Due to increased availability of high frequency data and the latest computing advances, financial practitioners are able to design systems that can analyze this information. Growing interest in this area was evident at the 7th Annual Stevens Conference on High Frequency Finance and Data Analytics, hosted by Stevens Institute of Technology in Hoboken, N.J. With over thirty presentations, speeches and panel discussions, this conference is one of the foremost annual events focused on high frequency finance and analytics.
“Since we started organizing this series in 2009 the conference and its impact grew tremendously. It is particularly rewarding to see former student presenters now giving regular talks in the main conference program,” said Dr. Ionut Florescu, director of HFSL and research associate professor at Stevens Institute of Technology.
Professor Florescu is the co-editor of High Frequency, the only interdisciplinary journal on applied and theoretical topics devoted to large data sets sampled at high frequency. Research centering the conference will be presented in the journal, as well research on quantitative finance, seismology, astrophysics, communications, imaging, neuroscience, and environmental statistics.
High frequency research and developments on display
Hundreds of scholars, researchers, industry professionals and students from all over the world attended the conference where new developments in the rapidly growing field of high frequency were highlighted. Academic researchers and thought leaders in the areas of mathematical finance, financial engineering, quantitative finance, stochastic processes and applications shared the latest research and model applications for data sampled with high frequency.
Participants immersed themselves throughout the event with multiple poster sessions, data provider presentations and networking opportunities. The opening day of the event commenced with a gathering at the Wesley J. Howe Center, a 14-story high-rise building on the Stevens campus, before moving on to the Lawrence T. Babbio, Jr. Center, which is the home to the Hanlon Financial Systems Lab (HFSL).
HFSL allows for research and instruction into how finance is evolving in response to changing technology. HFSL lab resources include a state-of-the-art trading room, advanced financial research and training facility, software engineering lab, and cybersecurity testing facility.
The three-day conference included keynote lectures and presentations from leaders in academia, government and industry. This included Professors Peter Carr of NYU Tandon School of Engineering, Emanuel Derman of Columbia University, Paul Glasserman of Columbia University (all three are recipients of the Quant of the Year award and multiple other industry awards), and Xin Guo of the University of California, Berkeley, who is one of the most influential researchers in the field. There were many speakers from industry as well including Blu Putnam, chief economist of CME group and Robert Almgren, president and co-founder of Quantitative Brokers, arguably the father of algorithmic trading.
Stevens alumnus John Schwall, chief operating officer of IEX, a U.S. based public stock exchange was featured in a fireside chat which is a novel feature for this type of conference. Schwall graduated from Stevens with an engineering degree in 1995 and an M.S. in Technology Management in 1998.
Graduate students from across the globe presented their research during the conference as well, including four Stevens doctoral students: Mohamad Afkhami, Cheuk Mo, Thiago Winkler and Ziwen Ye.
On the last day of the conference, attendees networked and dined during a river cruise overlooking the Manhattan skyline in NYC, one the major hubs of the global finance industry.