QCF SEMINAR :: Analytics of Optimal Execution

Event Details
  • Date/Time:
    • Tuesday November 14, 2006 - Monday November 13, 2006
      10:00 am - 11:00 pm
  • Location: Executive Classroom, ISyE Main Bldg, Room 228
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: QCF SEMINAR :: Analytics of Optimal Execution

Full Summary: QCF SEMINAR :: Analytics of Optimal Execution

In my talk, I will discuss the formulation of optimal execution as a mathematical optimization problem that represents a trade-off between return, transaction cost and execution risk in the presence of trader-specific constraints. I will present some results of our research on the modeling of transaction costs using execution and market data and compare the characteristics of optimal trading strategies that result from the application of the model to the trade scheduling problem.

Bio
Amit Manwani leads the US Equity Quantitative Research and Analytics group at Lehman Brothers. In this capacity, Mr. Manwani manages a team of quantitative researchers that develop mathematical models, analytical tools and trading algorithms for internal trading desks and clients, as well as provide analytical consulting services to help clients optimize their investment and trading processes.

Mr. Manwani has a B.Tech in Electrical Engineering from the Indian Institute of Technology, Mumbai and a PhD in Computation and Neural Systems from the California Institute of Technology, where he specialized in the mathematical modeling and analysis of complex systems.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Categories
Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:32am
  • Last Updated: Oct 7, 2016 - 9:52pm