*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
In my talk, I will discuss the formulation of optimal execution as a mathematical optimization problem that represents a trade-off between return, transaction cost and execution risk in the presence of trader-specific constraints. I will present some results of our research on the modeling of transaction costs using execution and market data and compare the characteristics of optimal trading strategies that result from the application of the model to the trade scheduling problem.
Bio
Amit Manwani leads the US Equity Quantitative Research and Analytics group at Lehman Brothers. In this capacity, Mr. Manwani manages a team of quantitative researchers that develop mathematical models, analytical tools and trading algorithms for internal trading desks and clients, as well as provide analytical consulting services to help clients optimize their investment and trading processes.
Mr. Manwani has a B.Tech in Electrical Engineering from the Indian Institute of Technology, Mumbai and a PhD in Computation and Neural Systems from the California Institute of Technology, where he specialized in the mathematical modeling and analysis of complex systems.
