Financial Engineering Practitioners Seminar: Robert Almgren
Date: October 06, 2014 from 6:00 pm to 7:30 pm EDT
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to .
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Title: Using a Market Simulator to Develop Execution Algorithms

A market simulator is an essential tool for the development of high-frequency trading strategies. Many trading shops have such a tool, but the details are rarely presented publically. We will present the principles of constructing a simulator with especial emphasis on interest rates futures products, taking account of the special features of these markets such as pro rata matching, implied liquidity, and pricing signals. Comparison with actual trade executions lets us make a quantitative assessment of the validity of the simulator across a range of futures products.

Robert Almgren, co-founder of Quantitative Brokers, providing agency algorithmic execution and cost measurement in futures and fixed income, and Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Bank of America. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of 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. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including papers on optimal trading, transaction cost measurement, and portfolio construction.