Insights from the spring seminar of Inquire Europe by Maximilian Sauer, EDHEC PhD in Finance candidate

You attended the latest Inquire Europe Conference in Southampton at the end of March. Could you please describe your overall experience briefly?

INQUIRE was a great way to get to know the European quant finance industry. Unlike most other conferences, it is not based solely on academic research presentations. Rather, the programme included a dinner on Sunday and a social activity on Monday evening. I had enriching conversations with both younger colleagues and industry veterans. One lasting impression is that our industry is still relatively small, especially in Europe, and one should make an effort to get to know fellow quants. Overall I really enjoyed this conference and I certainly encourage EDHEC to promote participation to their PhD students. 

You are head of research of an investment boutique that develops and implements global Total-Return and Absolute-Return strategies based on quantitative analysis; in relation to your activity what do you take away from this conference?

The large impact activist investors and short sellers can have on the performance of individual names as discussed by Prof. Saffi* in his presentation. Many quant models focus on a large cross-section of stocks and ignore such events.

Was there a specific presentation that you found particularly interesting and impactful?

I have a long standing curiosity for the connection between political uncertainty and asset pricing - indeed it was the primary focus of my undergraduate dissertation. Hence for me it was great to hear Prof. Pietro Veronesi** (University of Chicago) who is one of the world’s experts on the topic discuss the evolution of his research over the last decade.

You will defend your PhD dissertation very soon, could you introduce the topic and share some insights?

My dissertation is broadly concerned with the application of machine learning in asset pricing. In my first paper I show that there is no cost to interpretability by introducing a GlassBox model which is ex-ante interpretable. In my second paper I show that the strength of machine learning truly lies in predicting idiosyncratic stock returns - as opposed to „risk factors“ which are the basis of the arbitrage pricing theory.

During the seminar there were obviously only a few opportunities to share this with participants. But nevertheless when 100+ quants meet you always take something away.

* "Power Grab: Hedge Fund Activists and Short Sellers" by Pedro Saffi, Cambridge Judge Business School,

** "Political Risk" by Pietro Veronesi, University of Chicago Booth School of Business. Prof. Veronesi is one of these outstanding scholars who design and deliver elective courses for the EDHEC PhD in Finance programme which correspond to their areas of expertise: Macroeconomics and Political Uncertainty, or Fixed Income for Prof. Veronesi. 

============================================================

The Institute for Quantitative Research in Europe (Inquire Europe) was founded to bring together investment professionals with an interest in developing quantitative solutions to financial and investment challenges. Members of Inquire Europe represent a diverse spectrum of institutions, including banks, stock brokers, consulting firms, insurance companies, investment advisors, independent money managers, and pension funds. Notably, EDHEC Business School holds the distinction of being the first academic member of Inquire Europe. The biannual conference serves as a key forum for members and industry leaders to gather and exchange insights. As part of our EDHEC membership, we have the privilege of hearing from Maximilian Sauer, EDHEC PhD candidate (executive track), and we thank him for sharing his valuable experience with us. 
 

Full programme of the Inquire conference is available here.

EDHEC PhD experience 

EDHEC PhD Participants profile