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High-Frequency Finance and Quantitative Strategies - June 10-12, 2009
Written by Petter Kolm   

New York University, Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012

This 3-day workshop hosted by the Mathematics in Finance M.S. program at the Courant Institute, NYU provides a comprehensive introduction to quantitative investment management and high frequency trading:




  • Financial market microstructure for the practitioner
  • Mechanics of trading
  • Common trading strategies
  • How to work with high frequency data
  • Estimation of transaction costs and market impact models
  • Portfolio construction with the Black-Litterman model and robust optimization
  • Portfolio optimization with transaction cost
  • Optimal betting and execution strategies
  • Simulation techniques and back-testing strategies
  • Multi-period dynamic portfolio optimization with transaction costs
  • Performance measurement

Dynamic programming, econometrics and model risk mitigation techniques are covered throughout the course.

The classes are given by industry veterans and academics from 8:30 a.m. to 5 p.m. over the three days at the Courant Institute of Mathematical Sciences, Room 109, 251 Mercer St., New York, New York.

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.

REGISTRATION
Register at www.cims.nyu.edu/~mathfcon

For questions or inquiries, send e-mail to This e-mail address is being protected from spambots. You need JavaScript enabled to view it