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October 17 SQA Seminar
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10/17/2019
When: October 17, 2019
5:30 PM - 8:00 PM
Where: Voya
230 Park Ave., New York, NY  10169
Contact: Rebecca Harrington
518-694-3157


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October 17th Seminar

Title: "Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance."

 

Portfolio managers often send trades to a trading desk or chose from a menu of proprietary or broker-provided algos, but how much do quant analysts really think about practical considerations around trading? This talk will provide a solid framework for considering a number of very useful, applicable considerations around trading: minimizing and measuring trade impact, setting tick sizes, minimum lot sizes, position limits, margin requirements and repo haircuts, as well as managing liquidity, as required by regulators.  Portfolio managers/CIOs,

Bio

Albert S. (Pete) Kyle

Professor Albert S. (Pete) Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006.  He earned is B.S. degree in mathematics from Davidson College (summa cum laude, 1974), studied philosophy and economics at Oxford University as a Rhodes Scholar from Texas (1974-1977), and completed his Ph.D. in economics at the University of Chicago in 1981.  He has been a professor at Princeton University (1981-1987), the University of California Berkeley (1987-1992), and Duke University (1992-2006).

Professor Kyle’s research focuses on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity, and contagion. His current research focusses on market microstructure invariance and smooth trading.

His teaching interests include market microstructure, institutional asset management, venture capital and private equity, corporate finance, option pricing, and asset pricing.

He is the 2018 recipient of The CME Group--MSRI Prize in Innovative Quantitative Applicationsa, a fellow of the American Finance Association (2014), and a fellow of the Econometric Society (since 2002). He holds an honorary doctoral degree from the Stockholm School of Economics (2013). He has been a board member of the American Finance Association (2004-2006), a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC's Office of Inspector General, a member of NASDAQ’s economic advisory board (2005-2007), a member of the FINRA economic advisory committee (2010 to present), and a member of the CFTC’s Technology Advisory Committee (2010-2011).

 

Agenda:

  • 5:30 P.M. Cocktails & Networking
  • 6:00 P.M. Presentation
  • 7:00 P.M. Cocktails & Networking

 

Pricing:

  • SQA Members Regular or Academic: $50.00
  • Transitional or Student: $30.00
  • Non-Member Affiliated: $70.00 
  • Non-members: $90.00

Location: Voya: 230 Park St., New York, NY 10169

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