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.


SCHEDULE:

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


REGISTRATION:

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

Academic: $175

Corporate: $375

Student: $100


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