Name Affiliation Title Presentation 
Almgren, Robert Quantitative Brokers Event Modeling for High Frequency Trading  Download
Beccar-Varela, Maria P. University of Texas at El Paso Wavelet Analysis and Levy Models Applied to the Study of High Frequency Data Arising in Finance and Geophysics  
Carr, Peter NYU Tandon School of Engineering Vol Skew and Smile Trading  Download
Chatterjee, Rupak Stevens Institute of Technology Quantum Support Vector Machines  

Collado, Ricardo

Creamer, Germán

Stevens Institute of Technology    Download
Derman, Emanuel Columbia University Good and Less Good Trends in Quantitative Finance  

Dobrev, Dobrislav

Schaumburg, Ernst

Federal Reserve High-Frequency Cross-Market Trading: Model Free Measurement and Applications  Download
Florescu, Ionut Stevens Institute of Technology High Frequency Data and Projects  
Glasserman, Paul Columbia University The Market Implied Probability of Government Intervention in Distressed Banks  
Gousgounis, Eleni Stevens Institute of Technology How has the Pit Closure Affected the Live Cattle Futures Market?  
Guo, Xin UC Berkeley Mean Field Games for Market Making with Transaction Cost and Asymmetric Price Impact  
Kirilenko, Andrei Imperial College Business School, UK Risk and Return in High-Frequency Trading  
Li, Kun Beijing Normal University Circuit Breakers in China's Financial Markets  
Mantegna, Rosario Central European University Trading Networks of Market Members at NASDAQ Nordic OMX Exchange  
Moallemi, Ciamac Columbia University Portfolio Liquidity Estimation and Optimal Execution  
Putnam, Blu CME Group Thoughts on Complex Systems and Why Practical Risk Management Fails to Deliver  
Schmidt, Anatoly B. Kensho Portfolio Theory in Terms of Partial Correlations  Download
Schwall, John COO of IEX Trading A Fireside Chat with John Schwall, COO and Co-Founder of IEX  
Sengupta, Ambar The University of Connecticut A Gaussian-Poisson Conditional Model for Defaults  Download
Toper, Stephanie PortfolioEffect Performing Intraday Portfolio Analysis and Optimization with High Frequency Market Data  
Wah, Elaine IEX Trading Latency Arbitrage in Fragmented Markets: A Strategic Agent-Based Analysis  
Wood, Patrick Kensho Technologies Kensho Technologies: Collaborations with Universities  


Student Speakers:

Name Affiliation Title Presentation 
Afkhami, Mohamad Stevenes Institute of Technology The Most Predictive Energy Search Terms  

Universidad Nacional de Colombia, Bogotá, Colombia

A High-Frequency Trading Strategy Using a Deep Multilayer Perceptron One-Minute Average Price Predictor  
Holy, Vladimir University of Economics, Prague, Czech republic Realized Variance: Empirical Forex Analysis and Estimator Based on Linear Regression  Download
Lee, Hyoeun Purdue University Optimal Placement of a Small Order Under a Diffusive Limit Order Book Model  
Li, Cheng Purdue University Optimal Kernel Estimation for the Spot Volatility of Financial Assets Based on High Frequency Data  
Lin, Qi The University of Hong Kong Co-Jumps Asymmetry  
Mo, Cheuk Stevens Institute of Technology An Investigation of Dark Pools and High Frequency Trading using Multi-Agent Simulations  
Neuberg, Richard Columbia University The Correlation Structure of Credit Default Swaps  
Tweneboah, Osei Kofi University of Texas at El Paso Analysis of the Bear Stearns Collapse using a Stochastic Differential Equation  
Wang, Jian Florida State University Ensemble Methods for Measuring Dynamics of Limit Order Books  
Winkler, Thiago & Ye, Ziwen Stevens Institute of Technology SHIFT Project  
Yuan, Kai Columbia University A Model for Queue Position Valuation  



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