Financial Engineering Seminar Series - March 26 - Vladimir Filimonov "High Frequency Trading. Technology, Strategies, Regulations"

Tuesday, March 26, 2013 5:00 pm

Location: Babbio 122

 

High Frequency Trading. Technology, Strategies, Regulations
Vladimir Filimonov
Chair of Entrepreneurial Risks, ETH Zurich
 
ABSTRACT: High-Frequency Trading (HFT) is being one of the most actively discussed topic in the debates of financial market regulations, which has many supporters and opponents both among academicians and politicians. At the present time, more than 60% of the volume turnover in US markets and more than 50% in European markets are generated by the companies speculating on the time scales of the order of seconds and sub-seconds. Despite the fact that it provides additional liquidity and increases efficiency of price discovery, HF trading rises a concerns with respect to market stability and growth of market manipulation and abuse.
The talk presents an overview of the High-Frequency Trading, discussing its history and examining strategies exploited by HF traders. Special attention would be paid to the predatory strategies and questions of regulating the HFT.
BIO:  Dr. Vladimir Filimonov is a senior researcher at the Chair of Entrepreneurial Risks of the ETH Zurich (Switzerland). He received his MSc and PhD in Physics from the Nizhny Novgorod State University (Russia) and then moved to ETH Zurich, winning prestigious ETH Fellowship. Nowadays his research is mainly focused on the application of methods and tools of statistical physics to economic and social systems. A particular interest of Dr. Filimonov is attracted to the financial data analysis, diagnosing and forecasting extreme events in financial markets.
 
The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program and the undergraduate Quantitative Finance programs at Stevens Institute of Technology.  Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia. This event is co-sponsored by the School of Systems & Enterprises, Financial Engineering Department and the Howe School of Technology, Quantitative Finance Department.