Intra-day Alphas in the Algorithmic Trade Execution of Portfolios,

 

Next Boston QWAFAFEW Meeting: Tuesday, 21 June 2011

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street

RSVP to Hugh@QWAFAFEW.org

 

 

 

A QWAFAFEW discussion led by:

 

Thorsten Schmidt

 

Intra-day Alphas in the Algorithmic Trade Execution of Portfolios

 

Abstract

Traditionally, designers of agency algorithms have predominantly been focused on the sourcing of liquidity, minimization of market impact & execution volatility risk, achievement of price benchmarks, spread and rebate capture.

The heightened awareness of high frequency trading strategies and their profitability, increased sophistication of agency algorithms and an ongoing desire to reduce trading costs has given rise to an increased consideration of intra-day alphas in execution algorithms. These include both generic alphas that can be “harvested” by anyone as well as alphas implicit in the investment portfolio being transacted.

This presentation will provide specific examples of these intra-day alphas and demonstrate how they can be utilized to reduce transaction costs in the context of algorithmic trade executions.
 

 

 

Bio

 

Thorsten Schmidt is managing director of Thor Advisors LLC, a consultancy he founded to develop quantitative trading strategies and strategic approaches that help institutions reduce their trade execution costs . Thorsten’s experience spans 10 years of various roles in algorithmic and electronic trading at the Island ECN and Instinet Corporation, as well as in proprietary trading at HAP Capital/PFTC Trading.

Thorsten holds a BA in economics from Columbia University and is a CFA charter holder.

 

Fine Print 

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). We will be raising annual dues soon, and turning over record-keeping to a professional service, so it would behoove you to pay now in order to delay your own dues increase! You may bring cash or check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther. Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand. 

 

Steerage Committee  

Max Arai

Hugh Crowther (Treasurer)

Dan diBartolomeo

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

John Nagorniak

Sebastien Page

Dan Potter

Dan Rie

Pasha Roberts

Evan Schulman

Jarrod Wilcox

Michael Wilcox 

 

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome..

We are in the process of formalizing our Program selection process, so that programs will be known further in advance.

 

RSVP to: Hugh@QWAFAFEW.org