The QAB will be at the forefront for defining new and improved metrics for best execution that leverage principled ideas from machine-learning, information theory and complexity science.
New York (PRWEB) February 10, 2015
KOR Group LLC, a research, analysis and consulting firm dedicated to increasing transparency in financial services, today announced that it formed a Quantitative Advisory Board (QAB) to help answer questions around best execution, including quality measurement, venue toxicity and machine learning for order-routing optimization. The QAB, made up of academics, buy- and sell-side professionals and veteran financial services thought leaders, will collaborate to work through challenges that have long plagued the industry.
“We brought together some of the most talented and forward-thinking people to tackle challenges that the financial services industry has struggled with for decades,” said Dave Lauer, president and managing partner, KOR Group. “The QAB will be at the forefront for defining new and improved metrics for best execution that leverage principled ideas from machine-learning, information theory and complexity science. The QAB will also help the KOR Group make these qualitative and quantitative insights accessible to its clients with cutting-edge interactive visualization tools.”
The QAB’s work will influence KOR Group’s Best Execution Accreditation program, which provides buy-side firms with an independent evaluation and objective analysis of best execution adherence. The program helps firms audit, measure, improve and achieve best execution.
In addition to Lauer and KOR Group’s Chris Nagy, founder and CEO, and Rajarshi Das, director of research and managing partner, QAB members include:
- Robert Battalio, University of Notre Dame: A professor of finance and a fellow at the university’s Center for the Study of Financial Regulation, Battalio is a prolific author and researcher on financial market design and trading costs.
- Nataliya Bershova, Sanford C. Bernstein: The director of execution research, Bershova is an expert on quantitative execution and electronic equity trading strategies.
- John Cosenza, Cowen Group: As the co-head of electronic trading, Cosenza is a recognized thought leader on algorithmic products for the buy and sell sides, program trading, exchange-traded funds and analytics.
- Sherry Marcus, Credit Suisse: The director of big data and analytics, Marcus specializes in incorporating analytical methods and technologies to help meet the needs of business users.
- Justin McCrary, University of California, Berkeley: McCrary is Professor of Law and Director of D-Lab, the Social Sciences Data Laboratory, at UC Berkeley, as well as a Faculty Research Associate and a Co-Director of the Crime Working Group of the National Bureau of Economic Research.
- Rajeev Ranjan, Federal Reserve Bank of Chicago: As the financial markets lead technical expert and policy specialist, Ranjan’s expertise includes market microstructure, high-speed and algorithmic trading and policy issues.
- Benjamin Small, Ph.D., IEX Group: The head of quantitative research at IEX, Small has held research, trading and leadership positions at some of the largest high-frequency trading, equities market, wholesale trading and execution services firms.
- Timothy Stark, The Capital Group Companies: Stark is a member of Capital’s Market and Transaction Research (MTR) group. In addition to performing traditional TCA for Capital, the MTR studies quantitative and qualitative aspects of equity market structure.
- Jaffray Woodriff, Quantitative Investment Management: As co-founder and CEO of a firm that manages $1.5 billion in assets, Woodriff is recognized for his innovative take on transparency, high-frequency trading and predictive modeling.
“The sheer complexity of the stock market favors entrenched participants and makes it vulnerable to unforeseen breakdowns,” said Woodriff. “KOR Group’s QAB brings together academics and practitioners to help find solutions to these issues.”
KOR Group’s QAB will publish its findings and help inform the general market structure debate with objective, quantitative metrics and studies.
“When trading was concentrated on the listing venue, NASDAQ and NYSE provided academics with the proprietary data needed to study pressing market-structure issues. However, in the post-reg NMS world, proprietary data from multiple markets is necessary for academic research to inform current regulatory initiatives,” said Battalio. “By connecting academics with practitioners, KOR Group is attempting to fill this void. This is great news for academics and for those in favor of informed rule making, and I’m excited to be part of it.”
About KOR Group LLC
KOR Group is a research, analysis and consulting firm providing the financial services industry with insights and expertise to navigate market structure, understand evolving technology trends, track regulatory initiatives and lobby legislative policy. Led by industry veterans, Christopher Nagy and David Lauer, and machine learning and visualization expert, Rajarshi Das, KOR Group’s mission is to bring increased transparency and efficiencies to the industry with its research, consulting, lobbying and educational services. KOR Group can be found online at http://www.kortrading.com.