Alpha generation through algorithmic trading

Thursday, November 3, 2011

08:30 Registration and coffee

09:00 Incorporating algorithmic trading strategies into your quant portfolio: balancing different alpha decay, transaction costs and risk

The role of portfolio construction, risk analysis, and execution in the traditional vs. modern view of money management
Dynamic portfolio analysis and multi-period dynamic portfolio optimization
Strategies with different alpha decay and market impact cost
Examples of this framework to high-frequency trading and factor-based equity strategies

Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Associate Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY

10:30 Morning break

11:00 Alpha generation and quantitative trading

Statistical arbitrage, the carry trade and trend following
Trade sizing, stop losses and other risk management tools
Developing quality backtesting procedures
Linkages between strategic and tactical investing
Using control charts to monitor algorithmic performance

Elliot Noma, Managing Director, GARRETT ASSET MANAGEMENT

12:45 Lunch

13:45 Trade scheduling algorithms: Part 1

Balancing execution cost against volatility risk
Incorporating price signals and varying liquidity

Robert Almgren, Co-founder, QUANTITATIVE BROKERS and Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Science, NYU

14:45 Trade scheduling algorithms: Part 2

Dynamic estimates of trading cost
Using market-specific information to improve trade performance

Robert Almgren, Co-founder, QUANTITATIVE BROKERS and Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Science, NYU

15:15 Afternoon break

15:45 Microstructure of interest rate futures

The growing importance of non-equity markets
The importance of exchange market design

Robert Almgren, Co-founder, QUANTITATIVE BROKERS and Visiting Scholar and Adjunct professor in Financial Mathematics Courant Institute of Mathematical Science, NYU

17:00 End of the seminar