FRE Lecture Series: State-Space Models in Fixed Income Quantitative Trading

You are cordially invited to attend the FRE Lecture Series at 11AM in LC 400 - Dibner Building on Friday, September 23rd.

Speaker: Dr. Edith Mandel, Principal, Advisory Services at Greenwich Street Advisors, LLC will present a lecture on the following topic:

Title: State-Space Models in Fixed Income Quantitative Trading

Abstract

We will focus on the key properties of the liquid, order-driven portion of the rates market: yield curve dynamics, sparse trading activity, low asset price volatility, pro-rata order matching in Eurodollars.  We will then describe several types of state-space models and their applications in market-making, algorithmic execution, signal generation, portfolio construction and risk-management.

Bio

As a principal at Greenwich Street Advisors, LLC, Edith evaluates the opportunity cost, advises on trading infrastructure build-out, electronic and quantitative trading, alpha research and algorithmic execution. Prior to starting her own advisory firm last year, Edith Mandel was the head of Fixed Income Mid-Frequency Trading at KCG (formerly GETCO).  While there, she spearheaded a development of a new quantitative and systematic business within the Fixed Income group. Edith started her career at Goldman Sachs in 1996, where she held a number of positions in the Fixed Income division. As a Managing Director, Edith ran a team of quantitative desk strategists responsible for US Rates trading. Prior to joining KCG, Edith Mandel worked at Citadel as a Managing Director, Head of Fixed Income Quantitative Research. There she was instrumental to a significant revamp and expansion of the Fixed-Income Asset Management business.