Advancing the Field of Quantitative Finance
formerly the IAFE

Events Archive

Event: Workshop on High-Frequency Finance and Quantitative Strategies
Date: June 10-12, 2009

New York University

Courant Institute

251 Mercer Street, Room 109
New York City

The International Association of Financial Engineers is pleased to endorse

Workshop on High-Frequency Finance and Quantitative Strategies

June 10-12, 2009

New York University

Courant Institute

New York City

This 3-day workshop hosted by the Mathematics in Finance M.S. program at the Courant Institute, NYU provides a comprehensive introduction to quantitative investment management and high frequency trading:

  • Financial market microstructure for the practitioner
  • Mechanics of trading
  • Common trading strategies
  • How to work with high frequency data
  • Estimation of transaction costs and market impact models
  • Portfolio construction with the Black-Litterman model and robust optimization
  • Portfolio optimization with transaction cost
  • Optimal betting and execution strategies
  • Simulation techniques and back-testing strategies
  • Multi-period dynamic portfolio optimization with transaction costs
  • Performance measurement

Dynamic programming, econometrics and model risk mitigation techniques are covered throughout the course.

The classes are given by industry veterans and academics from 8:30 a.m. to 5 p.m. over the three days at the Courant Institute of Mathematical Sciences, Room 109, 251 Mercer St., New York, New York.


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.


Registration for this event is closed.