Mathematical Finance & Financial Data Science Seminar
In-depth Dive into Short-term Alpha Profiling of Portfolio Managers
Speaker: Vlad Rashkovich, Bloomberg LP
Location: Warren Weaver Hall 1302
Date: Tuesday, October 23, 2018, 5:30 p.m.
In this talk we will look how profiling of the order flow can translate billions of assets under management into additional millions in profits for investors. In particular, we will:
(a) analyze historical orders to detect behavioral patterns of portfolio managers, traders and markets;
(b) determine expected momentum, based on similar historical trades for the same portfolio manager and trade side;
(c) compute an optimal execution speed based on expected momentum and trade cost model; and
(d) compare profiling results to the actual trading to gauge P&L opportunity
Bio: Vlad Rashkovich
Global Head of Quantitative Trading Research at Bloomberg LP
Vlad Rashkovich is the global head of Quantitative Trading Research in New York, where he focuses on building frameworks and quantitative tools that present new alpha frontiers to institutional traders, portfolio managers and analysts. His research has been published in the Journal of Trading, Best Execution and Bloomberg Markets magazine.
Prior to joining Bloomberg, Vlad was a senior product manager at AllianceBernstein responsible for multi-asset portfolio optimizations and quantitative models implementation. He began his career as a fundamental buy-side research analyst at UBS and a portfolio manager for high-net worth clients.
Vlad is an editorial board member of the Journal of Trading and founder of the Trading BulletIn, a periodical for the advanced community of traders and portfolio managers on Bloomberg. He frequently speaks at leading industry conferences around the world and has been interviewed by the Institutional Investor for their “Voices of Influence” series.
Vlad earned his bachelor’s degree in economics and accounting from the Hebrew University of Jerusalem and his Master of Business Administration from Columbia Business School.