QuantBrains Seminar Series
Available on-demand
Cost Estimation Using Neural Networks
July 14th, 2021
Estimating the cost of trading is a constant exercise that Quantitative Brokers (QB) tries to solve, and it is more challenging in the absence of order-level data. Over the past year, QB has been focused on different clustering techniques to extrapolate the cost of execution using multi-dimensional inputs such as quote size, volatility, and liquidity for cost estimation purposes. Watch the webinar to learn about our latest research using neural networks for cost estimation of products across different regimes and even exchanges.
During this webinar, you will learn about QB’s newest research on:
How to strategically use regime identification for best execution
Navigating noisy data sets utilizing clustering techniques
Cost extrapolation using Unsupervised Neural Networks
Speakers
Shankar Narayanan - Head of Research at Quantitative Brokers
Shankar Narayanan is the Head of Research at Quantitative Brokers. Shankar has over 14 years of experience working in the buy and sell-side. Prior to joining QB, Shankar was a researcher and co-portfolio manager at a statistical arbitrage hedge fund in New York City. Prior to that, Shankar worked with a well-known equity proprietary and market-making firm generating short-term alpha ranging from seconds to minutes. Shankar applies his previous experience to his current work on liquidity measurement, roll-timing forecasts, and signals research using machine learning and statistical methods.
Tom Connors - Global Sales and Origination, North America at SGX
Tom Connors is responsible for Singapore Exchange (SGX)’s business development and sales within North America. This includes marketing SGX’s core suite of products and services across asset classes including equities, fixed income, currencies, and commodities, as well as its data connectivity and indices business.
Neil Salter- Director of Algorithmic Sales at Quantitative Brokers
Neil Salter is a Director of Sales for Quantitative Brokers’ premiere algorithmic trading strategies and analytics. Prior to joining QB, Neil spent extensive time in the UK, Asia, and for the past 10 years in the U.S., heading several tier 1 listed and OTC trading desks, and working on both the sell and buy-side.
