December 7, 2009
New York University will host a two-day workshop, “High-Frequency Finance and Quantitative Strategies,” December 11-12, at NYU’s Courant Institute of Mathematical Sciences (251 Mercer Street, Room 109 [enter on Gould Plaza on West Fourth Street at Greene Street]). Sessions will be held from 8:30 a.m. to 5 p.m. on both days. Speakers will include: Marco Avellaneda and Petter Kolm, both of the Courant Institute, and Lee Maclin, a founding partner of Pragma Financial Systems.
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 conference 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: financial market microstructure for the practitioner and the mechanics of trading; how to work with high frequency data; common trading strategies; estimation of transaction costs and market impact models; portfolio construction with the Black-Litterman model and robust optimization; portfolio optimization with transaction cost; simulation techniques; back-testing strategies; and multi-period dynamic portfolio optimization with transaction costs.
General registration fee is $900. Discounts apply to students and academics. For more information and a schedule of sessions, please visit the website.
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.
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