Speaker: Jérôme Busca
Date: 18 February 2025
Abstract:
In this talk I will touch upon subjects I believe are relevant to anyone involved in the design of automated, systematic quant trading systems, such as: data types: processing and issues (futures), best execution: transaction cost models, execution under time and/or price constraints, liquidity providing vs liquidity taking, taking flow into account; portfolio construction: modeling the covariance matrix, Markowitz with friction, robust Markowitz; risk control: market, model, and operational risks.
Bio:
A seasoned systematic portfolio manager and buy-side quant trader, who worked for major hedge funds such as Millennium and Citadel, Jerome developed over the years a number of quantitative forecasting models in the futures / FICC medium-to-high-frequency space. A graduate from Ecole Normale Supérieure in Paris, France, he holds a Ph.D. in applied mathematics and is also a published academic researcher, with about two dozen publications in top-tier journals. He is the co-inventor of the Berestycki-Busca-Florent (or BBF for short) formula in option pricing. He is also an enthusiastic blogger on Substack under the handle @MaverickQuant (https://maverickquant.substack.com/).