QuantBrains Seminar Series
Available on-demand
Transaction Cost Model:
Market & Liquidity Impacts Across European Interest Rate Futures
October 21, 2020
How has the on-going pandemic impacted market conditions, liquidity, and the cost of trading? Please join Quantitative Brokers and Eurex for a virtual QuantBrains on October 21st, 2020 for an interactive discussion on QB’s transaction cost model and the effect of recent changes in market and liquidity conditions across European Futures contracts. In this webinar, you will hear from Lee Bartholomew Eurex’s Global Head of Fixed Income Product R&D and QB’s Chief Scientist and Co-Founder, Dr. Robert Almgren.
Speakers
Lee Bartholomew, Head of Derivatives Product, R&D Fixed Income, Eurex
Lee Bartholomew is the Head of Derivatives Product R&D Fixed Income at Eurex. He is responsible for developing the existing portfolio of products and the evaluation as well as the implementation of new products and services within FIC. He is responsible for leading the next phase of product innovation by building and managing Eurex product FIC research and development business. Prior to joining Deutsche Börse, Lee was responsible for building out the flow structured rates trading business at Royal Bank of Canada. Before RBC, he was at Lloyds Banking Group where he held a number of senior trading positions within its Global Derivatives Trading business, responsible for market-making GBP, EUR, and USD vanilla and exotic interest rate derivatives to its clients.
Robert Almgren, Co-Founder and Chief Scientist, 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.
