High-Frequency Finance and Quantitative Strategies
June 10-12, 2009
Courant Institute, Room 109, 251 Mercer Street
New York, NY 10012
This 3-day workshop provides a thorough coverage of 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 workshop. Sessions are held 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.
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.