Aked has published articles on investment and implementation and is a frequent contributor of editorials in national newspapers across Australia. He is also a Senior Advisor at the Monash Business School mentoring the next generation. Mr Aked received a BA with honours in applied mathematics from the University of Sydney, an MS in statistics from the University of Virginia, and an MS in financial mathematics from the University of Chicago. He holds the Chartered Financial Analyst designation and is a member of both the CFA Society Melbourne and Q-Group Australia.
Roger Cohen, C2Zero
Mr Cohen has worked across academia and industry for most of his career. He was part of the founding team at BetaShares and has held senior roles at Macquarie Bank, Deutsche Bank and NatWest Markets, primarily in delta one and index trading.
He is the founder and CEO of C2Zero, an impact focused business enabling its customers to stop polluters polluting without buying carbon credits. He has lectured in risk management to engineering students at the University of Sydney and is a senior adviser at the Monash Centre for Financial Studies. Mr Cohen was a Fulbright Scholar in the USA in 1988 and is a Fellow of the Financial Services Institute of Australia.
Andrew Dallimore, Department of Banking and Finance
Mr Dallimore is a final-year PhD student in the Department of Banking and Finance at Monash University. His research areas are Asset Pricing and Behavioural Finance, with a focus on investor attention and short interest.
His current research encompasses both the Australian and US markets. While completing his PhD on a part-time basis, he is working in the financial advice industry, an industry he previously worked in before beginning his candidature at Monash.
Dr Hasan Fallahgoul, Monash Centre for Quantitative Finance and Investment Strategies
Dr Fallahgoul is a Senior Lecturer at the School of Mathematics at Monash University. He has a strong background in finance and economics, having completed postdoctoral positions at both the Swiss Finance Institute at EPFL and the European Center for Advanced Research in Economics and Statistics (ECARES) at the Free University of Brussels.
He holds a PhD in Applied Probability and Statistics and has over two years of experience in risk management at Tejarat Bank. Dr Fallahgoul's research interests are focused on financial econometrics, asset allocation, risk management, and the application of AI/ML in finance. He also serves on the editorial board of the Journal of Financial Data Science.
Gareth Hurst, Platypus Asset Management
Mr Hurst joined Platypus in April 2019 adding to the in-house research and portfolio management capabilities of the quantitative team. He previously held the position of Investment Analyst at First State Super working on developing in-house quantitative models and the research process.
Mr Hurst holds a Bachelor of Commerce (Honours) degree and a PhD in Finance, both from the University of Newcastle. His research is published in top academic journals, such as the Journal of Financial and Quantitative Analysis and Pacific Basin Finance Journal.
Professor Deep Kapur, Monash Centre for Financial Studies
Professor Kapur, a Professor of Practice at Monash Business School, serves as Deputy Dean of External Engagement and Director of the Monash Centre for Financial Studies. He's a member of the Rest superannuation fund's Board Investment Committee. In addition, he provides strategic advice to various private companies in which he has an economic interest.
Professor Kapur's 28-year tenure in the global investment banking and asset management industry includes Managing Director positions with Salomon Smith Barney, Citigroup Global Markets, Daiwa Capital Markets, and Symphony Financial Partners, an event-driven hedge fund group. His investment experience encompasses systematic and discretionary strategies for all significant asset classes and liquidity profiles. He has pursued activist investing, managed asset allocation portfolios for institutional clients, and led large teams developing systematic alpha strategies, risk management tools, and portfolio trading applications.
He has a PhD in Economics from the Australian National University, earned in 1989 for a thesis that contradicts the efficient markets hypothesis. Professor Kapur has intellectual roots in behavioural finance and has commercialized academic research insights at various points in his career.
Daniel Melser, National Australia Bank (NAB), Department of Econometrics and Business Statistics
Mr Melser works at NAB in the credit risk modelling and climate risk areas. Prior to this he was involved in formulating ANZ’s response to APRA’s Climate Vulnerability Assessment.
He is also a Senior Research Fellow in the Department of Econometrics and Business Statistics at Monash Business School. Currently he is working on an ARC project to construct commercial real estate price indexes for Australia. Mr Melser's main research interests are in real estate, climate risk modelling, stress testing, and urban and regional economics. he has a PhD in Economics from UNSW.
Allison Miller, AustralianSuper
Ms Miller is a Senior Portfolio Manager in AustralianSuper’s internal systematic equities team. From 2014 to 2020, Ms Miller worked in Risk and Quant Equities roles at Victorian Funds Management Corporation (VFMC).
Prior to VFMC, Ms Miller worked in a variety of ESG, investment compliance and portfolio construction and trading support roles at Capital Group in their London and Los Angeles offices. She began her career as an ESG analyst for a boutique research firm in Washington DC.
Ms Miller has a BA (Hons) in International Relations from Brown University and a Master of Economics (Hons) from the University of Melbourne. She is also a CFA charter holder and holds the Advanced Risk and Portfolio Management (ARPM) certificate in quantitative portfolio management.
Dr Nga Pham, Monash Centre for Financial Studies
Dr Pham is a senior research fellow at the Monash Centre for Financial Studies (MCFS). She works on issues related to pensions, corporate governance, modern slavery, and shareholder activism.
Dr Pham currently co-chairs the Financial Capital Committee of the International Corporate Governance Network (ICGN). Before that, she was a member of the Disclosure and Transparency Committee of ICGN. Dr Pham is also a consultant at the International Finance Corporation (IFC), a member of the World Bank Group. Her work with the IFC involves firm advisory services, regulatory advocacy, and market capacity building in corporate governance for companies in Vietnam.
André Roberts, Invesco Quantitative Strategies
Mr Roberts, based in Melbourne, is a Senior Portfolio Manager in the Invesco Quantitative Strategies (IQS) team.
He is responsible for managing IQS Australia’s equity portfolios and has extensive experience in Australian equities markets (fundamental, active quant and index), working in quantitative portfolio management, research, investment solutions and systems development. Prior to joining Invesco in February 2018, Mr Roberts was with IFM Investors, BlackRock and County Investment Management.
Mr Roberts is a CFA® charterholder and board member of the CFA Society of Melbourne, of which he is a past president. He holds a Bachelor of Science in statistics and a post-graduate diploma in econometrics from Monash University.
Professor Chris Veld, Department of Banking and Finance
Professor Veld holds a PhD from Tilburg University in the Netherlands (1992). Before joining Monash, Professor Veld has held positions at Tilburg University, Simon Fraser University (Canada), the University of Stirling (Scotland), and the University of Glasgow (Scotland).
In addition, he has held visiting positions at McGill University (Canada), York University (Canada), the University of Melbourne, and the University of Tampa (US). His research interests are mostly in Household Finance, Behavioral Finance, and Empirical Corporate Finance.
Winnie Wong, HESTA
Ms Wong, CFA is an Associate Investment Manager in HESTA's portfolio construction and risk team. Prior to HESTA, Ms Wong worked in asset allocation, equity research, investment management and institutional banking at Westpac, National Australia Bank and Acorn Capital across their Asian and Australian offices.
Ms Wong serves on the Board of the CFA Society Melbourne and chairs the University Engagement committee to build and strengthen university partnerships. She is also an active member of the Compliance Connection at the CFA Institute.
Ms Wong's has an interest in the future of healthcare. She founded Assisted Outing, a social enterprise that focuses on accessible tourism for people with disability. She is currently an Associate Investigator and a member of the Community Reference Panel at the Walter and Eliza Hall Institute of Medical Research.
She is a CFA Charterholder and holds a Bachelor of Commerce (Honours) - Actuarial Studies from University of Melbourne and a Master of Laws (Juris Doctor) from Monash University.
Jiahao Wu, Monash Centre for Quantitative Finance and Investment Strategies
Ms Wu is a 4th year PhD student in mathematics at Monash University. She received her Master in Financial Mathematics from Monash University, and the project in her last semester led her to start the journey in research in mathematics.
Her current work focuses on applying deep learning in American option pricing and hedging under the supervision of Dr Ivan Guo and Dr Nicolas Langrené.
Haiying Yin, Department of Banking and Finance
Ms Yin is a third-year PhD student in finance at Monash University. She received her Master’s degree in accounting from Xiamen University in China.
Her current work focuses on household/retail investor behaviour under the supervision of Professor Chris Veld and Dr Yushui Shi. In her work, she aims to understand the impact of psychological consequences of trauma on financial risk-taking behaviour.
Program
Contact
For more details on this event contact Associate Professor Philip Gharghori via email: philip.gharghori@monash.edu
Event Details
- Date:
- 24 March 2023 at 8:30 am – 5:30 pm
- Venue:
- Monash Conference Centre, 30 Collins Street Melbourne, VIC 3000
- Categories:
- Banking and Finance; Monash Centre for Financial Studies
Description
The Department of Banking and Finance, the Q group, the Monash Centre for Financial Studies, and the Monash Centre for Quantitative Finance and Investment Strategies are pleased to host this event.
The aim of the colloquium is to bring together academics and practitioners to discuss issues of relevance in quantitative investment management. The program will consist of a panel discussion on climate risk, and a series of presentations by both academics and practitioners on a breadth of finance topics.
This event has been jointly hosted by Monash University and the Q group since 2005.
Speakers
Mike Aked, Scientific Beta
Mr Aked, CFA is Senior Investment Strategist for Australia & New Zealand at Scientific Beta, a provider of multi-factor and ESG equity indices. Prior to joining Scientific Beta, Mr Aked held positions responsible for equity and asset allocation research and investing at Research Affiliates, Sunsuper (an Australian superannuation fund), and at UBS Global Asset Management across four continents.
Mr Aked has published articles on investment and implementation and is a frequent contributor of editorials in national newspapers across Australia. He is also a Senior Advisor at the Monash Business School mentoring the next generation. Mr Aked received a BA with honours in applied mathematics from the University of Sydney, an MS in statistics from the University of Virginia, and an MS in financial mathematics from the University of Chicago. He holds the Chartered Financial Analyst designation and is a member of both the CFA Society Melbourne and Q-Group Australia.
Roger Cohen, C2Zero
Mr Cohen has worked across academia and industry for most of his career. He was part of the founding team at BetaShares and has held senior roles at Macquarie Bank, Deutsche Bank and NatWest Markets, primarily in delta one and index trading.
He is the founder and CEO of C2Zero, an impact focused business enabling its customers to stop polluters polluting without buying carbon credits. He has lectured in risk management to engineering students at the University of Sydney and is a senior adviser at the Monash Centre for Financial Studies. Mr Cohen was a Fulbright Scholar in the USA in 1988 and is a Fellow of the Financial Services Institute of Australia.
Andrew Dallimore, Department of Banking and Finance
Mr Dallimore is a final-year PhD student in the Department of Banking and Finance at Monash University. His research areas are Asset Pricing and Behavioural Finance, with a focus on investor attention and short interest.
His current research encompasses both the Australian and US markets. While completing his PhD on a part-time basis, he is working in the financial advice industry, an industry he previously worked in before beginning his candidature at Monash.
Dr Hasan Fallahgoul, Monash Centre for Quantitative Finance and Investment Strategies
Dr Fallahgoul is a Senior Lecturer at the School of Mathematics at Monash University. He has a strong background in finance and economics, having completed postdoctoral positions at both the Swiss Finance Institute at EPFL and the European Center for Advanced Research in Economics and Statistics (ECARES) at the Free University of Brussels.
He holds a PhD in Applied Probability and Statistics and has over two years of experience in risk management at Tejarat Bank. Dr Fallahgoul's research interests are focused on financial econometrics, asset allocation, risk management, and the application of AI/ML in finance. He also serves on the editorial board of the Journal of Financial Data Science.
Gareth Hurst, Platypus Asset Management
Mr Hurst joined Platypus in April 2019 adding to the in-house research and portfolio management capabilities of the quantitative team. He previously held the position of Investment Analyst at First State Super working on developing in-house quantitative models and the research process.
Mr Hurst holds a Bachelor of Commerce (Honours) degree and a PhD in Finance, both from the University of Newcastle. His research is published in top academic journals, such as the Journal of Financial and Quantitative Analysis and Pacific Basin Finance Journal.
Professor Deep Kapur, Monash Centre for Financial Studies
Professor Kapur, a Professor of Practice at Monash Business School, serves as Deputy Dean of External Engagement and Director of the Monash Centre for Financial Studies. He's a member of the Rest superannuation fund's Board Investment Committee. In addition, he provides strategic advice to various private companies in which he has an economic interest.
Professor Kapur's 28-year tenure in the global investment banking and asset management industry includes Managing Director positions with Salomon Smith Barney, Citigroup Global Markets, Daiwa Capital Markets, and Symphony Financial Partners, an event-driven hedge fund group. His investment experience encompasses systematic and discretionary strategies for all significant asset classes and liquidity profiles. He has pursued activist investing, managed asset allocation portfolios for institutional clients, and led large teams developing systematic alpha strategies, risk management tools, and portfolio trading applications.
He has a PhD in Economics from the Australian National University, earned in 1989 for a thesis that contradicts the efficient markets hypothesis. Professor Kapur has intellectual roots in behavioural finance and has commercialized academic research insights at various points in his career.
Daniel Melser, National Australia Bank (NAB), Department of Econometrics and Business Statistics
Mr Melser works at NAB in the credit risk modelling and climate risk areas. Prior to this he was involved in formulating ANZ’s response to APRA’s Climate Vulnerability Assessment.
He is also a Senior Research Fellow in the Department of Econometrics and Business Statistics at Monash Business School. Currently he is working on an ARC project to construct commercial real estate price indexes for Australia. Mr Melser's main research interests are in real estate, climate risk modelling, stress testing, and urban and regional economics. he has a PhD in Economics from UNSW.
Allison Miller, AustralianSuper
Ms Miller is a Senior Portfolio Manager in AustralianSuper’s internal systematic equities team. From 2014 to 2020, Ms Miller worked in Risk and Quant Equities roles at Victorian Funds Management Corporation (VFMC).
Prior to VFMC, Ms Miller worked in a variety of ESG, investment compliance and portfolio construction and trading support roles at Capital Group in their London and Los Angeles offices. She began her career as an ESG analyst for a boutique research firm in Washington DC.
Ms Miller has a BA (Hons) in International Relations from Brown University and a Master of Economics (Hons) from the University of Melbourne. She is also a CFA charter holder and holds the Advanced Risk and Portfolio Management (ARPM) certificate in quantitative portfolio management.
Dr Nga Pham, Monash Centre for Financial Studies
Dr Pham is a senior research fellow at the Monash Centre for Financial Studies (MCFS). She works on issues related to pensions, corporate governance, modern slavery, and shareholder activism.
Dr Pham currently co-chairs the Financial Capital Committee of the International Corporate Governance Network (ICGN). Before that, she was a member of the Disclosure and Transparency Committee of ICGN. Dr Pham is also a consultant at the International Finance Corporation (IFC), a member of the World Bank Group. Her work with the IFC involves firm advisory services, regulatory advocacy, and market capacity building in corporate governance for companies in Vietnam.
André Roberts, Invesco Quantitative Strategies
Mr Roberts, based in Melbourne, is a Senior Portfolio Manager in the Invesco Quantitative Strategies (IQS) team.
He is responsible for managing IQS Australia’s equity portfolios and has extensive experience in Australian equities markets (fundamental, active quant and index), working in quantitative portfolio management, research, investment solutions and systems development. Prior to joining Invesco in February 2018, Mr Roberts was with IFM Investors, BlackRock and County Investment Management.
Mr Roberts is a CFA® charterholder and board member of the CFA Society of Melbourne, of which he is a past president. He holds a Bachelor of Science in statistics and a post-graduate diploma in econometrics from Monash University.
Professor Chris Veld, Department of Banking and Finance
Professor Veld holds a PhD from Tilburg University in the Netherlands (1992). Before joining Monash, Professor Veld has held positions at Tilburg University, Simon Fraser University (Canada), the University of Stirling (Scotland), and the University of Glasgow (Scotland).
In addition, he has held visiting positions at McGill University (Canada), York University (Canada), the University of Melbourne, and the University of Tampa (US). His research interests are mostly in Household Finance, Behavioral Finance, and Empirical Corporate Finance.
Winnie Wong, HESTA
Ms Wong, CFA is an Associate Investment Manager in HESTA's portfolio construction and risk team. Prior to HESTA, Ms Wong worked in asset allocation, equity research, investment management and institutional banking at Westpac, National Australia Bank and Acorn Capital across their Asian and Australian offices.
Ms Wong serves on the Board of the CFA Society Melbourne and chairs the University Engagement committee to build and strengthen university partnerships. She is also an active member of the Compliance Connection at the CFA Institute.
Ms Wong's has an interest in the future of healthcare. She founded Assisted Outing, a social enterprise that focuses on accessible tourism for people with disability. She is currently an Associate Investigator and a member of the Community Reference Panel at the Walter and Eliza Hall Institute of Medical Research.
She is a CFA Charterholder and holds a Bachelor of Commerce (Honours) - Actuarial Studies from University of Melbourne and a Master of Laws (Juris Doctor) from Monash University.
Jiahao Wu, Monash Centre for Quantitative Finance and Investment Strategies
Ms Wu is a 4th year PhD student in mathematics at Monash University. She received her Master in Financial Mathematics from Monash University, and the project in her last semester led her to start the journey in research in mathematics.
Her current work focuses on applying deep learning in American option pricing and hedging under the supervision of Dr Ivan Guo and Dr Nicolas Langrené.
Haiying Yin, Department of Banking and Finance
Ms Yin is a third-year PhD student in finance at Monash University. She received her Master’s degree in accounting from Xiamen University in China.
Her current work focuses on household/retail investor behaviour under the supervision of Professor Chris Veld and Dr Yushui Shi. In her work, she aims to understand the impact of psychological consequences of trauma on financial risk-taking behaviour.
Program
Contact
For more details on this event contact Associate Professor Philip Gharghori via email: philip.gharghori@monash.edu