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Conference Program

 Thursday Oct 24, 2013

Location: De Baun Auditorium. The dinner is in Babbio Atrium.

DAY 1:  THURSDAY, October 24, 2013

8:00-9:00

Registration and Welcome (Babbio Lobby)

9:00 -9:15

Opening Remarks and Introduction - Ionut Florescu, Stevens Institute of Technology, Conference Chair 

9:15-9:30

Welcome to Stevens Dr. George Korfiatis, Provost Stevens Institute of Technology

9:30-10:15

Conference Kickoff Keynote Talk: Scott Mixon, CFTC, TBA

 

Section: Market Microstructure and Order Book Dynamics

10:30-11:00

Alvaro Cartea, University College London, Robust Market Making

11:00 – 11:30

Robert Almgren, Quantitative Brokers and NYU, Market Simulator for Developing Execution Algorithms

11:30-12:00

Irene Aldrige, ABLE Alpha Trading, LTD. And Big Data Finance Institute, Market Microstructure and the Risks of High Frequency Trading

12:00-13:00

Lunch break sponsored by Thomson Reuters Tick Data division 

13:00-13:30

Martin Šmíd, Institute of Information Theory and Automation of the ASCR, Czech Republic, Causal Model of Price and Inventory on a Market with a Market Maker

13:30-14:00

Alec Kercheval, Florida State University, Limit Order Book Forecasting with Support Vector Machines

14:00-14:30

Igor Cialenco, Illinois Institute of Technology, On Bid-Ask prices for dividend paying securities

14:30-15:00

Ciamac Moallemi, Columbia University, The Value of Queueing in a Limit Order Book

15:15-15:45

Richard Liao, U.S. Securities and Exchange Commission, Regulation in high frequency trading and quantitative methods

15:45-16:15

Vladimir Markov, Liquidnet, Optimal execution of limit orders and market orders with stochastic liquidity constraints

16:15-16:45

Vladimir Filimonov, ETH Zürich, Switzerland, Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets

16:45-17:15

Ciprian Tudor, Universite Lille and Universite de Pantheon-Sorbonne Paris 1, France, Modelling High Frequency Data by Hawkes Processes

 

Student Session

17:30-17:45

Xuefeng Gao, Georgia Institute of Technology, Hydrodynamic limit of order book dynamics

17:45-18:00

Deepan Palguna, Purdue University, Non-parametric Prediction in a Limit Order Book

18:00-18:15

Nguyet Nguyen, Florida State University, Hidden Markov Model for High Frequency Data

18:15-18:30

Jian Wang, Florida State University, Historical arbitrage opportunities study for US treasury futures

18:30-18:45

Jonathan Chavez-Casillas, Purdue University, Long-run price dynamics under a level-1 LOB with memory and variable spread

18:45-19:00

Patrick Houlihan, Stevens Institute of Technology, Leveraging a Call-Put ratio as a Trading Signal

19:00-21:30

Dinner in Babbio Atrium. Sponsored by the Financial Systems Center at Stevens Institute of Technology

 

Friday Oct 25, 2013

Location: De Baun Auditorium.

DAY 2:  FRIDAY, October 25, 2013

8:00-8:10

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

 

Section: Volatility Estimates

8:10-8:40

Joseph Barunik, Charles University in Prague and Academy of Sciences of the Czech Republic, Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance

8:40-9:10

Dobrislav Dobrev, Federal Reserve Board of Governors, Washington, DC, Duration-Based Volatility Estimation

9:10-9:55

Keynote talk: Per Mykland, University of Chicago, Estimating and Forecasting Volatilities using the Leverage Effect

10:10-10:40

Dacheng Xiu, University of Chicago, Model-Free Leverage Effect Estimators at High Frequency

10:40 -11:10

Simona Sanfelici, University of Parma, Italy, Estimating Volatility of Volatility free from Spot Volatility Estimates

11:10-11:40

Yong Zeng, University of Missouri at Kansas City, Real-time Stochastic Volatility Estimation via Filtering Equation for a Partially-observed Heston Model

11:40-12:10

Sylvain Corlay, Bloomberg LP, Functional Quantization Techniques for Stochastic Volatility

12:10-13:00

Lunch break sponsored by the Hanlon Financial Systems Lab (HFT white paper survey)

 

Section: Execution Strategies for HFT

13:00-13:30

Patrick Cheridito, Princeton University, Optimal Execution under Stochastic Volatility and Liquidity

13:30-14:00

Qihang Lin, University of Iowa, Optimal Trade Execution with Coherent Dynamic Risk Measures

14:00-14:30

Xin Guo, University of California Berkeley, Optimal Placement in a Limit Order Book

14:30-15:00

Sebastian Jaimungal, University of Toronto, Canada, Algorithmic Trading with Learning: Informed versus Uninformed

15:15-15:45

Costis Maglaras, Columbia University, A Limit Order Queue Model with Heterogeneous Traders

15:45-16:15

Julian Manzano, SC AG, Switzerland, Necessary ingredients for a successful trading strategy

16:15-16:45

Olympia Hadjiliadis, C.U.N.Y, Trends and Trades

16:45-17:15

Shinan Cao, University of International Business and Economics, China, A wavelet model for dynamic VWAP approach

17:15-17:45

Khaldoun Khashanah, Stevens Institute of Technology, ACTUS and systemic risk modeling

 

Student Session

18:00-18:15

Yuxiao (Shawn) Ning, Cornell University, Small-World Network in Stock Cointegration

18:15-18:30

Zhang Li, Purdue University, A Distributed Algorithm for Systemic Risk Mitigation in Financial System

18:30-18:45

Timothy Lewkow, Florida State University, A Market Microstructure Model of Volatility using an Earth Mover's Distance

18:45-19:00

Imma Valentina Curato, University of Pisa, Fourier Estimation of Stochastic Leverage using High Frequency Data

19:00-19:15

Kristina Krsteva, Stevens Institute of Technology, Portfolio Optimization under Regime-Switching Multi Factor Models

 

Saturday October 26, 2013

Location: EAS 222

DAY 3:  Saturday, October 26, 2013

8:00-8:10

Overview of the day. Frederi Viens, Professor and Director Computational Finance Program at Purdue University, and Maria C. Mariani, Distinguished Professor and Department Chair University of Texas at El Paso, conference co-organizers

 

Section: News and HFT

8:10-8:40

Eleni Gousgounis, Stevens Institute of Technology, The Role of Market Sentiment in Foreign Exchange Markets

8:40-9:10

Suzy Moat, University of Warwick, UK, Can Online Data Anticipate Stock Market Moves?

9:10-9:40

Tobias Preis, University of Warwick, Digital Traces of the Human in the Loop — How Can We Predict Financial Markets Using Big Data?

9:40-10:10

Germán  Creamer, Stevens Institute of Technology, Sentiment Analysis of the European equity market with a Hybrid Expert Weighting Algorithm

10:25-11:10

Keynote talk: Charles Jones, Columbia University, The Causal Effects of High-Frequency Trading

 

Section: HFT impact 

11:10-11:40

Dror Kenett, Boston University, How High Frequency Trading Affects a Market Index

11:40-12:10

Lukas Vacha, Charles University and Academy of Sciences, Czech Republic, Gold, Oil, and Stocks

12:10-13:00

 Lunch: Sponsored by the Financial Engineering and Quantitative Finance programs at Stevens Institute of Technology

13:00-13:30

Takaki Hayashi, Keio University, Japan, Which Market Moves Faster?: Lead-lag Analysis for Japanese Stock Market

13:30-14:00

Gordon H. Dash, Jr. University of Rhode Island, Supervised Learning Networks to fit the daily and near-High Frequency US municipal Bond Term structure

14:00-14:30

Ambar Sengupta, Louisiana State University, Gaussian Inequalities and Tranche Sensitivities

14:30-15:00

Darinka Dentcheva, Stevens Institute of Technology, Portfolio Optimization with Risk Control by Stochastic Order Constraints

15:15-15:45

Bo Zhang, IBM T.J. Watson Research Center, Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

15:45-16:15

Petter Kolm & Gordon Ritter, NYU, Multi-period Portfolio Choice and Bayesian Dynamic Models

16:15-16:45

Kiseop Lee, University of Louisville, Discrete Time Hedging with Liquidity Risk

16:45-17:15

Alexandra Chronopoulou, C.U.N.Y, Long Memory Stochastic Volatility model: Leverage Effects & Hedging

17:30-18:00

Indranil Sengupta, North Dakota State University, Generalized Barndorff-Nielsen and Shephard Model and Volatility Smile

18:00-18:30

Maria Pia Beccar Varela, University of Texas at El Paso, Analysis of Generic Diversity Data, Financial Data and High Frequency Financial Data

18:30-19:00

Alexander Shklyarevsky, Bank of America, PDE, PIDE and other dynamic models for data sampled with High Frequency

 

Student Session

19:00-19:15

Francis Biney, University of Texas El Paso, Study of Volatility Structures and Memory Effects in Geophysics and Finance

19:15-19:30

Bo Yi, Sun Yat-sen University China and Purdue University US, Dynamic Portfolio selection with mispricing and model ambiguity 

 

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