Pre-congress seminar two

Algorithmic trading: execution, optimization and alpha generation

Tuesday July 12, 2011

Led by:

Marco Avellaneda, Professor of Mathematics, Courant Institute of Mathematical Sciences, NYU (Risk Awards 2010, Quant of the Year)

Robert Almgren, Co-founder, QUANTITATIVE BROKERS and Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Science, NYU

08.00 Registration and coffee

09.00 Introduction to algorithmic trading

The growing importance of algorithmic execution
The different types of execution algorithms
The importance of market details

Marco Avellaneda, Professor of Mathematics, Courant Institute of Mathematical Sciences, NYU (Risk Awards 2010, Quant of the Year)

10.30 Morning break

11.00 Alpha generation and quantitative trading

Pairs trading
Dynamic risk management
Importance of good execution

Marco Avellaneda, Professor of Mathematics, Courant Institute of Mathematical Sciences, NYU (Risk Awards 2010, Quant of the Year)

12.30 Lunch

13.30 Trade scheduling algorithms

Balancing execution cost against volatility risk
Incorporating price signals and varying liquidity
Dynamic estimates of trading cost

Robert Almgren, Co-founder, QUANTITATIVE BROKERS and Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Science, NYU

15.00 Afternoon break

15.30 Microstructure of interest rate futures

The growing importance of non-equity markets
The importance of exchange market design
The interrelation among different interest rate products