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!
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