Advancing the Field of Quantitative Finance
formerly the IAFE

Event: IAFE Technology Committee Event: Special Issues in High Frequency Trading
Date: June 7, 2011
Time: 5:30pm Registration, 6:00pm - Panel Discussion, 7:30pm - Reception


1290 6th Avenue, 6th Floor

New York, NY


The IAFE Technology Committee is pleased to invite you to

Special Issues in High Frequency Trading

June 7, 2011

5:30pm Registration
6:00pm Panel Discussion
7:30pm Reception

Hosted by:
1290 6th Avenue, 6th Floor
New York


Robert Almgren
Co-founder and Head of Research, Quantitative Brokers
and Fellow in Financial Mathematics
Courant Institute
New York University

Joel Hasbrouck
Kenneth G. Langone Professor of Business Administration

and Professor of Finance

Stern School of Business
New York University

Deborah Williams
IAFE Technology Committee Co-Chair and
Head of Marketing & Business Development,
R2 Financial Technologies

We will discuss the special quantitative and practical issues that arise in algorithmic trading of equities and futures. These markets have a number of special details that must be taken into account to design effective algorithms. The following questions will also be addressed: How can we infer HF activity? Can HF strategies trigger other strategies? What is the relation between HF activity and broader measures of market quality? How do specific features of market design affect HF strategy design?