Advancing the Field of Quantitative Finance
formerly the IAFE

Event: High-Frequency Finance and Quantitive Strategies Workshop
Date: December 11-12, 2009

Courant Institute, NYU

251 Mercer Street, Room 109

The International Association of Financial Engineers is pleased to endorse


High-Frequency Finance and Quantitive Strategies Workshop

December 11-12, 2009

8:30 AM - 5:00 PM

Courant Institute, NYU

251 Mercer St, Room 109


IAFE Members only: Select the "group" option when registering to receive a discounted rate of $750.


This two day workshop provides a thorough coverage of quantitative investment management and high-frequency trading, including topics such as:

- Financial market microstructure for the practitioner and the mechanics of trading

- How to work with high frequency dataCommon 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 techniquesBack-testing strategies

- Multi-period dynamic portfolio optimization with transaction costs

The sessions are given by industry veterans and academics from 8:30 a.m. to 5 p.m. over the two days. Continental breakfast and afternoon refreshments are provided.  

Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques. Prerequisites for the workshop are undergraduate linear algebra, probability theory and some knowledge of mathematical finance at the level of a first term in an M.S. program. Some basic programming skills are a plus.

Information and Registration:

For more information and registration please see