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Upcoming Events

    • 24 Oct 2022
    • 6:00 PM (EDT)
    • Fordham University McNally Amphitheatre 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    In Person Event:

    Fordham University

    McNally Amphitheatre

    140 West 62nd Street

    New York, NY 10023


    Registration Fees:

    Complimentary for IAQF members

    Thalesians Members: $25

    Non-Members: $25

    Abstract:

    The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state turnover can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γ sqrt(n+1) where γ is a liquidity-adjusted notion of risk-aversion, and n is the ratio of mean-reversion speed to γ.

    Bio:

    Gordon Ritter completed his PhD in mathematical physics at Harvard University in 2007. His publications while at Harvard were in quantum field theory, differential geometry, quantum computation and abstract algebra, including a well-known simplicity theorem for Kac-Moody groups and a mathematically rigorous treatment of Euclidean QFT on Riemannian manifolds. Prior to Harvard he earned his Bachelor's degree with honors in Mathematics from the University of Chicago.

    Dr. Ritter currently teaches at Columbia, NYU, University of Chicago and the Baruch MFE program. His academic research is on portfolio optimization and statistical machine learning; his finance publications can be found in journals including Risk, the Journal of Portfolio Management, Journal of Financial Data Science, European Journal of Operations Research, and others. 

    He was named Buy-Side Quant of the Year in 2019 (researchers awarded the same honor in other years included Marcos Lopez de Prado, Alex Lipton, and Jean-Phillipe Bouchaud). In parallel with his teaching responsibilities, Dr. Ritter works full time in the industry. In 2019 he founded Ritter Alpha LP, a registered investment adviser running systematic absolute-return trading strategies across multiple asset classes and geographies, based on cutting-edge technology and rigorous applications of statistics and the scientific method to investment problems. 

    Prior to founding Ritter Alpha, he built a successful trading system from scratch at GSA Capital, a firm which won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times. Prior to GSA, Dr. Ritter was a Vice President of Highbridge Capital Management (HCM) and a core member of the HCM statistical arbitrage group, a small team sharing full discretion over systematic trading models that generated billions in profit for investors and directed trillions of dollars of trades across global equities, futures and options. Several senior members of the HCM statistical arbitrage group later joined Gordon at Ritter Alpha. In his spare time Gordon enjoys scuba diving in Hawaii, and is passionate about preservation of Native Hawaiian culture and marine ecosystems.

Latest News

July 12, 2022

The IAQF Announces the Winners of the Eleventh Annual IAQF Academic Affiliate Membership

Student Competition

New York, NY, July 12th, 2022 -- The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Eleventh Annual Academic Affiliate Membership Student Competition. Twenty-five teams representing fourteen academic programs submitted papers in response to this year's competition problem which focused on predicters of the state of the market. The full problem can be found on the IAQF Site hereThe competition submissions went through a blind, multi-level selection process and were reviewed by a judging panel comprised of IAQF Board Members. Six teams were selected as winners. The winning papers are available below.

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Douglas Breeden

Douglas Breeden is William Priest Professor and former Dean of Duke’s Fuqua School.  He served at Chicago, Stanford, North Carolina and Fischer Black Visiting Professor at MIT, winning ”Outstanding Teacher.”

Breeden published seminal research on insurance prices implicit in options, and Consumption CAPM. His “Central Bank Policy Impacts on Insurance Prices,” won Q-Group’s Roger Murray Prize and was presented globally to central banks.

Breeden was elected to the AFA Board and lifetime Fellow.  The IAQF named Breeden “Financial Engineer of the Year.”

Breeden holds a Stanford Ph.D., and S.B. from M.I.T., was Co-founder of Smith Breeden and on Commonfund’s Board.

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