Mathematical Finance & Financial Data Science Seminar
The Informational Content of Cross-Sectional Multi-level Order Flow Imbalance in US Equity Markets
Speaker: Nicholas Westray, Head of Execution Research, Multi-Asset Solutions - AllianceBernstein & NYU Courant
Location: Online Zoom access provided to registrants
Date: Tuesday, October 25, 2022, 5:30 p.m.
Synopsis:
In this talk we discuss the importance of different types of Order Flow Imbalance (OFI) for contemporaneous return prediction in the US Equity market. We consider multilevel OFI, built from the deeper layers of the order book as well as cross sectional OFI built from the imbalances of other stocks. In the multi-level OFI case we provide a Bayesian formulation to help identify the best number of levels to be used in prediction. In the cross sectional OFI case we provide a highly efficient implementation of the well known Automatic Relevance Determination (ARD) method to help identify the number of cross sectional stocks contributing to the return forecast. We provide practical comments on how to obtain the best model in the cross sectional case, using the Shapley value to assess the contribution of various terms to performance.
Bio:
Nick is currently head of Execution Research & co-head of Trading in the Multi-Asset Solutions group at AllianceBernstein, where he focusses on automating and improving execution across Equities, Futures and FX. He is also a visiting researcher in Financial Machine Learning at the Courant Institute of Mathematical Sciences at NYU working on problems at the intersection of optimal execution, market microstructure and deep learning. Previously he was a Senior Quant Researcher in the Equity Execution group at Citadel focusing on block trading and market Impact. Prior to that he was at Deutsche Bank involved in the Central Risk Book and Algorithmic Trading. He holds a PhD from Imperial College London and was a Postdoctoral Research fellow at Humboldt Universitaet zu Berlin.
Notes:
This event is free, but requires registration. Please click here to register. You will then receive the Zoom link by email about a day or so before the event.