Conference Program


DAY 1:  THURSDAY, JULY 19, 2012
CONFERENCE KICK-OFF (Stevens Institute of Technology - Debaun Auditorium)

Registration and Welcome (Babbio Center Atrium)

Brunch sponsored by Thomson Reuters 

1:30pm  Opening Remarks and Introduction - Ionut Florescu, Stevens Institute of Technology, Conference Chair 
1:35pm Welcome to Stevens - Sean Hanlon, Chairman, CEO, & Chief Investment Officer
Hanlon Investment Management, Inc., & Chairman, Financial Systems Center, Advisory Board

Conference Kickoff Keynote Talk - Scott O’Malia, Commissioner of the Commodity Futures Trading Commission (CFTC)

Perspectives on High Frequency Data in Finance


Keynote Talk - Alain Chaboud, Senior Economist, International Finance, Board of Governors of the Federal Reserve System 

Algorithmic Trading in the Foreign Exchange Market: Good Thing, Bad Thing, or No Big Deal?

PLENARY SESSION: Market Fragmentation, Portfolio Management and Regulatory Aspects

Anatoly Schmidt, Business Development & Research, ICAP Electronic Broking

High-frequency trading in the modern institutional spot FX market


Petter Kolm, Director Mathematics in Finance M.S. program at Courant Institute, NYU

Examining High Frequency Trading Strategies: Implementation, Profitability and Risk 

Costis Maglaras, and Hua Zhang Graduate School of Business, Columbia University. 

Optimal Order Routing in a Fragmented Market


Graduate Student Talk - Dragos Bozdog, FE and Mathematics, Stevens Institute of Technology

Methods for Detection and Analysis of Rare Events in High-Frequency Financial Data


Dinner Keynote Talk: Andrei Kirilenko, Chief Economist of the Commodity Futures Trading Commission (CFTC)

Complexity of Electronic Markets


Dinner & Networking:  Sponsored by the Financial Systems Center at Stevens Institute of Technology.

Location: Babbio Atrium


DAY 2:  FRIDAY, JULY 20, 2012
Stevens Institute of Technology - Debaun Auditorium
9am Overview of the day. H. Eugene Stanley, Director Center for Polymer Studies, Boston University and member of the National Academy of Science, Conference co-chair

Keynote talk: Rama Cont, Director Center for Financial Engineering, Columbia University, Director de Recherché CNRS, Paris, France, Chair SIAM group on Financial Mathematics and Engineering

Volatility and Liquidity in Electronic Limit Order Markets: Some Analytical Insights

 PLENARY SESSION: Market Microstructure and Order Book Dynamics

Sasha Stoikov, Head of research Cornell Financial Engineering Manhattan, Senior researcher, ORIE, Cornell University

Optimal Asset Liquidation using Limit Order Book Information


German Creamer, Business School, Stevens Institute of Technology

Can Corporate News Network Influence Volatility and Prices?


Nan Zhou and Cheng Wen, Quantitative Research, J.P. Morgan

Non-Linear Supervised High Frequency Trading Strategies with Applications in US Equity Markets


Brian Tivnan, Senior Principal Engineer, The MITRE Corporation

Financial Black Swans driven by Ultrafast machine ecology


Lunch sponsored by OneTick.

Location: Babbio Atrium.

Maria Belianina: High Frequency Data Analysis with OneTick


PLENARY SESSION: Estimation and Simulation Models

Tobias Preis, Founder and Managing Director Artemis Capital Asset Management GmbH, Boston University, University College London, Chair of Sociology at ETH Zurich

Quantifying Financial Market Fluctuations Using Big Data


Giray Okten, Department of Mathematics, Florida State University

Monte Carlo and Randomized Quasi-Monte Carlo methods on GPU


Olympia Hadjiliadis, Dept of Mathematics, Brooklyn College and Graduate Center, City University of New York 

The price of a market crash and drawdown insurance


Vladimir Filimonov, Chair of Entrepreneurial Risks, ETH Zurich, Swiss

Quantifying reflexivity in financial markets: towards a prediction of flash crashes


Axel Vischer, International Securities Exchange - Corporate Initiatives Eurex - Executive Office

Eurex – Adapting to a Changing Environment


Goong Chen, Department of Mathematical Sciences, Texas A&M University

Notes on the Fourier Spectrum of Functions and Oscillatory Curves


Graduate student talk Thomas Lonon, Math, Stevens Institute of Technology

Option Pricing Utilizing A Jump Diffusion Model With A Log Mixture Normal Jump Distribution


Graduate student talk Bahar Ghezelayagh, Dept of Economics, U. of East Anglia, UK

Scaling Properties of Intraday Foreign Exchange Rate Volatility




Special Session: The future of High frequency data analysis 


Alain Chaboud, Senior Economist, International Finance, Board of Governors of the Federal Reserve System

Sakda Chaiworawitkul, VicePresident, Global Commodities Linear Quantitative Research, J.P. Morgan Chase

Dennis Goett, Global Business Manager, Thomson Reuters Tick History

H. Eugene Stanley, Director Center for Polymer Studies, Boston University and member of the National Academy of Science, Conference co-chair


DAY 3:  Saturday, JULY 21, 2012
Stevens Institute of Technology - Babbio Auditorium
9am Overview of the Day: Frederi Viens, Director Computational Finance Program, Purdue University, Conference co-chair

Keynote talk: Peter Carr, Global Head of Market Modeling, Morgan Stanley and Executive Director of the Math. Finance program at Courant Institute, NYU

Crystal Ball Gazing, the Ross Recovery Theorem and SphericaL Harmonics

PLENARY SESSIONS: Volatility Modeling and Estimation

Natalia Sizova, Department of Economics, Rice University

Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability


Alexey Zemnitskiy, Founder & CEO, Snowfall Systems, Inc.  

Computational challenges in HF Volatility Estimation


Ciamac Moallemi: Graduate School of Business, Columbia University

Dynamic Portfolio Choice with Linear Rebalancing Rules


Josef Barunik, Charles University and Academy of Sciences, Czech Republic

Realized Wavelet Jump-Garch Model: Can Wavelet Decomposition Of Volatility Improve It'S Forecasting?


Lunch sponsored by Eurex.

Location Babbio Atrium


Robert Almgren Co-founder and Head of research for Quantitative Brokers and Adjunct professor, NYU

 The effects of information events on high frequency market data


Kurtas Erozan Assistant Director, U.S. Securities and Exchange Commission

Compliance and Risk Management in 21st Century

PLENARY SESSIONS: Option Pricing Models

Alexander Shklyarevsky, Global Markets Risk Management, Bank of America

Cross-fertilization of ODE, PDE, PIDE and related analytical approaches used in Physics and in UHF Data and Quantitative Finance Modeling


Indranil Sengupta, Dept of Mathematical Sciences, University of Texas at El Paso

Levy models and scale invariance properties applied to Geophysics


Ruihua Liu, Dept of Mathematics, University of Dayton

Optimal Investment and Consumption Problem in Regime-Switching Model


Andrea Collevecchio, Dept of Economy, Universita di Venezia, Italy

Generalized attachment models with multiple choices


Ciprian Tudor, Professor Universite de Lille 1 and Paris 1, Sorbonne, France

Multifractal processes and fractional Brownian motion


Irene Aldrige, ABLE Alpha Trading LTD

Transaction Costs and Liquidity: The Cause and Effect


Graduate student talk: Geng Jiang, Dept of Mathematics, Florida State University

Non-parametric  calibration of the local volatility surface for European Options


Graduate student talk: Ludovic Tangpi, Humboldt University, Berlin, Germany

Financial Model Calibration based on Quadratic Backward Stochastic Differential  Equations


Graduate student talk: Yuta Koike, University of Tokio, Japan

An Estimator for the cumulative Co-Volatility of nonsynchronously observed Semimartingales with jumps and noise

7:00pm Poster Session

Dinner & Networking: Provided by the conference organizers.

Location: Babbio Atrium


DAY 4:  SUNDAY, JULY 22, 2012
Stevens Institute of Technology - Burchard Auditorium
9am Overview of the day: Maria C. Mariani, Director Department of Mathematical Sciences, University of Texas at El Paso, Conference co-chair

Keynote talk: Rosario N. Mantegna, Founder Observatory of Complex System, Professor Universita di Palermo

Statistically validated networks of market members trading at the LSE electronic and off-book market


Hasanjan Sayit, Dept of Mathematical Sciences, Worcester Polytechnic Institute

Consistent Price Systems in Multi-Asset Markets


Takaki Hayashi, Graduate School of Business Administration, Keio University, Japan

Does volume precede price?: A view from high-frequency data analysis


Terry Stratoudakis, Executive Director, Wall Street FPGA, LLC

Survey of High Performance Computing in Financial Services


Maria Pia Beccar-Varela, Dept of Mathematics, University of Texas at El Paso

Levy models and long correlations applied to high frequency data


K.K. Thampi, Dept. of Mathematics and Statistics, Mahatma Gandhi University, India

Asymptotic behavior of finite time ruin probabilities of a dependent risk model with constant force of interest


Hao Yu: Dept of Statistical and Actuarial Sciences, University of Western Ontario, Ca

On the model identifiability of the general multivariate GARCH model


Cheng Gao and Bruce Mizrach, Business School, Rutgers University

Market Quality Breakdowns in Equity


Graduate Student talk: Rebecca Davis, Dept of Mathematics, UTEP

ARMA-GARCH models applied to Exchange-Traded Funds


Graduate Student talk: Francis Biney, Dept of Mathematics, UTEP

Study Of Volatility Structures in Geophysics and Finance Using GARCH Models


Graduate Student talk: Pavel Bezdek, Dept of Mathematics, University of Texas at El Paso

Numerical Solutions for Option Pricing Models Including Transaction Cost and Stochastic Volatility

The keynote talks are 35 minutes long + 10 minutes for questions
The invited speaker's talks are 25 min long + 5 min for questions
The graduate student's talks are 12 minutes + 3 min for questions