Overview
Please join us for the 12th Anniversary of the Bloomberg Quant (BBQ) Seminar Series – in-person in New York City at Bloomberg’s 731 Lexington Avenue office.
In this seminar Bruno Dupire, Global Head of Quantitative Research, CTO Office at Bloomberg will present the keynote, followed by “lightning talks” of 5 minutes each in quick succession.”
Please note: No walk-ins will be allowed. Seating is limited. Please register early to reserve your seat.
Agenda
- 5:00 PM
Registration
- 5:30 PM
Keynote: Bruno Dupire
Global Head of Quantitative Research, CTO Office at BloombergA Market Design to Trade Multiple Securities Simultaneously and Application to Portfolios of Options
Exchanges have a function of facilitating trades by allowing for buyers and sellers of a security to meet and trade. However, many strategies require the trade of not only one security, but also the simultaneous execution of several legs, involving several securities. Examples include pair trading, equity portfolios, multi-maturity futures strategies, and options combinations. We call these multi-leg trade bundles. Not executing the various legs at the same time creates a risk of adverse price movement before the full trade completion. It can be eliminated by crossing the spreads and posting market orders, but this incurs a cost. We present a mechanism that allows for market participants to post one-sided orders on arbitrary bundles, and then the matching engine computes (in the case of a buy order) the cheapest super-replication of the posted bundle by a portfolio of other, already posted bundles.The features of the algorithm are that 1) it does not match security-by-security, but rather a bundle with a collection of other bundles and 2) it can be a “super-match” in the sense that the super-replication may give the additional benefit of a positive residual. We detail the algorithm and apply this methodology to show how it can improve the price of option combinations in certain cases. This approach has an economic value as it allows for more trades to occur at mutually desirable prices. In particular, we focus on bundles of options of the same maturity on a stock. The dominance in terms of profile is easy to understand in the case of European options, and we show how it can be generalized to American options.
- 6:30 PM
Lightning Talks
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- Ioana Boier | Nvidia
AI Agents for Market Scenarios
- Jaehyuk Choi | Columbia University (MAFN)
Art Pricing with Information Contents - Runeet Kishore | Bloomberg
Unlocking Supply Chain Centrality-Driven Asset Allocation: Is the Risk Model the Key? - Gideon Bosker | DarwinHealth and Author, “Photopoiesis: The Metapolitan Amuseum”
Photopoiesis: Digital Archives of the Mind
- Ioana Boier | Nvidia
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- 7:00 PM
Networking Reception
Speakers
Bruno Dupire
Bruno Dupire is the Global Head of Quantitative Research, CTO Office at Bloomberg, which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008. He runs and organizes the Bloomberg Quant (BBQ) Seminar, the largest monthly event of this kind.