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Modeling Transaction Costs for Algorithmic Strategies

First off - this is a new location for us! Fidelity has graciously offered the use of their new ThinkSpace.  It's amazing, and I think you'll all love it.   Because of the location we're going to have to cut off registrations at 2PM on the day of the event.  Also, we need first and last names to give the Fidelity door people.

Second, we have confirmed our speaker: Tomas Bok, PhD.  Here is the topic description: Forming reasonable transaction costs assumptions is a critical component of developing and backtesting a successful trading strategy. In this talk, Tomas Bok will discuss how to address transaction costs for various flavors of algorithmic investment strategy. He will cover Quantopian's two slippage models: their correct usage, their limitations, and how to determine whether your strategy requires augmenting these canned models with additional cost modeling components. He will draw on his hedge fund algorithmic trading experience to help set expectations about the explicit and implicit costs that your algorithmic strategy might face during live trading.

About: Tomas is a 14-year veteran of the sell-side and buy-side.  He is an expert on algorithmic trading and transaction cost analysis. He headed the algorithmic trading program at ITG, and managed the US algorithmic trading and global equity analytics products at Lehman Brothers. In 2007, he joined GMO to rearchitect their trading process for their US and international quantitative teams. He spent the last 3 years at Alvarium Capital, a hedge fund that he started with two partners, running an experimental blend of quantitative low- and high-frequency trading strategies. He holds a PhD in economics from Harvard University, where he focused on game theory and learning.


If you have door problems, call fawce @[masked]

If you are driving, the best parking is in the open lots in Fort Point. There is one on A street, along the Fort Point Channel. Drive down Summer street, over the bridge, come to a set of lights. Turn right on Melcher Street, drive to the end, turn right onto A Street, and lot will be on your right. Here's the google streetview of the lot:

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  • Brenden C. M.

    It was GREAT!!

    April 25, 2013

  • A former member
    A former member

    Guest Name: Wenting Ye

    April 24, 2013

  • Richard W.

    Excellent topic but unfortunately I will not be able to make it.

    April 22, 2013

  • A former member
    A former member

    Just looking to expand my mind by seeing how this industry operates.

    April 21, 2013

  • Merlin C.

    This looks interesting, yet won't be able to attend. I am wondering if slides will be made available and/or if there will be a recording?

    April 18, 2013

  • George T.

    will be there.

    April 10, 2013

  • Max R.

    Wish I knew more about who was presenting, etc., but you had me at "transaction costs"

    April 10, 2013

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