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The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


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Upcoming Events

    • 03 Oct 2023
    • 6:00 PM (EDT)
    • Fordham University: McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    McNally Amphitheater

    140 West 62nd Street

    New York, NY 10023

    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.

    Abstract:

    Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S. dollars. In the status quo, users broadcast transactions they wish to execute in the exchange and miners are responsible for composing a block of transactions and picking an execution ordering—the order in which transactions execute in the exchange. Due to the lack of a regulatory framework, it is common to observe miners exploiting their privileged position by front-running transactions and obtaining risk-free profits. Indeed, the Flashbots service institutionalizes this exploit, with miners auctioning the right to front-run transactions. In this work, we propose to modify the interaction between miners and users and initiate the study of verifiable sequencing rules. As in the status quo, miners can determine the content of a block; however, they commit to respecting a sequencing rule that constrains the execution ordering and is verifiable (there is a polynomial time algorithm that can verify if the execution ordering satisfies such constraints). Thus in the event a miner deviates from the sequencing rule, anyone can generate a proof of non-compliance. We ask if there are sequencing rules that limit price manipulation from miners in a two-token liquidity pool exchange. Our first result is an impossibility theorem: for any sequencing rule, there is an instance of user transactions where the miner can obtain non-zero risk-free profits. In light of this impossibility result, our main result is a verifiable sequencing rule that provides execution price guarantees for users. In particular, for any user transaction A, it ensures that either (1) the execution price of A is at least as good as if A was the only transaction in the block, or (2) the execution price of A is worse than this "standalone" price and the miner does not gain when including A in the block. Our framework does not require users to use countermeasures against predatory trading strategies, for example, set limit prices or split large transactions into smaller ones. This is likely to improve user experience relative to the status quo. Joint work with David C. Parkes. To appear at STOC 2023.

    Bio:

    Matheus Venturyne Xavier Ferreira is a Postdoctoral Fellow in Computer Science at Harvard John A. Paulson School of Engineering and Applied Sciences and starting in Summer 2024, he will be an Assistant Professor of Computer Science at the University of Virginia. He earned his Ph.D. (2022) and MA (2018) in Computer Science from Princeton University and his BS in Computer Engineering (2016) from the Federal University of Itajubá. His research interests include AI, Algorithmic Economics and Security. He applies artificial intelligence, optimization and theoretical computer science tools to create secure, transparent, and auditable platforms. For instance, he designs auctions that prevent auctioneers from profiting from manipulations.
    • 19 Oct 2023
    • 5:00 PM - 6:15 PM (EDT)
    • Zoom Panel
    Register

    Join the IAQF for virtual presentations and conversations with the winners of the IAQF Academic Paper Competition

    Join the IAQF for virtual presentations and conversations with the winners of the IAQF Academic Case Competition

    Thursday, October 19th

    5:00pm - 6:15pm

    Zoom Event

    Registration is Complimentary for All

    Moderator:

    Richard Lindsey, IAQF Board Chair

    Schedule of Events:

    Introductions & Presentation of Problem

    Questions to Each of the Team 

    Following an overview of the problem that students were asked to work on, the moderator will turn it over to each of the Teams who will have 10 minutes to discuss how they came to their conclusion.

    This will be followed by questions to the students 

    Participating Teams Are:

    Team 212 from University of California, Los Angeles, Master of Financial Engineering. The team was led by student team captain Tianchen Wang. Team members included Yahan Fu, Xiaoyue (Bruce) Li, Xiaobo Wei, Sumeng (Simon) Wu, and Kaiting (Michael) Zhao.

    Team 75bps from University of Chicago, Financial Mathematics Program The team was led by student team captain Sean Lin. Team members included Younghun Lee, Ivan Petrov, Rahul Agarwal, and Tobias Rodriguez del Pozo.

    Team QCF from Georgia Institute of Technology, Quantitative & Computational Finance The team was led by student team captain Eshwar Valady Hariharan. Team members included Daniel Alejandro Gordon Beltran, Kalai Karur Nagamani, and Biwei Tang.

    Team Neo RenTech from New York University, Tandon School of Engineering, Masters in Financial Engineering. The team was led by student team captain Aditya Daftari. Team members included Rahul Bhagtani, Raktim Roychoudhury, Mitun Lakshminarayanan, Chengzhe Su, and Joey Yue.

    Team Smile Like Volatility from New York University, Tandon School of Engineering, Masters in Financial Engineering. The team was led by student team captain Kaiyu Gu. Team members included Layla Li, Qi Peng, Ziyi Zhang, Jiaying Yang, and Xinyi Li.

Latest News

May 10, 2023

The IAQF Announces the Winners of the Twelfth Annual IAQF Academic Affiliate Membership Student Competition

May 10, 2023 – NEW YORK CITY The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Twelfth Annual Academic Affiliate Membership Student Competition. Twenty-four teams representing twelve academic programs submitted papers in response to this year's competition problem which focused on non-linear pairs trading. The full problem can be found on the IAQF Site here.

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Richard Roll

Richard Roll is the Linde Professor of Finance at the California Institute of Technology.  He is a professor emeritus at UCLA where held the Joel Fried Chair at the Anderson School.  He is a principal of Compensation Valuation, Inc., and a board member of Western Asset Mortgage Capital Corp.  His business experience also includes three years with the Boeing Company in the early 1960’s where he worked on the Minuteman missile and the Saturn moon rocket.  During 1985-87, he was a vice president of Goldman Sachs where he founded and directed the mortgage securities research group.  He directed Roll and Ross Asset Management for twenty years. 

Roll has a bachelor’s degree in aeronautical engineering from Auburn University and an MBA from the University of Washington.  His academic career began in 1968 with a Ph.D from the University of Chicago.  Subsequently, he was on the faculty at Carnegie-Mellon University, The European Institute for the Advanced Study of Management in Brussels, and the French business school, Hautes Etudes Commerciales, before joining UCLA in 1976.  He retired from UCLA and joined Caltech in 2014. 

Roll has published two books and more than 100 articles in peer-reviewed journals on a variety of topics.  His 1968 doctoral thesis won the Irving Fisher Prize as the best American dissertation in economics.  He has won the Graham and Dodd Award for financial writing (four times) and the Leo Melamed Award for the best financial research by an American business school professor.  In 2009, he was named Financial Engineer of the Year by the International Association of Financial Engineers.  He has received honorary doctorates from universities in both France and Germany.  He is past president of the American Finance Association and is a fellow of the Econometric Society.   

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