Post Conference - Presentations

This is the list of presentations made available to everybody. We kept the format of the program which makes it easy to remember which talk it is. If the link is only to the presentation abstract then we were not allowed to post the presenattion or any other links.

 Thursday Oct 24, 2013

DAY 1:  THURSDAY, October 24, 2013

Conference Kickoff Keynote Talk: Scott Mixon, CFTC, TBA

Section: Market Microstructure and Order Book Dynamics

Alvaro Cartea, University College London, Robust Market Making

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

Presentation Link

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

Presentation Link

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

Presentation Link

Other references: and

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

Presentation Link. Link to the paper:

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

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

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

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

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

Presentation File

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

Presentation File. Joint work with Alexis Fauth

Student Session

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

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

Presentation File

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

Presentation File

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

Presentation File

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

Presentation File

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


Friday Oct 25, 2013

Location: De Baun Auditorium.

DAY 2:  FRIDAY, October 25, 2013

Section: Volatility Estimates

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

Presentation Link

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

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

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

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

Presentation Link

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

Presentation Link

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

Presentation File, Video


- S. Corlay, J. Lebovits, J. Lévy-Véhel, Multifractional stochastic volatility models, Mathematical finance,
- S. Corlay, Partial functional quantization and generalized bridges, Bernoulli Journal,
- G. Pagès and H. Luschgy, Functional quantization of Gaussian processes, JFA,
- S. Corlay and G. Pagès, Functional quantization-based stratified sampling methods, Preprint,
- S. Corlay, Properties of the Ornstein-Uhlenbeck bridge, Preprint,
- S. Corlay, G. Pagès and J. Printems. The optimal quantization website,

Section: Execution Strategies for HFT

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

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

Presentation Link. Link to paper:

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

Presentation Link

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

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

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

Presentation Link

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

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

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

Student Session

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

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

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

Presentation File

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

Presentation File

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

Section: News and HFT

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

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

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

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

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

Section: HFT impact 

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

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

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

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

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

Presentation Link

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

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

Link to related paper:

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

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

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

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

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

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

Student Session

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

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