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Day 1 - December 10, 2010 (subject to change)
8:30-9:00 Registration and Opening Address
Petter Kolm, Director of Mathematics in Finance M.S. Program, Courant Institute
Morning Session (9:15-12:30)

Part I. Markets and Data

Lee Maclin
  • Mechanics of trading
    • Limit and market orders
    • The two-way double auction
    • Order placement rules
    • Exchange mechanisms
    • Order management systems and trading platforms
    • Direct market access pipes
  • Working with high frequency data
    • The TAQ data set
    • The Nasdaq aggregate data set

Part II. Optimal Execution and Market Impact Modeling

Petter Kolm

  • Introduction to the calculus of variations
  • Optimal execution of portfolio transactions
    • Permanent and temporary impact
    • Implementation shortfall
    • The Almgren-Chriss model
    • The efficient frontier of optimal execution
  • Market impact models
    • Almgren et al.
    • Models utilizing public data
Afternoon Session (1:30-5:00)

Part III. Robust Portfolio Optimization with Transaction Costs

Petter Kolm

  • The Black-Litterman model
  • Robust portfolio optimization
  • Incorporating transaction costs into portfolio optimization

Part IV. Time Series Modeling, Estimation and Filtering

Farshid Asl

  • Basic Overview of Financial Time Series Modeling
  • Parameter Estimation
  • Model Structure Selection
  • Filtering in Statistical Arbitrage
  • Hidden Markov Models (time permitting)

 

Day 2 - December 11, 2010 (subject to change)
Morning Session (8:30-12:30)

Part I. Dark Pools

Eran Fishler

  • Overview of dark pools
  • Trading using dark pools
  • Empirical performances and findings regarding dark pool performance

Part II. The Optimal Theta Framework

Lee Maclin
  • Introduction: Dynamic portfolio analysis
  • Traditional rebalancing
  • The dynamic portfolio framework
  • A simulation framework for dynamic portfolio analysis
  • Optimal betting (Optimal f) and optimal growth portfolios

 Afternoon Session (1:30-5:00)

Part III. Dynamic Portfolio Analysis

Petter Kolm

  • Stochastic Linear Quadratic Gaussian (LQG) Regulator
  • Dynamic portfolio analysis with transaction costs

Part IV. Factor-Based Quantitative Trading Strategies

Joseph Cerniglia

  • Quantitative trading strategies
  • Back-testing methodologies
  • Factor-based trading with transaction costs

 
 
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