Conference Program

 

DAY 1:  THURSDAY, JULY 19, 2012
CONFERENCE KICK-OFF (Stevens Institute of Technology - Debaun Auditorium)
11am

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
1:45pm

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

Perspectives on High Frequency Data in Finance

2:45pm

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
3:40pm

Anatoly Schmidt, Business Development & Research, ICAP Electronic Broking

High-frequency trading in the modern institutional spot FX market

4:10pm

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

Examining High Frequency Trading Strategies: Implementation, Profitability and Risk 
4:50pm

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

Optimal Order Routing in a Fragmented Market

5:20pm

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

5:45pm

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

Complexity of Electronic Markets

6:30pm 

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
9:10am 

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
10:10am

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

Optimal Asset Liquidation using Limit Order Book Information

10:40am

German Creamer, Business School, Stevens Institute of Technology

Can Corporate News Network Influence Volatility and Prices?

11:20am

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

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

12:10pm

Brian Tivnan, Senior Principal Engineer, The MITRE Corporation

Financial Black Swans driven by Ultrafast machine ecology

12:40

Lunch sponsored by OneTick.

Location: Babbio Atrium.

Maria Belianina: High Frequency Data Analysis with OneTick

 

PLENARY SESSION: Estimation and Simulation Models
2:00pm

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

2:30pm

Giray Okten, Department of Mathematics, Florida State University

Monte Carlo and Randomized Quasi-Monte Carlo methods on GPU

3:10pm

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

The price of a market crash and drawdown insurance

3:40pm

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

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

4:20pm

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

Eurex – Adapting to a Changing Environment

4:50pm

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

Notes on the Fourier Spectrum of Functions and Oscillatory Curves

5:30pm 

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

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

5:45pm

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

Scaling Properties of Intraday Foreign Exchange Rate Volatility

 

 

 6:00pm

Special Session: The future of High frequency data analysis 

Pannelists: 

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
9:10am 

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
10:10am

Natalia Sizova, Department of Economics, Rice University

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

10:40am

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

Computational challenges in HF Volatility Estimation

11:20am

Ciamac Moallemi: Graduate School of Business, Columbia University

Dynamic Portfolio Choice with Linear Rebalancing Rules

11:50am

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

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

12:20pm

Lunch sponsored by Eurex.

Location Babbio Atrium

2:00pm

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

2:30pm

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

Compliance and Risk Management in 21st Century

PLENARY SESSIONS: Option Pricing Models
3:20pm

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

3:50pm

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

Levy models and scale invariance properties applied to Geophysics

4:20pm

Ruihua Liu, Dept of Mathematics, University of Dayton

Optimal Investment and Consumption Problem in Regime-Switching Model

5:00pm

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

Generalized attachment models with multiple choices

5:30pm

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

Multifractal processes and fractional Brownian motion

6:10pm

Irene Aldrige, ABLE Alpha Trading LTD

Transaction Costs and Liquidity: The Cause and Effect

6:25pm

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

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

6:40pm

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

Financial Model Calibration based on Quadratic Backward Stochastic Differential  Equations

6:55pm

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
7:10pm 

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
9:10am 

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

PLENARY SESSIONS
10:00am

Hasanjan Sayit, Dept of Mathematical Sciences, Worcester Polytechnic Institute

Consistent Price Systems in Multi-Asset Markets

10:30am

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

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

11:10am

Terry Stratoudakis, Executive Director, Wall Street FPGA, LLC

Survey of High Performance Computing in Financial Services

11:40am 

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

Levy models and long correlations applied to high frequency data

12:20pm

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

12:50pm

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

On the model identifiability of the general multivariate GARCH model

1:20pm

Cheng Gao and Bruce Mizrach, Business School, Rutgers University

Market Quality Breakdowns in Equity

1:45pm

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

ARMA-GARCH models applied to Exchange-Traded Funds

2:00pm

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

Study Of Volatility Structures in Geophysics and Finance Using GARCH Models

2:15pm

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

Note:
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