17th Annual Workshop on Financial Engineering: Quantitative Trading and Asset Management


Columbia Quantitative Trading and Asset Management Workshop

Friday, November 19, 2010
Davis Auditorium, 412 Schapiro Center (CEPSR), Columbia University

Hosted by: The Center for Applied Probability (CAP), The Center for Financial Engineering (CFE) and The Program for Financial Studies.


8:00-8:45AM: Coffee and Registration

8:45-9:00AM: Welcoming Remarks

9:00-9:45AM: Brian Hayes, Morgan Stanley
Quantitative Equity Hedge Funds: An Investor Perspective

9:45-10:30AM: Kent Daniel, Columbia Business School
Characterizing Momentum

10:30-11:00AM: Coffee Break

11:00-11:45AM: Stephen Blyth, Harvard Management Co.
Quantitative Finance in the post-Lehman Dodd-Frank Landscape

11:45AM-12:30PM: Robert Litterman, Kepos Capital
Disequilibrium in the market for Carbon Emissions: Implications for Portfolio Benchmarks

12:30-2:00PM: Lunch

2:00-2:45PM: Robert Engle, NYU Stern School of Business
NYU Stern Systemic Risk Ranking

2:45-3:30PM: Gregg Berman, SEC & Andrei Kirilenko, CFTC
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market

3:30-4:00PM: Coffee Break

4:00-4:45PM: Douglas Borden, Knight Equity Markets
Stochastic Control Theory in High-Frequency Trading

4:45-5:30PM: John Crosby, UBS
Variance derivatives and estimating realized variance from high-frequency data

5:30-6:30PM: Reception


To pay by check or money order, please go to this link for more information.

Academic: $175

Corporate: $375

Student: $100