2. Time Event Location
9:00 - 9:40 a.m.
Registration and Opening Remarks
Continental Breakfast
Bissinger, Howe Center 4fl
9:40 - 10:20 a.m.
Keynote Lecture: Good and Less Good Trends in Quantitative Finance
Emanuel Derman, Columbia University
Bissinger, Howe Center 4fl
10:20 - 10:30 a.m. Break
10:30 - 11:00 a.m.
Portfolio Theory in Terms of Partial Covariance
Alec Schmidt, Kensho
Bissinger, Howe Center 4fl
11:00 - 11:30 a.m.
Performing Intraday Portfolio Analysis and Optimization with High
Frequency Market Data
Stephanie Toper, Portfolio Effect
Bissinger, Howe Center 4fl
11:30 - 11:40 a.m. Break - Sponsored by OneTick
11:40 - 12:10 p.m.
Portfolio Liquidity Estimation and Optimal Execution
Ciamac Moallemi, Columbia University
Bissinger, Howe Center 4fl
12:10 - 12:50 p.m.
Keynote Lecture: Mean Field Games for Market Making with Transaction
Cost and Asymmetric Price Impact
Xin Guo, University of California, Berkeley
Bissinger, Howe Center 4fl
12:50 p.m. - 2:00 p.m.
Lunch Sponsored by the School of Business
10 Min. Presentation: Finance Programs and Research on Dynamic
Programming and Machine Learning in Finance at School of Business
Dr. Germán G. Creamer & Dr. Ricardo Collado, Stevens Institute of Technology
Bissinger, Howe Center 4fl
2:00 - 2:30 p.m. A Fireside Chat: John Schwall, COO and Co-Founder of IEX Bissinger, Howe Center 4fl
2:30 - 3:00 p.m.
High-Frequency Cross-Market Trading: Model Free Measurement and
Applications
Ernst Schaumburg, Federal Reserve
Bissinger, Howe Center 4fl
3:00 - 3:10 p.m. Break
3:10 - 3:40 p.m.
Hanlon Lab: High Frequency Data and Projects
Ionut Florescu, Stevens Institute of Technology
Bissinger, Howe Center 4fl
3:40 - 4:10 p.m.
Quantum Support Vector Machines
Rupak Chatterjee, Stevens Institute of Technology
Bissinger, Howe Center 4fl
4:10 - 4:20 p.m. Break - Sponsored by OneTick
4:20 - 5:00 p.m.
Keynote Lecture: Thoughts on Complex Systems and Why Practical Risk
Management Fails to Deliver
Bluford Putnam, CME Group
Bissinger, Howe Center 4fl
5:00 - 5:20 p.m. Break
STUDENT PRESENTATIONS
5:20 - 5:35 p.m.
The Most Predictive Energy Search Terms
Mohamad Afkhami, Stevens Institute of Technology
Babbio Center, 122
5:35 - 5:50 p.m.
A Model for Queue Position Valuation
Kai Yuan, Columbia University
Babbio Center, 122
5:50 - 6:05 p.m.
Ensemble Methods for Measuring Dynamics of Limit Order Books
Jian Wang, Florida State University
Babbio Center, 122
6:05 - 6:15 p.m. Break
6:15 - 6:30 p.m.
SHIFT Project: A Tool for Teaching and Research
Thiago Winkler & Ziwen Ye, Stevens Institute of Technology
Babbio Center, 122
6:30 - 6:45 p.m.
Optimal Placement of a Small Order Under a Diffusive Limit Order Book Model
Hyoeun Lee, Purdue University
Babbio Center, 122
6:45 - 7:00 p.m.
An Invesitgation of Dark Pools and High Frequency Trading Using Multi-
Agent Simulations
Cheuk Mo, Stevens Institute of Technology
Babbio Center, 122
7:00 - 9:30 p.m. Dinner Babbio Center, Atrium
THURSDAY,NOVEMBER3,2016
DAY 1 11/3
CONFERENCE PROGRAM
3. 11/4DAY 2
FRIDAY,NOVEMBER4,2016
Time Event Location
9:00 - 9:30 a.m. Continental Breakfast Bissinger, Howe Center 4fl
9:30 - 10:10 a.m.
Keynote Lecture: Event Modeling for High Frequency Trading
Robert Almgren, Quantitative Brokers
Bissinger, Howe Center 4fl
10:10 - 10:20 a.m. Break - Sponsored by OneTick
10:20 - 10:50 a.m.
Risk and Return in High–Frequency Trading
Andrei Kirilenko, Imperial College Business School, UK
Bissinger, Howe Center 4fl
10:50 - 11:20 a.m.
Latency Arbitrage in Fragmented Markets: A Strategic Agent-Based
Analysis
Elaine Wah, IEX Trading
Bissinger, Howe Center 4fl
11:20 - 11:30 a.m. Break Bissinger, Howe Center 4fl
11:30 a.m. - 12:00 p.m.
Circuit Breakers in China’s Financial Markets
Kun Li, Beijing Normal University
Bissinger, Howe Center 4fl
12:00 - 12:40 p.m.
Keynote Lecture: Vol Skew and Smile Trading
Peter Carr, NYU Tandon School of Engineering
Bissinger, Howe Center 4fl
12:40 - 1:50 p.m.
Lunch - Sponsored by the Financial Engineering Division,
Stevens Institute of Technology
Bissinger, Howe Center 4fl
1:50 - 2:30 p.m.
Keynote Lecture: Trading Networks of Market Members at NASDAQ
Nordic OMX Exchange
Rosario Mantegna, Central European University
Bissinger, Howe Center 4fl
2:30 - 3:00 p.m.
Poster Session
Networking and Idea Exchange
Cocktails sponsored by Wiley
Babbio Center, Atrium
3:00 - 5:00 p.m. Data Provider Presentations
Babbio Center, BC 110;
Hanlon II
5:00 - 6:00 p.m.
Transportation to Dinner Cruise/Boarding
5:30 p.m.: 1st Bus from Babbio Center to Lincoln Harbor Yacht Club Marina
5:50 p.m.: 2nd Bus from Babbio Center to Lincoln Harbor Yacht Club Marina
6:30 p.m.: Cruise Departs
Conference Site and
Weehawken, New Jersey
6:30 - 9:30 p.m. Dinner Cruise Weehawken, New Jersey
Transportation from Dinner Cruise to Babbio Center
9:30 p.m.: Cruise Returns to Port
9:35 p.m.: 1st Bus from Lincoln Harbor Yacht Club Marina
to Babbio Center
9:55 p.m.: 2nd Bus from Lincoln Harbor Yacht Club Marina to Babbio
Center (if necessary)
hfsl.stevens.edu/hff_conference
Babbio Center
Gatehouse (Campus Police)
Wesley J. Howe Center - 4th floor
Bissinger Room
Stevens Institute of Technology
Castle Point on Hudson
Hoboken, NJ 07030
6
19
13
4. DAY 3 Sponsored by Wiley
SATURDAY,NOVEMBER5,2016
hfsl.stevens.edu/hff_conference
FURTHER INFORMATION: Ionut Florescu • 201-936-2010 • hfconference@stevens.edu
Stevens Institute of Technology - Castle Point on Hudson, Hoboken, NJ 07030
Time Event Location
9:00 - 9:30 a.m. Continental Breakfast Bissinger, Howe Center 4fl
9:30 - 10:10 a.m.
Keynote Lecture
The Market Implied Probability of Government Intervention in Distressed Banks
Paul Glasserman, Columbia University
Bissinger, Howe Center 4fl
10:10 - 10:20 a.m. Break - Sponsored by OneTick
10:20 - 10:50 a.m.
How has the Pit Closure Affected the Live Cattle Futures Market?
Eleni Gousgounis, Stevens Institute of Technology
Bissinger, Howe Center 4fl
10:50 - 11:20 a.m.
A Gaussian-Poisson Conditional Model for Defaults
Ambar Sengupta, Louisiana State University
Bissinger, Howe Center 4fl
11:20 - 11:30 a.m. Break
11:30 - 12:00 p.m.
Wavelet Analysis and Levy Models Applied to the Study of High Frequency
Data Arising in Finance and Geophysics
Maria Beccar-Varela, University of Texas at El Paso
Bissinger, Howe Center 4fl
12:00 - 1:15 p.m. Lunch Bissinger, Howe Center 4fl
STUDENT PRESENTATIONS
1:15 - 1:30 p.m.
The Correlation Structure of Credit Default Swaps
Richard Neuberg, Columbia University
Bissinger, Howe Center 4fl
1:30 - 1:45 p.m.
Analysis of the Bear Stearns Collapse Using a Stochastic Differential
Equation
Osei Kofi Tweneboah, University of Texas at El Paso
Bissinger, Howe Center 4fl
1:45 - 2:00 p.m.
Realized Variance: Empirical Forex Analysis and Estimator Based on
Linear Regression
Vladimir Holy, University of Economics, Prague, Czech Republic
Bissinger, Howe Center 4fl
2:00 - 2:15 p.m. Break - Sponsored by OneTick
2:15 - 2:30 p.m.
Optimal Kernel Estimation for the Spot Volatility of Financial Assets Based
on High Frequency Data
Cheng Li, Purdue University
Bissinger, Howe Center 4fl
2:30 - 2:45 p.m.
Co-Jumps Asymmetry
Qi Lin, Purdue University
Bissinger, Howe Center 4fl
2:45 - 3:00 p.m.
A High-Frequency Trading Strategy Using a Deep Multilayer Perceptron
One-Minute Average Price Predictor
Andrés Arévalo, Universidad Nacional de Colombia, Bogotá, Colombia
Bissinger, Howe Center 4fl
11/5
Wiley, in partnership with the Stevens Institute of Technology, is pleased
to announce the forthcoming publication of the new online journal, High
Frequency.
Research centering the Stevens Institute of Technology’s Annual Conference,
High Frequency Finance and Analytics, will be presented in one place for
the first time, along with research in the fields of quantitative finance,
seismology, astrophysics, communications, imaging, neuroscience, and
environmental statistics.
Publish your next paper in High Frequency.
Visit: wileyonlinelibrary.com/journal/highfrequency for further information
