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High-Frequency Finance and Quantitative Strategies
December 11-12, 2009
New York University, Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012
December 11-12, 2009
New York University, Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012
This two day workshop provides a thorough coverage of quantitative investment management and high-frequency trading, including topics such as:
Financial market microstructure for the practitioner and the mechanics of trading
How to work with high frequency data
Common trading strategies
Estimation of transaction costs and market impact models
Portfolio construction with the Black-Litterman model and robust optimization
Portfolio optimization with transaction cost
Simulation techniques
Back-testing strategies
Multi-period dynamic portfolio optimization with transaction costs
The sessions are given by industry veterans and academics from 8:30 a.m. to 5 p.m. over the two days. Continental breakfast and afternoon refreshments are provided.
Audience
Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.
Prerequisites for the workshop are undergraduate linear algebra, probability theory and some knowledge of mathematical finance at the level of a first term in an M.S. program. Some basic programming skills are a plus.
Information and Registration:
For more information and registration please see
About1209
For questions or inquiries, send e-mail to mathfcon@cims.nyu.edu
