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Events

Event: IAFE /Thalesians Seminar Series
Date: Wednesday, March 20, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
Location:
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
Concealing the trading footprint by determining the
Optimal Execution Horizon
A Talk by Marcos Lopez de Prado

 

ABSTRACT
Market Makers adjust their trading range to avoid being adversely selected by Informed Traders. Informed Traders reveal their future trading intentions when they alter the Order Flow. Consequently, Market Makers’ trading range is a function of the Order Flow imbalance. The Optimal Execution Horizon (OEH) algorithm takes into account order imbalance to determine the optimal participation rate, i.e. how much volume a trader needs to conceal his trading intentions.

BIOGRAPHY
Marcos López de Prado is the Head of Quantitative Trading & Research at Hess Energy Trading Company, the trading arm of Hess Corporation, a Fortune 100 company. Before that, Marcos was Head of Global Quantitative Research at Tudor Investment Corporation, where he also led High Frequency Futures Trading and several strategic initiatives. Marcos joined Tudor from PEAK6 Investments, where he was a Partner and ran the Statistical Arbitrage group at the Futures division. Prior to that, he was Head of Quantitative Equity Research at UBS Wealth Management, and a Portfolio Manager at Citadel Investment Group. In addition to his 15+ years of investment management experience, Marcos has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University, Visiting Scholar at Cornell University, and Research Affiliate at Lawrence Berkeley National Laboratory (U.S. Department of Energy’s Office of Science). He holds a Ph.D. in Financial Economics (Summa cum Laude, 2003), a Sc.D. in Mathematical Finance (Summa cum Laude, 2011) from Complutense University, is a recipient of the National Award for Excellence in Academic Performance by the Government of Spain (National Valedictorian, Economics, 1998), and was admitted into American Mensa with a perfect score. Marcos is a scientific advisor to Enthought's Python projects (NumPy, SciPy), and a member of the editorial board of the Journal of Investment Strategies (Risk Journals). His research has resulted in three international patent applications, several papers listed among the most read in Finance (SSRN), publications in the Review of Financial Studies, Mathematical Finance, Journal of Risk, Journal of Portfolio Management, etc. His current Erdös number is 3, with a valence of 2.

ABOUT THE SERIES
The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.

 


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