Research & Innovation

High-Frequency Conference a ‘Perfect Hybrid’ for Sharing Finance, Computer Science Research

Three-Day Event Brought Thought Leaders from Facebook, Bloomberg, FINRA and Academia to Stevens

A male presenter delivers a talk at a podium in a conference space at the Stevens campus.
Dr. Erik Brinkman, a research scientist at Facebook, presents at HF2019. He called the conference 'a perfect hybrid' of computer science and finance.

The School of Business at Stevens Institute of Technology has a reputation for thought leadership in areas like machine learning, data analytics and fintech, so it’s no surprise that it drew a sizable crowd for the three-day Conference on High-Frequency Finance and Data Analytics. 

Dr. Erik Brinkman, a research scientist at Facebook who completed his Ph.D. at the University of Michigan a year ago, was making his first appearance at the event, having learned about it from colleagues in his research lab.

“The talks were interesting,” Dr. Brinkman said. “My Ph.D. was in computer science, so most of my presentations are to computer science crowds. But some of my later research is more about finance — we’re submitting to finance journals, and talking at finance conferences — and this was a perfect hybrid of the two.” 

Ionut Florescu welcomes guests to HF2019.
Dr. Ionut Florescu welcomes guests to HF2019 at Stevens. Dr. Florescu brought expertise from companies like Bloomberg, Mizuho and Facebook to the three-day event.

His talk focused on the interaction of trading strategy and financial market stability through a combination of agent-based modeling and game theory. This work, with colleagues from Michigan, aims to predict how quickly prices can recover from market shocks. 

Dr. Brinkman, whose work at Facebook involves research into user representation modeling, said the audience “has much more understanding and knowledge of computer science. And machine learning, in general, was not a thing people were shying away from.”

The conference, HF2019, took place between June 27 and 29 on the Stevens campus in Hoboken, NJ. It was the eighth edition of the conference, pairing high-level talks in modeling, analytics and machine learning with a rock show, High-Frequency Vibrations, that featured four local bands. 

“The conference was an incredible opportunity to hear from some of the leading experts in A.I., high-frequency finance, model risk management, neural network applications in finance and machine learning,” said Dr. Ionut Florescu, a research associate professor at Stevens who runs the conference. “We had speakers representing industry — from Bloomberg, Mizuho and Facebook — as well as top universities and financial regulators.”

The speakers at HF2019 come from diverse professional backgrounds, but most have multiple papers on subjects related to high-frequency data analysis and are frequent contributors to scholarship in this area. Featured speakers included Dr. Peter Carr and Dr. Jerzy Pawlowski, both of New York University; Dr. Paul Glasserman, of Columbia University; Dr. Ricardo Rivera, of JPMorgan Chase; and Dr. Dror Kenett, of FINRA.

A guitar player performs at Stevens.
A singer performs at the High-Frequency Vibrations rock show during the event.

The conference builds upon Stevens’ research leadership in the fintech space. The School of Business is home to the Hanlon Financial Systems Center, which houses two state-of-the-art lab facilities that allow for the collection, cleaning, analysis and visualization of vast financial data sets. The labs are a key component of the undergraduate program in Quantitative Finance and the Student Managed Investment Fund course, as well as master’s degrees in Finance, Financial Engineering and Financial Analytics

The ability to present their work to such a distinguished group was a key factor in bringing presenters like Dr. Brinkman. 

“Talking to people afterwards gave me some new ideas on how I can move this work forward,” he said. “I’ve changed my research direction a bit since moving to Facebook, but I still have ideas from my Ph.D. work that I want to dig into. I’ll definitely be following up with some people I met here as I move that forward.”

Hanlon Financial Systems Center Graduate business programs School of Business