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Events Archive
Event: Workshop on High-Frequency Finance and Quantitative Strategies
Date: June 10-12, 2009
Location:
New York University
Courant Institute
251 Mercer Street, Room 109
New York City
The International Association of Financial Engineers is pleased to endorse
Workshop on High-Frequency Finance and Quantitative Strategies
June 10-12, 2009
New York University
Courant Institute
New York City
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
Registration for this event is closed.
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