Events / Upcoming

    • 14 Feb 2023
    • 6:00 PM (EST)
    • Fordham University: McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    McNally Amphitheater

    140 West 62nd Street

    New York, NY 10023

    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.


    Proof of Vaccination Upon Entry is Required for In-Person Attendees


    Abstract:

    How can a market making algorithm use information in the order book when computing bid and ask quotes? Market making models, such as Avellaneda and Stoikov (2008), compute bids and asks around the midprice, to minimize inventory risk. In practice, the midprice may be a poor estimate of the fair value, particularly for cryptocurrencies, where the tick size is relatively small. Using Bitcoin data, I backtest market-making strategies around the midprice, as well as other microstructure adjusted prices. In particular, a new definition of fair price, which we call the Volume Adjusted Mid Price (VAMP) consistently outperforms the mid price, from the perspective of a market maker.

    Bio:

    Sasha Stoikov has 15 years of experience at the interface of academia, startups and the finance 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.

    • 28 Mar 2023
    • 6:30 PM - 8:30 PM (EDT)
    • 2201 G street, School of Business, Funger Hall suite 108. Washington DC, NW 20052
    Register

    Financial Engineers Give a Personal View of Their Careers in Quantitative Finance

    A Series of Panel Discussions for Students Interested in a Career in Quantitative Finance

    Tuesday, March 28th

    Program: 6:30 p.m.

    Reception: 8:30 p.m.


    2201 G Street, School of Business

    Funger Hall Suite 108

    Washington DC, NW 20052


    In Partnership with:

    The George Washington University

    School of Business


    Panelists

    TBA


    Moderator

    TBA


    Registration is Free!


    Proof of Vaccination is Required


    Sponsored by:

    Panelist Biographies

    TBA

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