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Smart Order Router Allocation Algorithms
We consider optimal routing of an order across several trading venues. Specifically, we examine a class of optimal allocation algorithms that try to minimize the overall execution time of a passive order while distributing it to several limit order books at once. These algorithms operate inside smart order routers (SORs) used by electric trading brokers. We discuss constrained variations of the routing problem as well as extensions that use online estimation and reallocation.
Bio: Michael Sotiropoulos is managing director at Imperative Execution Inc., where he runs research and development of quantitative trade execution. Prior to this role he was senior quantitative analyst at Citadel Securities, and global head of quantitative research in equities electronic and portfolio trading at Deutsche Bank and Bank of America Merrill Lynch. He has also worked in equity derivatives and structured products at Bank of America and Bear Stearns. He is a long-time visiting professor of computational finance at Princeton University. He also teaches advanced C++ and market microstructure at Fordham Business School. Michael has a Ph.D. in theoretical physics from Stony Brook University. Before joining the finance industry, he taught and worked in quantum field theory and particle physics at the University of Southampton, England and at the University of Michigan.