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CFEM Seminar - Title: "How Much Does Real-Time Risk Cost You?" | Irene Aldridge | AbleMarkets

Wednesday, Feb 8, 2017 at 6:00 PM until 7:15 PM [.ics]
CFEM - 55 Broad Street, 3rd Floor, New York, NY 10004 - Broadcast to Rhodes Hall 267

Irene Aldridge

This event requires an RSVP.

Abstract:

Many portfolio managers underestimate the effects of intraday risk on their portfolio compositions.  This presentation discusses a quantitative study of the intraday risk in portfolios of equities, commodities, and foreign exchange.  The study shows that accounting for intraday risk in portfolios with monthly, quarterly and even annual rebalancing can improve performance by as much as 50 bps per annum, and Sharpe ratio by 0.5.

Bio:

Irene Aldridge is President and Head of Research at AbleMarkets, a Big Data for Capital Markets company. She is a recognized expert on market microstructure and high-frequency trading with over 20 years of experience on Wall Street. Prior to founding AbleMarkets, Irene was a quantitative portfolio manager and quant trader. Previously, Irene held senior and executive roles in quant risk management, large system integration, software and hardware architecture and enterprise Internet security. She began her career as a software developer.

Irene holds a BE in Electrical Engineering from Cooper Union in New York, MS in Financial Engineering from Columbia University in New York, MBA from INSEAD in Fontainebleau, France, and has studied in two PhD programs: Operations Research at Columbia University (ABD) and Finance (ABD). She has been a member of the CFTC sub-committee on HFT since 2011.

Irene is the co-author of "Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading and Flash Crashes" (Wiley, 2017, with Steve Krawciw) and the author of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” (Wiley 2009, 2013, translated into Chinese) and multiple academic studies published in peer-reviewed journals. Irene is also a columnist for Huffington Post and often appears on television in expert capacity. 

 

To download a recording of the talk please CLICK HERE!

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