London Quant Group: market microstructure analysis and successful trading tools

Michail Steliaros and Costis Maglaras from Goldman Sachs will be presenting their research on market microstructure analysis and tools for successful trading in London, November 13.

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, 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.

Register to attend

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