AGENDA

WHERE:
Convene, 530 5th Ave, New York, NY 10036, USA

WHEN
Wednesday, October 22. 4:00pm - 8:00pm

AGENDA:

4:00pm - REFRESHMENTS & REGISTRATION
Please enjoy some refreshments, relax and chat with the team at your leisure.

4:30pm - OPENING REMARKS
David Kalita, CEO of QB, will share updates on QB’s product roadmap.

4:45pm - OPTIMIZATION OF SCHEDULE BASED EXECUTION
QB uses variance offsets to calibrate the deviation from target schedule to capture passive fills opportunistically, and to adjust to intraday variance dynamics. Puru Sarathy, Senior Researcher at QB, will describe a new method that uses the passive fill rate distribution to determine meaningful offsets that empirically show better passive fill rates, and slippage reduction.

5:15pm - PANEL "EXECUTION IN VOLATILE MARKETS: CAN ALGORITHMS KEEP UP?"
Extreme market swings and sudden liquidity changes are testing the efficacy of execution algorithms this year. Join our expert panel, moderated by Head of Sales U.S., Andrew Picardi, as we debate how modern algorithms can adapt to preserve spread capture, manage market impact, and mitigate execution risk during unexpected volatility events.

5:45pm - BREAK

6:15pm - EXTENDED BOOK IMBALANCE FOR PRICE PREDICTION
Traditional microprice, or imbalance of the inside quotes, is meaningful only for large-tick products where the inside bid and ask contain most of the information in the market. Dr. Rob Almgren will describe an "extended microprice", that uses information from the entire order book to make short term price predictions, and we demonstrate its value with empirical tests.

7:00pm - NETWORKING
Opportunity to mingle with QB specialists, speakers and the panelists. Food and drinks will be served.

8:00pm - QUANTBRAINS - AFTER HOURS
Wrap up the evening with cocktails and conversation just a few steps from the venue.
At Lolita
45 West 45th Street, New York, NY 10036