TimeEventLocation
8:00 - 9:00 a.m.

Breakfast and Registration  

Bissinger Room, 4th floor Howe Building
9:00 - 9:10 a.m. Opening Remarks. Christophe Pierre, Provost, Stevens Institute of Technology  Bissinger Room
9:10 - 9:50 a.m. Peter Carr, NYU Tandon School of Engineering, Adding Optionality Talks introduced by German Creamer, SIT
9:50 - 10:30 a.m. Martin Šmíd, Czech Academy of Sciences, Asynchronous Risk-Averse Decision Model of Trading on a Limit Order Market
10:30 - 10:40 a.m. Short break
10:40 - 11:20 a.m. Jerzy Pawlowski, NYU tandon School of Engineering, Real time trading via Interactive Brokers with Package iBrokers2  
11:20 a.m. - 12:00 p.m. Roger Lee, University of Chicago, Mean reversion trading
12:00 - 1:00 p.m. Lunch and networking Bissinger Room  
1:00 - 1:40 p.m. John Roberts, Measuring Responsiveness in the Limit Order Book Using Ultra-High Frequency Market Depth Data Bissinger Room 
1:40 - 2:20 p.m. Sebastian Jaimungal, University of Toronto, Deep Q-Learning for Nash Equilibria with Applications to Electronic Markets  
2:20 - 2:30 p.m. Short break
2:30 - 3:10 p.m. Sasha Stoikov, Cornell University, The Micro-Price: A High-Frequency Estimator of Future Prices  
3:10 - 3:50 p.m. Baron Law, Agam Capital, Market Making under a Weakly Consistent Limit Order Book Model
3:50 - 4:30 p.m. Derek Hansen, University of Michigan, Randomized Missing Data Approach to Robust FilteringRandomized Missing Data Approach to Robust Filteringwith Applications to Economics and Finance
4:30 - 4:45 p.m  Short break  
 Ph.D. Students Research Presentations  Bissinger Room 
4:45 - 5:05 p.m. Michael Roberts, North Dakota State University, Sequential Decision Making for Two-Sensor System Modeled by Lévy Processes  
5:05 - 5:25 p.m. Dan Wang, Stevens Institute of Technology, Markets Volatility Transmission
5:25 - 5:45 p.m. Ziwen Ye, Stevens Institute of Technology, Rare Events Detection in High-Frequency Trading using the Limit Order Book
5:45 - 6:00 p.m. High Frequency Trading Competition Award Presentation  Bissinger Room 
6:00 - 7:00 p.m.

Poster show and Networking

 Bissinger Room 
7:00 - 9:00 p.m. Cocktails and Reception (Sponsored by Stevens School of Business)  Babbio Center Atrium
TimeEventLocation
8:00 - 9:00 a.m. Breakfast and Networking Bissinger Room, 4th floor Howe Building
9:00 - 9:10 a.m. Day Introduction
9:10 - 9:50 a.m. Paul Glasserman, Columbia University, Buy Rough, Sell Smooth Talks Introduced by Zhenyu Cui, SIT
9:50 - 10:30 a.m. Majeed Simaan, Stevens Institute of Technology, In Search of Return Predictability: Evidence from Machine Learning and Tactical Allocation in R
10:30 - 10:40 a.m. Short break
10:40 a.m. - 11:20 a.m. Dror Kenett, FINRA, How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics  
11:20 a.m. - 12:00 p.m. German Creamer, Stevens Institute of Technology, A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
12:00 - 1:00 p.m. Lunch and Networking
1:00 - 1:40 p.m. Philip Protter, Columbia University, From Market Mictrostructure to Macrostructure Bissinger Room
1:40 - 2:20 p.m. Mohammad Fesanghary, Bloomberg LLP, Short-term market impact prediction using data-driven insights
2:20 - 3:00 p.m. Erik Brinkman, Facebook, Trend-Following Trading Strategies and Financial Market Stability


Ph.D. Students Research Presentations  Change of Venue 
3:30 - 3:50 p.m. Osei Tweneboah, University of Texas at El Paso, Using Machine Learning Techniques applied to Financial Data from Developed-Emergent Markets and the Lehman Brothers Collapse  Kidde 228
3:50 - 4:10 p.m. Masum Bhuyan, University of Texas at El Paso, Analysis of High Frequency Financial Data Using Dynamic Fourier Methods  
4:10 - 4:30 p.m. Awasti Shantanu, North Dakota State University, The First Exit Time of some Self-Decomposable processes  
4:30 - 6:00 p.m Networking, Campus walk TBD
6:00 -7:00 p.m. Buffet Dinner & Networking  Bissinger Room
7:00 - 9:00 p.m.  HIGH FREQUENCY VIBRATIONS  Bissinger Room
TimeEventLocation
8:00 - 9:00 a.m.

Breakfast and Networking

Bissinger Room, 4th floor Howe Building
9:00 - 9:10 a.m. Day Introduction
9:10 - 9:50 a.m. Vladimir Markov, Bloomberg LLP, Bayesian Trading Cost Analysis and Ranking of Broker Algorithms Talks introduced by Majeed Simaan, SIT
9:50 - 10:30 a.m. Alexander Shklyarevsky, Mizuho Bank, Certain Applications of Neural Networks to Finance and High Frequency Trading
10:30 - 10:40 a.m. Break  
10:40 - 11:20 a.m. Maria Pia Beccar-Varela,University of Texas at El Paso, Classification Techniques applied to the study of high frequency data arising in finance and geophysics  
11:20 - 12:00 p.m. Jack Sarkissian, Price Measurement in Financial Markets and Quantum Coupled-Wave Theory of Price Formation
12:00 - 12:40 p.m. Raphael Douadi, Paris 1, Regime Switching Market Evolution and Calibration using AI, Relation to Polymodels  
12:40 - 2:00p.m. Final Lunch (Sushi/Sashimi) and Networking

 

 The Howe Building location on campus: Google maps link