Measuring and Using Trading Algorithms Effectively
New York, NY
Thursday,
Nov 1, 2018 at 6:00 PM EDT
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"name":"Measuring and Using Trading Algorithms Effectively",
"description": "https://ticketfi.com/event/2652/measuring-and-using-trading-algorithms-effectively\n\n\"Join us on November 1st for a seminar hosted by WatRISQ, University of Waterloo and Columbia University: Measuring and Using Trading Algorithms Effectively, presented by Dr. Heath Windcliff (BMath 1998, MMath 2000, PhD 2003).\\n\\nIn order to build effective trading algorithms, you need to effectively measure trading algorithms. In this talk we will talk about what factors we look at when measuring trading engine performance in tuning our algorithms. \\n\\nSpecifically we will discuss several common benchmarks and discuss what each of these focus their lens upon, and what these measurements are blind to. We will focus on the precision of these measurements and where these sources of noise and uncertainty come from. We will show a lower bound on the amount of noise expected in these measures so you can determine how precisely one can expect to be able to measure trading performance for a given amount of flow. This has material implications on the feasibility and applicability of quantitative best-execution measures for many users.\\n\\nFinally we will show how use these methods in our engine tuning process.\\n \\n\\n \\n\"",
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"location":"Manhattan Institute of Management - ",
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Event Details
Join us on November 1st for a seminar hosted by WatRISQ, University of Waterloo and Columbia University: Measuring and Using Trading Algorithms Effectively, presented by Dr. Heath Windcliff (BMath 1998, MMath 2000, PhD 2003).
In order to build effective trading algorithms, you need to effectively measure trading algorithms. In this talk we will talk about what factors we look at when measuring trading engine performance in tuning our algorithms.
Specifically we will discuss several common benchmarks and discuss what each of these focus their lens upon, and what these measurements are blind to. We will focus on the precision of these measurements and where these sources of noise and uncertainty come from. We will show a lower bound on the amount of noise expected in these measures so you can determine how precisely one can expect to be able to measure trading performance for a given amount of flow. This has material implications on the feasibility and applicability of quantitative best-execution measures for many users.
Finally we will show how use these methods in our engine tuning process.
Speakers
Morgan Stanley
Managing Director
Location
Manhattan Institute of Management
110 William Street, 3rd floor New York, NY 10038 USA
Tickets
Type |
Price |
|---|---|
|
Heath Windcliff |
Free |
Organizer Details
Faculty of Mathematics
Questions about this event? Let us know!
Kristine McGlynn
Alumni Engagement Program Specialist, Math Advancement
kmcglynn@uwaterloo.ca
