Dr. Robert Ferstenberg
Degrees: BS, MS, and PhD from the Cornell Sibley School of Mechanical Engineering
Position: Head of Quant Research
Dr. Ferstenberg is a Founding Member of the CFEM Advisory Board who has more than 25 years of experience in quantitative trading for both agency and principal order execution and statistical arbitrage. He has significant expertise in all phases of the investment cycle from portfolio construction to pre-trade analysis to optimal execution and post-trade analysis.
Highlights of Dr. Ferstenberg's CV:
1992-2000: Investment Technology Group, Senior Vice-President
- As head of the Financial Engineering Group, led the design, development and deployment of Market impact estimation and optimal order execution model (ACEtm); limit order execution model; portfolio optimization and historical back-testing system (ITG/Opttm); etc.
2000-2011: Morgan Stanley, Institutional Sales and Trading Division, Managing Director
- Led the design, development, and deployment of Benchmark Execution Strategies (BXStm) algorithmic trading platform for cash equities, ETFs, futures, and FX, as well as pre-trade and post-trade analytics platforms
2011-2014: Consulting Engagements
- Development of a transaction cost model for "large" portfolio transactions (with R. Engle)
2014-2016: Academic Research
- Visiting Scholar: Assisted the NYU Volatility Institute with research on liquidity models
2016-2018: Investment Technology Group, Managing Director and Member of the Executive Committee
- As Head of Quantitative Research, led the design and development of an analytical platform to support all phases of the investment cycle: portfolio construction/pre-trade analysis/optimal execution, and post-trade performance attribution
2018-Current: Formed an LLC to develop models of the intra-day dynamics of equity price impact for use in simulations to prove the economic value of cooperative order execution