New York University Skip to Content Skip to Search Skip to Navigation Skip to Sub Navigation

The Future of Investing Focus of NYU Workshop On High-Frequency Finance and Quantitative Strategies, Dec. 11-12

December 7, 2009
N-175, 2009-10

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 james.devitt@nyu.edu.


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.

This Press Release is in the following Topics:
Courant Institute of Mathematical Sciences, Events and Traditions

Type: Press Release


Search News



NYU In the News

CUSP Unveils its “Urban Observatory”

Crain’s New York Business profiled CUSP’s “Urban Observatory” that is continuously photographing lower Manhattan to gather scientific data.

Post-Sandy Upgrades at the Langone Medical Center

NY1 reported on the major post-Sandy upgrades and renovations made at the Medical Center to protect the hospital from future catastrophic storms.

Steinhardt Research Helps Solve Tough Speech Problems.

The Wall Street Journal reported on research at Steinhardt’s Department of Communicative Sciences and Disorders, including an interview with Assistant Professor Tara McAllister Byun, that uses ultrasound to help solve tough speech problems.

Times Column Lauds Professor Stevenson’s New Memoir

New York Times columnist Nicholas Kristof wrote a column about “Just Mercy,” a new memoir by Law Professor Bryan Stevenson, the founder of the Equal Justice Initiative, whom he noted has been called America’s Nelson Mandela.

Entrepreneurship Lab Opens at NYU

Crain’s New York Business covered the opening of the Mark and Debra Leslie Entrepreneurial eLab, which will be the headquarters for NYU’s Entrepreneurial Institute and all of the University’s programs aimed at promoting innovation and startups.

NYU Footer