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The Stevanovich Center for Financial Mathematics Schedules Conference on Market Liquidity

Business Wire, Oct 29, 2008

CHICAGO -- The Stevanovich Center for Financial Mathematics, established by the Financial Mathematics Program at the University of Chicago, will hold on Saturday, November 1, 2008, a Conference on Market Liquidity involving presentations by eight noted practitioners and academic researchers.

"While obviously a timely topic, our Conference on Market Liquidity is part of the Center's goal of advancing the understanding of the increasingly complex world of financial markets by integrating mathematics, statistics and economics," said Niels Nygaard, Ph.D., Director of the Stevanovich Center and Financial Mathematics Program.

One of the featured presentations will be on "Causes and Consequences of Bond Market Illiquidity: An Investor's Approach," by Wesley Phoa, a portfolio manager and a Senior Vice President of Capital International Research, Inc., a unit of The Capital Group, an investment management firm. He will focus on market microstructure, and discuss case studies drawn from recent bond market experience, illustrating different ways in which illiquidity arises and various complex forms of liquidity anomalies.

Other presentations include:

"Smart Order Routing: Locating Hidden Liquidity," by Robert Almgren, Visiting Scholar and Adjunct Professor in Financial Mathematics, Courant Institute of Mathematical Sciences, New York University.

"Run Lengths and Liquidity," by Sanjiv Das, Professor of Finance at Santa Clara University's Leavey School of Business.

"No Arbitrage and the Decay of Market Impact," by Jim Gatheral, a Managing Director in Global Equities at Merrill Lynch and an Adjunct Professor at the Courant Institute of Mathematical Sciences, New York University.

"Price Impact and Spread: Application of Bias-Free Estimation Methodology to Portfolio Transitions," by Anna Obizhaeva, Assistant Professor, University of Maryland.

"Original Portfolio Liquidation and Risk Aversion," by Alexander Schied, Associate Professor, at Cornell University's School of Operations Research and Information Engineering.

"Price Dispersion in OTC Markets, A New Measure of Liquidity," by Marti G.Subrahmanyam, Professor of Finance, at the Stern School of Business, NYU.

"Liquidity of Corporate Bonds," by Jiang Wang, a Professor at MIT's Sloan School of Management.

The Conference is being held at the University of Chicago's Gleacher Center in downtown Chicago. A full listing of papers and participants is available at: http://stevanovichcenter.uchicago.edu/conferences/liquidity/.> About the Stevanovich Center for Financial Mathematics

The Stevanovich Center advances the understanding of the increasingly complex world of financial markets by integrating mathematics, statistics, and economics. The Center brings together leading academic researchers and financial professionals whose insights from daily experience in the markets can help translate theory into improved practice. The Center holds workshops and conferences, publishes papers, and disseminates presentations via the internet. When its newly refurbished building is open in 2009, it will provide physical space where University of Chicago researchers, as well as visitors from academia and the marketplace can work, meet, discuss, share and debate ideas that advance our understanding of the mathematical basis of financial markets.

About the University of Chicago Financial Mathematics Program

The University of Chicago's innovative one-year Master of Science in Financial Mathematics Program pioneered the integration of theoretical applied math and practical applications of pricing derivatives and managing financial assets. Staffed with professors from the University's distinguished Departments of Mathematics, Statistics and Economics, as well as experienced financial industry professionals, the Program's curriculum provides an exceptional understanding of the underlying assumptions of various financial models, enabling students to critically ascertain applicability and limitations.