• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Columbia University 18th Annual Workshop On Financial Engineering -- Friday October 21st

FYI: This event was just announced.


18th Annual Workshop on Financial Engineering: High Frequency Trading and Market Microstructure


18th Annual Workshop on Financial Engineering:
High Frequency Trading and Market Microstructure

Friday, October 21, 2011
Uris Hall,
Columbia University,
New York

Hosted by: the Center for Financial Engineering and the Center for Applied Probability (CAP) at Columbia University .

Sponsored by: Bank of America-Merrill Lynch and One Tick.

The advent of electronic trading has transformed financial markets markets, which are now faced with a flow of supply and demand at various frequencies across a fragmented range of venues. This new high-frequency environment has created a new set of quantitative challenges for investors, market makers, and regulators. In this conference, we will seek to explore and understand some of these challenges.

Topics :

Market microstructure, Market making, High-frequency trading, Limit order markets, algorithmic trading. optimal trade execution, dark pools, econometrics of high-frequency data.

Speakers / Panelists:

Robert Almgren, Quantitative Brokers (*)
Brad Banks, Athena Capital Research
Rama Cont, Columbia University
Matt Cushman, Citadel
Jim Gatheral, Baruch College
Larry Glosten, Columbia University
Albert Kyle, University of Maryland
Costis Maglaras, Columbia University
Ciamac Moallemi, Columbia University
Michael Sotiropoulos, Bank of America Merrill Lynch
Sasha Stoikov, Cornell University


Corporate delegates: $500 / Academic : $175 / Students: $100

Online registration at: https://www.wepay.com/tickets/view/76109

When I posted this item, the registration system showed 40 "available places" for students at the $100 rate.
Now that number has been reduced to 32.
Ergo, 8 students have signed up since Friday evening.
Going in I didn't know anything about microstructure, so it was good introduction and a good motivation to learn more. A lot of the things I've been thinking about (with regard to the Rotman trading competition) was discussed, like optimal order execution, micro-price, market making, etc.