Financial Engineering Seminar Series
Do High Frequency Traders Need to be Regulated?
Evidence from Algorithmic Trading on Macroeconomic News
BY: Tarun Chordia
Professor of Finance, Goizueta Business School - Emory University
Stock index exchange traded funds and futures prices respond to macroeconomic announcement surprises within a tenth of a second, with trading intensity increasing ten-fold in the quarter second following the news release. Profits from trading quickly on announcement surprises are relatively small, however, and decline in recent years. Trading profits also decrease with relative quote intensity. The speed of information incorporation increases in recent years and order flow becomes less informative, consistent with prices responding to news directly rather than indirectly through trading. Our evidence is consistent with increasing competition among high frequency traders, which mitigates concerns about their speed advantage.
Professor Tarun Chordia received his PhD in finance from the Anderson School, UCLA, in 1993. He was an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University from 1993. He joined the Goizueta Business School at Emory University in 2000. Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group.
Professor Chordia’s research is grounded in both theory and empirical methods, and spans a diverse area of financial economics. He has received numerous awards for his research on empirical asset pricing and market microstructure. Professor Chordia has published extensively in the top finance journals, such as Journal of Business, Journal of Finance, Journal of Financial Economics, Journal of Financial Markets, Journal of Financial and Quantitative Analysis and the Review of Financial Studies. He is currently the managing editor of the Journal of Financial Markets and a past associate editor of Review of Financial Studies. He has been on the program committee for the American Finance Association, European Finance Association, NBER Market Microstructure group, Stern Microstructure Conference, the Utah Winter Finance Conference and the Western Finance Association meetings, and is a referee for numerous journals.
The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program. 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 sponsored by the School of Systems & Enterprises, Financial Engineering Division.
Babbio 541 / CCSE LAB
Center for Complex Systems & Enterprises
Distinguished Lecture Series
Let's go public!: How high quality of public space can boost quaiity of life in cities
Maria Vassilakou - Vice-Mayor, Vienna, Austria
Abstract: The face of a city is its public space. If we animate urban space with people walking it becomes public space offering places that invite people to stop, interact with each other and use the city. The quality of public space is crucial for quality of life. Walking is the primary way we directly engage the city. It is when we walk that we interact with urban form and with each other. In this way we can bring the best of the city to the surface. Walking and high quality of public space are therefore major strategies for urban development that aim to improve quality of life in cities. Public space needs to be understood as the place where we can develop community and a sense of living together, of sharing the city.
Biography: Maria Vassilakou started her political career as Secretary General of the Austrian Students’ Union. In November 1996 she became Member of the Vienna Provincial Parliament and in 2004 Head of the Parliamentary Group of the Green Party. Since November 2010 Maria Vassilakou is Deputy Mayor of Vienna and Executive City Councillor for Urban Planning, Traffic & Transport, Climate Protection, Energy and Public Participation and was reelected in 2015. Maria Vassilakou is the first Executive City Councillor with a migration background. She was born in Greece and sees Vienna as an open, modern and diverse city.
The Center for Complex Systems and Enterprises (CCSE) focuses its research on four key domains – Healthcare Delivery, Financial Systems, Sustainable Energy, and National Security – from the lens of Complex Systems and Enterprises.
Financial Engineering Seminar Series
David Meza - Chief Knowledge Architect at NASA Johnson Space Center
ABSTRACT: In this high speed digital era, organizations have to deal with high volumes of structured and unstructured data. New digital tools are being developed to help analyze and visualize this vast amount of data, however many challenges still remain. In this presentation a Knowledge architecture strategy for identifying, organizing, analyzing, and visualizing your critical data to improve organizational decisions making will be discussed.
BIO: David Meza currently serves as the Chief Knowledge Architect at NASA Johnson Space Center. He holds a BS in Management Information Systems, a Master’s in Engineering Management from the University of Houston Clear Lake (UHCL) and is currently pursuing an MS in Statistics from UHCL. During his tenure at NASA, he has worked in all aspects of the Information Technology field developing and deploying several IT systems in use at JSC. His desire to improve IT processes and systems lead him to earn Master’s certificates in Project Management and Six Sigma in addition to becoming a NASA certified Lean Six Sigma Master Black Belt. In his current role at JSC, he established the Operational Excellence program, promoting a viewpoint of organizational leadership that stresses the application of a variety of principles, systems, and tools toward the sustainable improvement of key performance metrics by focusing on the needs of the customer, empowering employees, and optimizing existing activities in the process. Mr. Meza is conducting research on Automatic Classification algorithms, domain specific search interfaces, topic modeling, data driven visualization and a Bayesian network model for risk analysis. Findings from the research should help improve strategic planning, decision analysis and operational processes.