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  Issue 19 | Archive May 2014

RMI Research Seminars
29 January and 7 April 2014

On 7 April, RMI¡¯s visiting professor, Prof. Raja Palani Velu gave a presentation entitled ¡°Market Impact: to Trade Small or to Trade Seldom? Evidence from Algorithmic Execution Data¡± at an RMI Research Seminar. To study factors affecting market impact in the algorithmic trading context, he and his co-author modelled and estimated market impact using a large proprietary dataset containing historical aggregated algorithmic executions. The estimated models explored additional explanatory variables that have not previously been investigated. Specifically, in addition to observing the effects of volatility, order size, duration and market capitalization on market impact, they found that the number of child trades has a significant influence on market impact. They also found that market impact can be substantially decreased by reducing the number of child order trades. Lastly, they also summarized two extensions of the current model estimation effort that pertain to the effect of the bid-ask spread on market impact and to the market impact of ETFs traded via algorithmic trading.

On 29 January 2014, Dr. Michel M. Dacorogna, the scientific advisor of SCOR presented a talk entitled ¡°Surviving the Next Crisis, A Risk Management Perspective¡± at a joint seminar co-organized by the RMI and Department of Statistics and Applied Probability.



Eighth Annual Risk Management Conference
10 - 11 July 2014

RMI will be hosting its Eighth Annual Risk Management Conference on 10 and 11 July 2014. The overall theme of the conference is ¡°Risk Management Amidst Global Rebalancing.¡± This year¡¯s key note speaker is the Dr K.C. Chakrabarty, the recently retired Deputy Governor of the Reserve Bank of India. The detailed program and confirmed list of speakers are available online at www.rmi.nus.edu.sg/rmc

The conference provides an annual platform for close to 300 policy makers, regulators, industry practitioners and researchers to enhance their risk management techniques, explore the latest investment strategies and manage the fundamental regulatory changes in the financial sector. The International Association of Credit Portfolio Managers (IACPM) is a partner in the conference, which also includes a pre-conference Credit Portfolio Management Educational Workshop on 9 July.

RMI welcomes sponsorship for the conference as it offers sponsors an opportunity to raise their profiles and promote risk awareness in their corporate practices. More information and the benefits about the sponsorship can be found at the conference website.



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Editor: Ivy Wang (rmiwy@nus.edu.sg)