Purdue Puts Spotlight on High-Frequency Data Analysis in Finance, Across the Hudson River From Wall Street - Department of Statistics - Purdue University Skip to main content

Purdue Puts Spotlight on High-Frequency Data Analysis in Finance, Across the Hudson River From Wall Street


For the fifth year running, the conference on "Modeling high-frequency data in finance" will be held at Stevens Institute of Technology, in Hoboken, NJ, a fifteen-minute train ride from Wall Street. Purdue's Computational Finance Program Director, Prof. Frederi Viens, co-organizes the event. 

As in the past, the conference will focus on the latest developments in trading at high frequency (HF), covering a number of approaches to understanding its implications. Academics from the mathematical and statistical sciences will present stochastic models for market behavior including discrete time-models for microstructure and limit-order books, and continuous-time diffusion approximations. Financial practitioners will discuss algorithmic trading strategies based on these and other models, including specific implementation questions. Economists and quantitative finance researchers will discuss broader implications of HF trading, such as the trade-off between systemic risk and the benefit of ultra-high frequency firms. Government researchers from New York State and Washington, DC will cover regulatory aspects of financial markets with HF activity.

The National Science Foundation is the event's main sponsor; Purdue Computational Finance students are encouraged to attend and apply for funding. Go to the Conference Website (formerly located at http://kolmogorov.fsc.stevens.edu/conference2013/) and click on "Registration and Support" for instructions. Funding is limited, so apply early.

HF finance is an exciting topic, it makes the mainstream news and spawns controversy and congressional hearings. Come and find out more about it!

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