Events / Thalesians Series

About The Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.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.

Call For Speakers

If you are interested in speaking at one of the upcoming seminars, please email info@iaqf.org

Past Seminars

About The Organizer

Harvey Stein is a senior VP in the Labs group at Two Sigma. From 1993 to 2022, Dr. Stein was at Bloomberg, where he served as the head of several departments including Quantitative Risk Analytics, Counterparty and Credit Risk, Interest Rates Derivatives, and Quantitative Finance R&D. Harvey is well known in the industry, having published and lectured on credit risk modeling, financial regulation, interest rate and FX modeling, CVA calculations, mortgage backed security valuation, COVID-19 data analysis, and other subjects.

Dr. Stein is on the board of directors of the IAQF, a board member of the Rutgers University Mathematical Finance program, an adjunct professor at Columbia University, and organizer of the IAQF/Thalesians financial seminar series. He's also worked as a quant researcher on the Bloomberg for President campaign.

Dr. Stein holds a Ph.D. in Mathematics from the University of California, Berkeley (1991) and a B.S. in Mathematics from Worcester Polytechnic Institute (1982).

 



Upcoming Seminars

    • 14 Feb 2023
    • 6:00 PM (EST)
    • Fordham University: McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    McNally Amphitheater

    140 West 62nd Street

    New York, NY 10023

    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.


    Proof of Vaccination Upon Entry is Required for In-Person Attendees


    Abstract:

    How can a market making algorithm use information in the order book when computing bid and ask quotes? Market making models, such as Avellaneda and Stoikov (2008), compute bids and asks around the midprice, to minimize inventory risk. In practice, the midprice may be a poor estimate of the fair value, particularly for cryptocurrencies, where the tick size is relatively small. Using Bitcoin data, I backtest market-making strategies around the midprice, as well as other microstructure adjusted prices. In particular, a new definition of fair price, which we call the Volume Adjusted Mid Price (VAMP) consistently outperforms the mid price, from the perspective of a market maker.

    Bio:

    Sasha Stoikov has 15 years of experience at the interface of academia, startups and the finance industry. He is a Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM) and was a VP of High Frequency trading at Cantor Fitzgerald. He has also launched a music tech startup called Piki.

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