NYU's Kolm Available for Comment On High-Frequency Trading


New York University’s Petter Kolm, co-author of the forthcoming Quantitative Equity Investing: Techniques and Strategies, is available for comment on high-frequency trading and its use of algorithms as well as the practice of quantitative finance and asset management.

The growth of high-frequency trading, in which traders use computer algorithms to rapidly make millions of transactions, has caught the attention of the Security and Exchange Commission, which plans to issue a discussion paper on the practice in early 2010.

Less understood are how high-frequency trading actually works and its benefits and limitations. New York University’s Petter Kolm, co-author of the forthcoming Quantitative Equity Investing: Techniques and Strategies, is available for comment on high-frequency trading and its use of algorithms as well as the practice of quantitative finance and asset management.

Kolm, a clinical associate professor of mathematics and the deputy director of the Mathematics in Finance M.S. Program at NYU’s Courant Institute of Mathematical Sciences, conducts research and teaches in the areas of portfolio management, financial econometrics, high-frequency finance, quantitative trading strategies, robust optimal portfolio strategies, and transaction cost modeling. Quantitative Equity Investing: Techniques and Strategies (John Wiley, March 2010) is co-authored with Frank Fabozzi, a professor in the practice of finance at Yale University’s School of Management, and Sergio Focardi, a professor of finance at the EDHEC Business School in Nice and the founding partner of the Paris-based consulting firm The Intertek Group.

Kolm’s other published works include: Robust Portfolio Optimization and Management (2007); Trends in Quantitative Finance (2006); and, Financial Modeling of the Equity Markets: CAPM to Cointegration (2006). The latter was among the “Top 10 Technical Books” selected by Financial Engineering News in 2006.

Reporters interested in speaking with Kolm should contact James Devitt, NYU’s Office of Public Affairs at 212.998.6808 or 500

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