June 2, 2009
New York University will host a three-day workshop, “High-Frequency Finance and Quantitative Strategies,” June 10-12, at NYU’s Courant Institute of Mathematical Sciences (251 Mercer Street, Room 109 [enter on Gould Plaza on West Fourth Street at Greene Street]). Reporters interested in attending the workshop must RSVP to James Devitt, NYU’s Office of Public Affairs, at 212.998.6808 or firstname.lastname@example.org.
General registration fee is $900. Discounts apply to students and academics. For more information and a schedule of sessions, click here.
Algorithmic trading employs computer programs to enter trade orders, with algorithms used to decide the timing, price, and quantity of the order. This practice is widely used by hedge funds, pension funds, and mutual funds. Sophisticated quantitative investors were the first ones to combine algorithmic trading with other quantitative trading strategies to obtain an edge in today’s competitive markets. This workshop will present the foundations and the recent developments in these areas that by many are considered “the future of investing.”
Topics of this workshop include: construction of price impact models using public and non-public data; estimation of bias-free covariance matrices and factor models; integration of portfolio construction and optimal execution; cost-aware portfolio optimization; and dynamic multi-period portfolio optimization with transaction costs. Speakers include: Marco Avellaneda, a professor at NYU’s Courant Institute of Mathematical Sciences; Petter Kolm, deputy director of the Mathematics in Finance Masters Program at Courant; and Lee Maclin, a founding partner of Pragma Financial Systems.
The event is organized by the Mathematics in Finance Masters Program at NYU’s Courant Institute.
EDITOR’S NOTE: New York University’s Courant Institute of Mathematical Sciences is a leading center for research and education. Established under the leadership of Richard Courant in 1935, the Courant Institute has contributed to U.S. and international science and engineering by promoting an integrated view of mathematics and computer science. The Institute is engaged in broad research activities, applying these disciplines to problems in biology, chemistry, physics, economics, and atmosphere-ocean science. The Courant Institute has played a central role in the development of applied mathematics, analysis, and computer science, and is comprised of a faculty which has received numerous national and international awards in recognition of their extraordinary research accomplishments. For more information please visit www.cims.nyu.edu.
Type: Press Release