Quantitative Aspects of Algorithmic Equity Trading
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Date: 11-29-2007
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Robert Almgren, Bank of America Securities
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT
The straightforward business of execution agency trades in equities and related assets has a surprising degree of quantitative interest. The goal is achieve "best execution", but what that means in different contexts is not always immediately obvious. It always involves market impact costs on the one hand, and usually some notion of variance on the other hand. We will review the overall business of equity trading and the tools that are available. Then we will discuss some of the subtle aspects of the balance between risk and reward, how this changes depending on how results are reported, and how this can be implemented in practical trading strategies. (Some work joint with Julian Lorenz, ETH Zurich.)
BIO
Robert Almgren is a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group in the Equities
division of Bank of America Securities. He and his group develop new agency algorithmic trading strategies for equities and futures, as
well as trading cost analysis and other quantitative issues associated with
equity trading.
Before joining Bank of America, Dr Almgren was an associate professor of Mathematics and Computer Science at the University of Toronto, and Director of the Mathematical Finance program. Before that, he was an assistant professor of mathematics at the University of Chicago and
Associate Director of the Program on Financial Mathematics. He is currently an adjunct faculty member at New York University Courant
Institute's Mathematics in Finance Program. He holds a PhD in Applied and Computational Mathematics from Princeton University. Dr Almgren has an extensive research record in a broad range of applied mathematics, especially fluid dynamics, free boundary problems, and dynamic optimization. In finance, he has written a number of papers on optimal trading strategies, on equity trading cost measurement, and on portfolio formation from ordering information.
*There will be a cocktail following the event.
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