Event Details
Quantitative Challenges in Algorithmic Trading
- Event Date: February 13, 2009
- Event End Date: February 13, 2009
- Event Start Time: 12:10 PM
- Event End Time: 1:00 PM
- Event Location: Hill 525, Friday, 3:00-4:00pm
- Event Type: Career Workshops
- Extra Info: Quantitative Brokers and New York University
Robert Almgren: The simple execution of large transactions in equity markets and other markets is a very large and important business, and contains surprising quantitative challenges. In particular, modern execution algorithms are highly adaptive: responding to changes in market conditions and price levels as set by clients. We discuss a number of quantitative problems encountered by these algorithms, the kind of mathematical analysis that is needed to solve them properly, and how they are implemented in actual practice.