Algorithmic trading :
                  Dynamic Portfolios, Optimal Execution and Risk

New York, October 3rd 2008                 
 

The explosive growth of algorithmic trading has challenged academia and industry to explore the foundations of this emerging area of quantitative finance. The Mathematics in Finance Masters Program at NYU and Finance Concepts are pleased to present this conference, which brings together leading market practitioners and academics to discuss the latest advances in algorithmic trading - dynamic portfolios, optimal execution, and risk.

PROGRAM HIGHLIGHTS

• Dynamic optimization in custom execution algorithms
• The use of adaptive arrival price optimization
• The role of short term alpha in optimizing execution
• Execution risk and its relationship to portfolio risk
• Buy-side institutional efforts to integrate portfolio construction, risk management, and optimal execution

    Speakers

• Robert ALMGREN  
  Quantitative Brokers
   
• David CUSHING 
  Wellington Management
   
• Ian DOMOWITZ
  ITG
   
• Robert ENGLE 
  NYU Stern, Nobel Laureate
   
• Robert FERSTENBERG 
  Morgan Stanley
   
• Jim GATHERAL 
  Merrill Lynch
   
• Merrell HORA  
  Credit Suisse
   
• George SOFIANOS 
  Goldman Sachs