SPEAKERS

• Robert Almgren, NYU Fellow since 2006, is co-founder of Quantitative Brokers. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Equity Electronic Trading Services group of Bank of  America. Before joining the industry he was a tenured Associate Professor and Director of the Mathematical Finance program at the University of Toronto.  His recent research has focused  on optimal securities trading, transaction costs and portfolio formation. Dr. Almgren holds a Ph.D. in Applied and Computational Mathematics from Princeton University.

  David C. Cushing is  Director of  Execution Services at Wellington Management Company. Prior to joining Wellington Management in 2006, David held various positions in management, trading, and trading research at equity brokerage and asset management firms.

  Ian Domowitz is a Managing Director at Investment Technology Group, Inc., responsible for ITG Solutions Network, Inc., and a member of the company’s Management and Executive Committees. Prior to joining the company in 2001, he served as the Mary Jean and Frank P. Smeal Professor of Finance at Pennsylvania State University and  Professor of Economics at Northwestern University.  A former member of the NASD’s Bond Market Transparency Committee he also served as chair of the Economic Advisory Board of the NASD. Mr. Domowitz has held positions with Northwestern’s Kellogg Graduate School of Management, Columbia University, the Commodity Futures Trading Commission, the International Monetary Fund and the World Bank.  He is currently a Fellow of the Program in the Law and Economics of Capital Markets at Columbia University. 

  Robert F. Engle is the Michael Armellino Professor of Finance at the NYU Stern School of Business, and Chancellor's Associates Professor of Economics at the University of California, San Diego. His research has introduced some of the most influential concepts in modern econometrics - ARCH models, Cointegration, Weak Exogeneity, Band Spectrum Regression, Common Features, Autoregressive Conditional Duration (ACD). In 2003 Professor Engle was honored with the Nobel Memorial Prize in Economic Sciences for his work on the analysis of economic time series with time-varying volatility. 

  Robert Ferstenberg is a Managing Director in the Institutional Sales and Trading Division at Morgan Stanley.  His primary focus is on bringing computational and econometric methods to bear on the problem of measuring and controlling execution costs and risks. He received a PhD from the School of Engineering at Cornell University.

  Jim Gatheral is a Managing Director at Merrill Lynch and an Adjunct Professor at the NYU Courant Institute of Mathematical Sciences. Dr Gatheral obtained a Ph.D. in theoretical physics from Cambridge University in 1983. A veteran of derivatives markets, he has been involved in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst in London, Tokyo and New York. Between 1996 and 2005, Dr Gatheral led the Equity Quantitative Analytics Group at Merrill Lynch. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Dr Gatheral is a frequent speaker at both practitioner and academic conferences around the world. His recent bestselling book The Volatility Surface: A Practitioner's Guide has become a standard reference for practitioners, academics and students alike.
  
  Merrell Hora is responsible for the quantitative execution strategies for Credit Suisse's equity program trading desk  in New York.  Prior to joining Credit Suisse, he has held positions with Lava Trading in quantitative research and as a Senior Portfolio Manager with Oppenheimer Funds, where he managed over $2 billion and  developed  quantitative products supporting high-frequency trading, asset allocation and risk management. He received a Ph.D.  in economics from the University of Minnesota.

  George Sofianos joined Goldman Sachs in 2001 and is leading the firm’s Equity Execution Strategies group.  He has held previous positions as Head of Research at the New York Stock Exchange, at the Federal Reserve Bank of New York and at the NYU Stern Graduate School of Business. Mr. Sofianos has published research on execution strategies, trading costs, market structure, market-maker trading behavior, stock price behavior on expirations, the impact of program trading on intraday volatility and index arbitrage. He holds a Ph.D. in economics from Harvard University.