High-Frequency Trading: Theory and Applications （高频交易理论及应用）
October 6th, 2017 (Friday), 6:00PM -- 9:30PM
150 E 42nd St, New York NY（具体地址会在活动前发到你的注册email ）
6:00-6:30 Check-in / Registration
6:30-6:40 Opening remark
6:40-7:40 HFT Principles by Steve Xu
7:40-8:40 High-Frequency Cross-Market Trading: Model Free Measurement and Applications by Dobrislav Dobrev
Steve Xu (许西桥) – Partner of Hehmeyer LLC
Mr. Steve Xu, partner of Hehmeyer LLC (previously known as HTG Capital Partners LLC) and president of the Chinese Trading and Investment Association, has 12 years’ experience in futures trading. After graduated from Peking University with B.S. degrees in both Economics and Geology in 2001, he went on pursing a doctor's degree in GeoPhysics and M.S. degree in Financial Engineering in the University of Michigan. In 2005, he decided to give up his doctor's study and became a trader in Jump Trading. In 2009, he joined HTG Capital Partners LLC as a partner and led a team trading US index futures, treasury futures and commodity futures. In 2008, along with two friends, he founded Chinese Trading Club ("CTC") and served as president. In 2016, he became president of the Chinese Trading and Investment Association after merging CTC with the Chinese Derivatives Association.
Topic: HFT Principles
Abstract: In this talk, Mr. Xu will demystify what HFT really is, correct some common misconceptions, explain basic principles behind HFT trading, introduce some common HFT strategy types, and explain why, in his mind, HFT has existed, will exist and must exist in one form or another in a free market place.
Dobrislav Dobrev – Senior Economist at the Federal Reserve Board
Dr. Dobrev is a Senior Economist at the Federal Reserve Board. His research is focused on volatility, jumps, and co-movements of high frequency financial time series with emphasis on robust inference in finite samples, data reduction techniques, and applications to risk measurement and forecasting. He has contributed to the development of a variety of methods such as range-based and duration-based estimation approaches, robustification via neighborhood truncation and functional filtering procedures, as well as, most recently, robust techniques for latent factor extraction. He holds a PhD in Finance from Northwestern University’s Kellogg School of Management and is the winner of the 2007 Chookaszian Prize in Risk Management.
Topic: High-Frequency Cross-Market Trading: Model Free Measurement and Applications
Abstract: Dr. Dobrev proposes a set of intuitive model-free measures of cross-market trading activity based on publicly available trade and quote data with sufficient time stamp granularity.
Registration Link: 在线报名(Submit)
Fee: CTIA members: $15; Non-members: $25
Note: You're encouraged to register for CTIA membership