Cornell University

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CFEM Seminar: Swagato Acharjee (RBC) - Price and Volume Dynamics at Market Close

Tuesday, November 6, 2018 at 6:10pm to 7:25pm

Cornell Tech (2 West Loop Road, New York, NY 10044), Bloomberg 061

Watch the recording here: https://cornell.mediasite.com/Mediasite/Play/dd9c1b832d8d45c8946fa4bafbdaf0081d

The close of trading in the US markets is a highly active period where volume is dominated by benchmarked products such as ETFs, mutual funds and total return swaps. Although overall trading volume has been flat over the past five years, volume at the close is up about 300% over the same period. This trend has been primarily driven by shifting of assets from active to passive funds. In this talk we will discuss details of the market structure around the close, nuances of the two primary exchanges and focus on market share change, display sizes and volume profiles. We will also present our findings on the price impact of imbalances and trading strategies to execute orders optimally around the close.

Bio:  Swagato is a quantitative researcher in the equities electronic trading team at RBC. His main responsibilities are making enhancements to the electronic trading platform and working with the electronic sales and sales trading team in improving trading performance for clients. After graduating with a PhD in Engineering from Cornell University, he was a quantitative researcher in the electronic trading teams at Citi and Bank of America Merrill Lynch. Prior to joining RBC, he was a researcher and trader at a quantitative hedge fund working on statistical arbitrage strategies and long term factor models.

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