CFEM Senior Research Associate Sasha Stoikov Presents at NYU Tandon Brooklyn Quant Experience (BQE) Lecture Series

Description

In a special, cross-promotional event, CFEM Senior Research Associate Sasha Stoikov will be a guest lecturer at NYU Tandon this Thursday, April 15, at 9:30am EDT. As part of the Brooklyn Quant Experience (BQE) Lecture Series, Sasha Stoikov will discuss "The Microstructure of Cointegrated Assets." See below for the full event description. Please note: this event is in addition to Dr. Peter Carr's (NYU Tandon) headlining presentation at CFEM on Tuesday, April 13, starting at 5pm EDT: https://events.cornell.edu/event/cornell-citi_financial_data_science_webinar_with_peter_carr_nyu_feat_lorenzo_torricelli == Title "The Microstructure of Cointegrated Assets" Meeting ID: 942 9844 6763 Password: FREBQESS The Department of Finance and Risk Engineering welcomes Sasha Stoikov, Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM), to the BQE Lecture Series. Abstract I will present a generalization of the micro price to multiple assets. This yields a notion of fair prices, as a function of the observable state of multiple order books. I will show how to compute the microprices of two highly cointegrated assets, using Level-1 data collected on Interactive Brokers. I will then test the model by designing an execution algorithm based on this two-dimensional microprice and show that it can save half of the bid-ask spread cost. Bio Sasha Stoikov has 15 years of experience at the interface of academia, startups, and the financial industry. He is a Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM) and was a VP of High Frequency Trading at Cantor Fitzgerald. He has also launched a music tech startup called PIKI. https://www.facebook.com/NYUSOEFRE/ https://twitter.com/NYUFRE