Finance: High Frequency Trading

Finance: High Frequency Trading

Thursday, November 15, 2007

The New York Academy of Sciences

Presented By


Endorsed by International Association of Financial Engineers (IAFE)

As investors continue to try to beat the market, high frequency trading has become an integral tool. Join this meeting to learn more about high frequency trading and how it is used in diverse markets such as foreign exchange, equity, and fixed income.

Quantitative Finance is part of a new initiative launched in physical sciences and engineering. Given the Academy's new location at 7 World Trade Center and the number of scientists who work in finance, the goal of this symposium is to build community by creating collaborations and developing professional networks between the science and finance communities.

Moderator: Rick Bookstaber



5:00 PM - Robert Almgren, PhD, Banc of America Securities "Algorithmic Trading for Equities"

5:30 PM - Kamal Kasera, Deutsche Bank
"Etrading@fi: The Rise of the Machines"

6:00 PM - Mark Mueller, PhD, GMO
"A Hedge Fund Perspective on Algorithmic Currency Trading"

6:30 pm - Panel Discussion moderated by: Rick Bookstaber, PhD, author of Demon of Our Own Design

Speaker Bios


Robert Almgren is a managing director and head of Quantitative Strategies for the Electronic Trading group at Banc of America Securities, where he leads the team focused on developing new agency trading algorithms and analytics for equity trading. Prior to joining BAS in 2005, Dr. Almgren spent five years at the University of Toronto as a tenured Associate Professor of Mathematics and Computer Science, including three years as Director of the Master of Mathematical Finance Program. Dr. Almgren holds a PhD in Applied and Computational Mathematics from Princeton University and has an extensive research record in a broad range of applied mathematics.

Kamal Kasera is a Director - Senior Trader at Deutsche Bank where he is responsible for electronic trading in government bonds. Prior to Deutsche Bank, he was a Fixed Income Strategist at Goldman Sachs. Kamal holds an MS in Computational Finance from Carnegie Mellon, an MBA and MS in Computer Science from the University of Massachusetts, Amherst, and undergraduate degrees from BITS, Pilani, India.

Mark Mueller is the director of research for the Algorithmic Trading group at GMO, which he co-founded in 2003. Since joining GMO in 1997, he has also served as the director of research for the Fixed Income group. Prior to joining GMO, he worked at Goldman Sachs in the fixed income proprietary trading group, and earlier at Morgan Stanley as a quantitative analyst in equity derivatives. Dr. Mueller holds a BS in Physics from the Massachusetts Institute of Technology and a PhD in Physics from Stanford University.