Financial Engineering Practitioners Seminar: Sercan Ozbay
Date: February 23, 2015 from 6:00 pm to 7:30 pm EST
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: Systematic Management of Market Making Inventories

Abstract: Increasing competition in traditional "high-touch" equities market making businesses has been driving the need for automation of many tasks that has been previously performed by human traders. Central management of market making inventories systematically has become the focal point of this automation effort in recent years. In this talk, we discuss business drivers and quantitative components that underlie systematic inventory management. We show how we formulate the problem as a portfolio optimization and execution problem. We also discuss transaction cost and risk models which are important components of the inventory management.

Bio: Nuri Sercan Ozbay is a Quantitative Researcher in Linear Quantitative Research at J.P. Morgan where he is responsible for developing algorithms and execution analytics for portfolio trading. He is currently focused on Central Inventory and Risk Management for Equities business. Prior to joining J.P. Morgan, he spent several years at Citigroup performing research in execution, market making, risk modelling and trading strategies in Equities. He holds a Ph.D. degree in Operations Research from Columbia University.