High-Frequency Finance and Quantitative Strategies
December 11-12, 2009
251 Mercer Street, Room 109
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
Sessions are held from 8:30 a.m. to 5 p.m. over the two days. Continental breakfast and afternoon refreshments are provided.
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 every day 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.