Princeton University Quant Trading Conference

Talks and Abstracts

Can High-Frequency Traders Game Futures?

Speaker: Ms. Irene Aldridge
Managing Partner, Able Alpha

This article describes a simple test to assess the feasibility of high-frequency “pump-and-dump” arbitrage. Using the tick data for Eurex Eurobund futures for 2009-2010 period, the article shows practical implementation of the test. The Eurobund futures data does not support feasibility of high frequency pump-and-dump. The data instead shows that Eurobund futures are resilient to large trade sizes, a welcome feature for large institutional investors concerned about quality of execution of their orders in the presence of high frequency traders.

A copy of Ms. Aldridge's presentation can be obtained here.

Algorithmic Execution for Interest Rate Products

Speaker: Dr. Robert Almgren
Co-founder and Head of Research, Quantitative Brokers

Algorithmic trading of interest rate products presents a number of quantitative challenges that are not met in more traditional equity products. First, pro rata matching algorithms introduce unusual dynamics into price behavior around large trades. Second, implied quoting arising from calendar spread and butterfly contracts presents problems in optimal liquidity detection as well as greedy linear programming. Thirdly, some special data sets available from CME allow us to explore the nature of market impact. We will discuss these issues as well as a general overview of the rates markets.

A copy of Dr. Almgren's presentation can be obtained here.

Using Artificial Intelligence in High Frequency Trading and FX Micro-Structure

Speaker: Mr. Ugur Arslan
Founder and Managing Member, Aientech

AI is often used to predict market returns in trading financial markets. We are going to show a different approach to using AI in trading through a HFT trading system results with and without AI & classification  techniques applied.

Our approach is to manage risk better through those tecniques and thus allow better risk adjusted returns in conjunction with explaining market micro-structural nuances in FX.

Market Microstructure Development from the Electronic Trading Revolution to Today

Speaker: Mr. Matthew Andresen
Co-founder and CEO, Headlands Technologies

In today's trading world that is not enough; one must also have a deep understanding of market micro-structure.  The idiosyncrasies of various markets, asset classes, and geographies have a profound impact on modeling, strategy, and profitability.  In this session we will explore the development of the world's futures, options, and equities markets, and what the practical implications are of their divergent paths.

State of the Options Trading Industry

Speaker: Mr. Steve Crutchfield
CEO, NYSE Amex Options

Steve will speak on the current state of the U.S. equity options marketplace, including an overview of the current competitive exchange landscape, areas of potential growth and opportunity in the industry, technology considerations in options trading, and challenges in the current regulatory environment.  Steve will also speak on quantitative and financial engineering topics of interest to the options trading community.

Market Microstructure: Why (as a quant) you should care

Speaker: Dr. Matthew Cushman
Senior Managing Director, Citadel

Market microstructure has garnered increasing attention over the past several years from  "quants", more traditional trader/investors, and other parties such as the press and regulators.  We identify three reasons for this trend.  First, the markets have become more competitive, driving traders to understand better the execution component of their strategies.  Also, both practitioners and academics have realized that the wealth of data available in detailed exchange feeds is amenable to various probabilistic and statistical modeling techniques.  Finally, the market structure itself has evolved with regulatory and technology advances, which in turn has driven large scale changes in the population of traders and handling of order flow.   We will discuss an overview of market microstructure and these trends, and provide motivation for why aspiring quant traders should take a serious look at market structure.

A copy of Dr. Cushman's presentation can be obtained here.

Role of the Prime Broker – Trade Execution, Financing, and Leverage

Speaker: Mr. Daniel Kenna
Managing Director, Morgan Stanley

A broad based discussion focused on the practical aspects of implementing a quantitative trading strategy at a Prime Broker.   We first explore the spectrum of execution options and platforms commonly employed and their relevance for certain strategies.   We then provide an overview of the various financing structures utilized, discuss regulatory and tax considerations, as well as pricing.   Finally, we address how we as Prime Broker determine and manage margin requirements for our clients and how investors view and measure leverage for various strategies.  The discussion will encompass Equities, Futures and Options trading strategies.

Breakthroughs in US Corporate Credit Pricing

Speaker: Dr. AJ Lindeman
Managing Director, Benchmark Solutions

Benchmark Solutions is a two-year old company focused on fixed income market transparency. We will first review how pricing and trading works in the US corporate credit market today, and will establish that modern computational and statistical  techniques can be meaningfully applied to the problem(s) at hand.  The talk will then proceed to discuss our approach to calibration and pricing, including identification of fundamental variables, microstructure and idiosyncratic effects.  We will conclude with a discussion of what this new pricing transparency can mean for transaction cost analysis, liquidity and algorithmic trading.

Defining High Frequency Trading

Speaker: Mr. Peter Nabicht
Executive Vice President, Allston Trading

There has been plenty of coverage of HFT activity, and recently it has become a catchall phrase for electronic trading. This talk kicks off a dialogue to find out what constitutes high frequency trading in today’s markets.
- HFT: Strategy or Means of Execution?
- Low Latency or HFT or both?
- What are we really concerned with?
- How do we use the definition in shaping the future of the markets?

Particle Filtering to Understand Microstructure Variables

Speaker: Dr. Daniel Nehren
Global Head of Linear QR, JPMorgan Chase

Traditional statistical methodologies to estimate the distribution of market microstructure variables are not reactive enough to capture the always changing market dynamics. We propose an innovative methodology to dynamically update the distribution of market microstructure variables that are used for algorithmic trading decision purposes.

Based on a combination of research ideas on state space modeling, particle filtering and change point detection theory, the density of market microstructure variables such as spread is updated using only significant observations that indicate a departure from the previous regime. The proposed methodology is intuitive, numerically efficient and shows great improvements over traditional ones.

Electronic Trading in Credit Markets

Speaker: Dr. Alex Reyfman
Director, Barclays Capital

The markets for corporate bonds and credit default swaps (CDS) have historically been almost exclusively institutional and OTC. Client and market-maker behavior reflected this market structure. Over the past several years the market for corporate bonds has been becoming more transparent and electronic. More recently, the CDS market has also started to move toward transparency and electronic trading. The transition from the traditional OTC market-making model to a transparent / electronic one has presented new challenges and opportunities for investors and market-makers.
We will describe the recent evolution of the corporate bonds and CDS market structure and discuss some of the challenges faced by market participants.

OTC Markets - The Future of Automated Trading

Speaker: Mr. Ryan Sheftel
MD, Global Head of Rates Electronic Trading, Credit Suisse

Regulatory changes and technology advancements are moving the once manual world of Over-The-Counter Fixed Income trading to high-frequency. A rapidly evolving market structure distinct and unique from exchange based products prelude a future state trading that is similar and different from the evolution of other markets to high-frequency.

High-Frequency Trading Signals and Order Execution

Speaker: Dr. Michael Sotiropoulos
MD, Global Head of Algorithmic Trading Research, Bank of America Merrill Lynch

We review the intuition, definition, and predictive power of a collection of high-frequency trading signals, and discuss how they can be used in conjunction with schedule-based algorithms in electronic order execution.

A copy of Dr. Sotiropoulos's presentation can be obtained here.

The Effects of Regulation on Trading in Today's Markets

Speaker: Mr. Shane Swanson
Partner and General Counsel, Eladian Partners

It’s no surprise, with the advancements in trading technology, that regulatory oversight is looking to make an even greater impact. Regulation is changing the way we trade in today’s markets more than ever before. Shane will discuss the landscape of regulation and how the trading community must adapt and respond for the future.

Past Announcements






 Can High-Frequency Traders Game Futures?