QuantBrains Seminar Series
Available on-demand
Transaction Cost Analysis for Futures Trading
May 14th, 2020
Introduction and opening remarks by Luc Fortin, President and Chief Executive Officer of the Montréal Exchange and Global Head of Trading of TMX Group. Tune in as Robert Almgren, Chief Scientist & Co-Founder of Quantitative Brokers presents QB's transaction cost model on listed futures and the performance of QB's execution algorithms under the volatile COVID-19 market environment.
Speakers
Robert Almgren, Chief Scientist & Co-Founder of Quantitative Brokers
Robert Almgren is Co-Founder and Chief Scientist at Quantitative Brokers. Robert holds a Ph.D. in Applied & Computational Mathematics from Princeton, an M.S. in Applied Mathematics from Harvard, and a B.S. in both Physics and Mathematics from MIT. Before founding QB in 2008, Dr. Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Bank of America. Before that, he was a professor of mathematics at the University of Chicago and then the University of Toronto, where he was Director of the Master of Mathematical Finance program. He is currently a visiting Professor at Princeton University, where he teaches a course on High-Frequency Trading. Robert is widely known for his seminal work on the Almgren-Chriss paper, a milestone in algorithmic trading, and his continuous market microstructure research at Quantitative Brokers.
Luc Fortin, President and Chief Executive Officer of the Montréal Exchange and Global Head of Trading of TMX Group
Focused on leading growth in the areas of TMX derivative, fixed income, private markets and equity trading businesses, Luc helps to deliver a best-in-class experience to trading clients, developing and offering new product solutions. He joined MX as Managing Director, Derivatives Trading in June 2016, following a 25-year career in Canada's capital markets industry leading client-facing teams in fixed income and derivatives. Prior to joining MX, he served as Managing Director, Canadian Head of the Institutional Client Group at HSBC Bank Canada. In this role, Mr. Fortin led HSBC's institutional client-facing businesses in rates and credit, derivatives, foreign exchange and money markets across Canada. Prior to HSBC, he held senior leadership positions at TD Bank and TD Securities. Mr. Fortin is a graduate of the TD Securities Leadership program at Ivey Business School and holds a Bachelor of Commerce from University of Ottawa. He has served as Board Chair of CANMarket Data and was an Investment Industry Association of Canada board member from 2006-2010.
