• Accessing liquidity: Market microstructure analysis and tools for successful trading

    • Speakers: Michail Steliaros and Costis Maglaras| Goldman Sachs
    • Date: 13th November 2018 – 18:30
      Place: Goldman Sachs International, 120 Fleet Street, London EC4A 2BB
    • Topic: Accessing liquidity: Market microstructure analysis and tools for successful trading.

    All search for liquidity and the trading of securities carries a cost. There are a variety of options available to asset managers to access liquidity and execute trades. However, optimising trade execution is a non-trivial task. Cost estimation and management is very hard especially when other market participants’ behaviour (like HFTs) is not always visible or measurable.

     

    This talk will highlight the intricacies of market microstructure analysis, accutane acne before and after https://accutane4acne.com/ accutane acne treatment best prices and fast mail delivery, volume predictions, market impact estimation, the intraday risk characteristics of stocks and techniques for trade optimisation that are vital for successful trading and execution. It will demonstrate how cross-impact can be modelled and estimated both practically and efficiently to improve the execution schedule of sample portfolios.

     

    For quants in particular, the cost of trading may be equivalent in magnitude to alpha. Consequently, superior methods and models of market participation are vital core competencies rather than after-thoughts of the investment process.

    • About Michail Steliaros

    Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm’s relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.

    • About Costis Maglaras

    Costis Maglaras is a Professor at the Graduate School of Business at Columbia University in the division of Decision, Risk & Operations. His research focuses on quantitative pricing and revenue management, the economics, design, and operations of service systems, and financial engineering.

    • This seminar is kindly hosted by Goldman Sachs International.
      The London Quant Group is very grateful to Goldman Sachs International for hosting this event
    • Goldman Sachs International
      120 Fleet Street
      London EC4A 2BB
    • Click the link for a map to the venue

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