Financial Engineering Seminar Series - Vladimir Markov "Block Trading Dark Pools"
Thursday, January 23, 2014 – 5:00 pm
Location: Babbio 122
Block Trading Dark Pools
Head Of Market Structure Research at Liquidnet
ABSTRACT: In this talk we review the major trends in the U.S. equity market structure during the last decade such as the rise of the high frequency trading, market fragmentation and dark pools and the evolution of block-crossing dark pools in particular.
Using years of data from within Liquidnet’s block-crossing venue, we characterize a number of novel econometric measures for dark pools including their market impact and spread savings - effectively quantifying the benefits of natural liquidity in today's fragmented market.
We also explore and quantify some of the challenges inherent in the block market for both traders and dark pool operators including the basic mechanics of a cross, the network structure of a pool, relationship between indication and trade intensities and clustering of trades.
We look closely at the forces most likely to impact the space in the near future with a special focus on the impact of conditional orders on block-crossing dark pools.
The talk is based on: Vladimir Markov and Tito Ingargiola, "Block-Crossing Networks and The Value Of Natural Liquidity", Journal of Trading, Summer 2013.
BIO: Vladimir Markov is the Head of Market Structure Research at Liquidnet. Liquidnet is the global institutional trading network where 700 of the world’s leading institutional investors come to trade large blocks of stock. Over the last few years he has focused on developing new trading algorithms and analytics. Previously, Vladimir worked at Thor Asset Management (100% systematic CTA) where he developed medium and high-frequency statistical arbitrage trading strategies. He also worked as a researcher for LG and Hitachi corporations. Vladimir holds Ph.D. in Theoretical Physics from Petersburg Nuclear Physics Institute. He has published over 20 papers in the area of financial mathematics, theoretical physics, and applied mathematics.
The Financial Engineering Seminar Series is a centerpiece of the Undergraduate Quantitative Finance and the graduate Financial Engineering 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. These events are co-sponsored by the School of Systems & Enterprises, Financial Engineering Department and the Howe School of Technology, Quantitative Finance Department.