Advancing the Field of Quantitative Finance
formerly the IAFE

Event: Algorithmic Trading: A Buy-Side Perspective

Date: May 27th, 2009
Time: 5:30 Registration and coffee reception
6:00-7:30 Event
Location:
Goldman Sachs

180 Maiden Lane

New York
Description:

International Association of Financial Engineers presents

An IAFE Practitioner and Academic Level Members Only Tutorial

Algorithmic Trading: A Buy-Side Perspective

Wednesday, May 27th, 2009
5:30 Registration and Coffee Reception
6:00-7:30 Event

Location:

Goldman Sachs

180 Maiden Lane

New York

Presented by

Petter Kolm, Deputy Director

Mathematics in Finance M.S. Program

Courant Institute, New York University

 

Event Description:

The traditional view of portfolio construction, risk analysis, and execution holds that these three functions of money management are separable. Portfolios are constructed without incorporating the costs of execution, and execution is conducted without considering portfolio level risk. With the explosive growth of algorithmic trading, several mathematical and computational methodologies have been proposed for unifying and improving traditional money management functions. This presentation addresses some important developments in this area, including:

  • Incorporating market impact costs into portfolio optimization
  • Multi-period dynamic portfolio analysis
  • High-frequency simulation for dynamic portfolio analysis
  • Market microstructure effects during the quant turmoil of August 2007 (time permitting)

 

This event is for academic and practitioner level IAFE members only. No student registrations will be accepted. Registration for this event is closed.