Vlad Rashkovich Spoke on Short-Term Alpha Profiling of Portfolio Managers

Vlad Rashkovich (Global Head of Quantitative Trading Research, Bloomberg LP) gave an engaging and insightful talk on short-term alpha profiling of portfolio managers in the Mathematical Finance Seminar at NYU Courant last night. Topics he covered included, how to:

• analyze historical orders to detect behavioral patterns of portfolio managers, traders and markets;
• determine expected momentum, based on similar historical trades for the same portfolio manager and trade side;
• compute an optimal execution speed based on expected momentum and trade cost model; and
• compare profiling results to the actual trading to gauge P&L opportunities.

Thanks to all of you who attended!

Other upcoming seminars.