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Irene Aldridge
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Irene Aldridge is a quantitative portfolio manager, a recognized expert on the subjects of quantitative investing, microstructure and high-frequency trading (HFT) and a seasoned educator. Aldridge is the author of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems”, now in its second edition and translated into Chinese. Aldridge is currently Managing Director and Quantitative Portfolio Manager at ABLE Alpha Trading, LTD., where designs, implements and deploys proprietary trading strategies. Aldridge is also President of AbleMarkets.com, a suite of real-time and near-real-time products, including flash crash predictability feeds, market impact optimization, trading cost management, high-frequency participation in the markets, high-frequency portfolio optimization and trading sentiment data.

Prior to ABLE Alpha, Aldridge worked for various institutions on Wall Street and in Toronto, including Goldman Sachs and CIBC, where she led quantitative risk management initiatives and, earlier, large-scale technology projects. She has taught graduate quantitative finance courses at several U.S. universities (most recently, as an Industry Assistant Professor in the Dept of Financial Engineering at NYU Poly), and, for industry executives, various courses on high-frequency trading via HFTTraining.com. Over the years, Aldridge has been called to contribute to numerous government regulatory panels, including the U.K. Government Foresight Committee for Future of Computer Trading and the U.S. Commodity Futures Trading Commission's Subcommittee on High-Frequency Trading.

Aldridge holds an MBA from INSEAD, an MS in financial engineering from Columbia University, and a BE in electrical engineering from the Cooper Union in New York. She has studied in two PhD programs, including Operations Research at Columbia University. Aldridge is a frequent speaker at top industry events and a contributor to academic, practitioner and mainstream media publications, including the Journal of Portfolio Management, Journal of Trading, Futures Magazine, Reuters HedgeWorld, Advanced Trading, FXWeek, FINalternatives, Dealing with Technology, and Huffington Post.

Aldridge often appears on major television networks, including BBC, CNBC, FOX Business, CBC, BNN, German ZDF, among others, and has been invited to discuss the implications of technology in finance on CNN radio, National Public Radio (NPR) and Bloomberg Radio. In addition, Aldridge has been quoted by the New York Times, the Wall Street Journal, Associated Press, Financial Times, Thomson/Reuters, Bloomberg LP, Forbes and other major business news outlets.

Aldridge strongly believes in giving back to the community, and Aldridge presently serves as Treasurer at Carnegie Hill Neighbors, a neighborhood improvement not-for-profit organization, and as member of the education committee at the Southampton Historical Museum in Southampton Village, New York.

Please follow Irene Aldridge on twitter: http://www.twitter.com/irenealdridge . You may also connect with Irene Aldridge on LinkedIn: send a LinkedIn invitation to ialdridge@ablealpha.com. Irene can also be reached by phone at +1 646 233-3513. Aldridge's personal blog can be found here: http://www.irenealdridge.com/ia

Entries by Irene Aldridge

What Are Other Investors Thinking?

(0) Comments | Posted February 9, 2016 | 12:01 PM

Co-authored with Steve Krawciw

The first iPhone was launched on June 29, 2007, and the world has never been the same since. The speed and convenience with which we now communicate created the new levels of urgency, including the urgency to understand and participate in...

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Macro News Releases Give Unfair Advantage to a Selected Few

(0) Comments | Posted February 8, 2016 | 1:01 PM

If you live in Asia, you will hear this refrain about the Chinese stock market again and again: that it is the government casino. The way the casino works is through guanxi, a set of connections to the higher authority and a network of favors, if not bribes. According to...

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Blindsided by innovation like Bloomberg? Don't become a statistic.

(0) Comments | Posted January 20, 2016 | 6:32 AM

Co-authored with Steve Krawciw

JP Morgan's announcement last week "to pull the plug" on all of their thousands and thousands of Bloomberg terminals is last week's leading example of the sweeping disruption facing investment managers from innovation (the contract value exceeding tens of million U.S. dollars each month)....

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Why the Proportion of Aggressive HFT Volume Is Roughly the Same Across All Trading Venues

(0) Comments | Posted September 16, 2015 | 7:04 PM

Co-authored with Steve Krawciw

Over the last few years, a number of exchanges and dark pools emerged claiming that their businesses will exclude high-frequency traders (HFTs) detrimental to institutional investors. Almost invariably, the HFTs in question happened to be the so-called Aggressive HFTs: HFTs that execute mostly using market orders...

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Aggressive HFT and Institutional Trading Activity - Who Leads Market Crashes?

(0) Comments | Posted September 16, 2015 | 12:51 PM

Co-authored with Steve Krawciw

Most recent routs in the U.S. financial markets have prompted an outpouring of angst. Detractors of high-frequency trading (HFT) were particularly up in arms about the market downturn, which many of them blamed squarely on manipulation by HFT. Much of the debate...

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Want to Lessen Volatility of Financial Markets? Express Your Thoughts Online!

(0) Comments | Posted August 18, 2015 | 1:51 AM

Co-authored with Steve Krawciw

In the last year or so, stock prices have been moving drastically up and down, a phenomenon known as market volatility. The latest research from AbleMarkets shows that investors can help reduce intraday volatility by collectively expressing their opinions about a stock's...

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Aggressive HFT in U.S. Treasuries

(1) Comments | Posted August 7, 2015 | 3:59 PM

Co-authored with Steve Krawciw

U.S. regulators have recently questioned the role that high-frequency trading (HFT) plays in the bond market. The latest research from AbleMarkets studies a subclass of HFTs known as aggressive HFT. The research shows that:

1) Aggressive HFTs initiate, on average, 20% of trades...

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Stocks With Higher Aggressive HFT Are More Volatile

(0) Comments | Posted August 3, 2015 | 3:06 PM

Co-authored with Steve Krawciw

New research from AbleMarkets shows that stocks with higher participation of aggressive High-Frequency Traders (HFT) experience higher intraday volatility. The new study compares intraday volatility, as measured by the difference between the daily high and low and normalized by the daily closing price, with...

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Why Big Data Matters in Finance

(2) Comments | Posted June 10, 2015 | 6:11 PM

Co-authored with Steve Krawciw

A New York Times article covering the latest Triple Crown horse race winner, American Pharaoh, noted that the horse was identified as having an amazing potential when the animal was only 1 year old. The prediction of success was made by a team of data scientists...

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Aggressive HFT and Volatility

(0) Comments | Posted April 30, 2015 | 4:11 AM

Co-authored with Steve Krawciw

Aggressive HFT has long been associated with volatility. Several academic studies hypothesized that higher aggressive HFT participation leads to higher volatility levels, and for good reasons, as explained below. The empirical evidence, however, has been hard to come by, until now. This note explains the...

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The SEC, CFTC and the Real-Time Risks in Today's Markets

(0) Comments | Posted April 24, 2015 | 12:16 PM

Co-authored with Steve Krawciw

The new revelations surrounding the Flash Crash of May 6, 2010, once again brought to light an undeniable fact: U.S. regulators desperately need to boost their real-time surveillance capabilities. Nearly five years has elapsed between the time the London-based Navinder Singh Sarao, allegedly influenced the Flash...

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Market Microstructure, the New Frontier for Long-term Portfolio Optimization

(0) Comments | Posted March 12, 2015 | 12:24 PM

Co-authored with Steve Krawciw

Market microstructure is traditionally thought to aid execution traders and market makers, the two types of intraday financial practitioners continuously interfacing within the markets. For longer-term investors, such as pension funds and long-only hedge funds' portfolio managers, market microstructure is usually not considered to be a...

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Market Prices and Limit Order Dynamics: What's Going on in Today's Stock Markets?

(0) Comments | Posted February 23, 2015 | 7:46 PM

Markets are bursting at their seams with financial data. Much of the data that researchers are now mining is called Level I, II, and III data; this data comprises information on orders, executions and cancellations across different price levels. Until recently, such data was scarce. Today, it is more accessible,...

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Aggressive High-Frequency Trading in Equities

(0) Comments | Posted February 17, 2015 | 12:28 PM

Co-authored with Steve Krawciw

Aggressive high-frequency trading (HFT) is a classification of electronic trading strategies that rely on ultra-fast infrastructure and market orders to take advantage of news, predictive analytics or short-lived information asymmetries. Unlike passive HFTs that tend to provide market-making services, aggressive HFTs' models attempt to reach the...

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Understanding Short-term Dynamics of Order Execution to Minimize Adverse Selection

(0) Comments | Posted February 10, 2015 | 12:00 AM

Co-authored with Steve Krawciw

When you trade, do you place market orders, limit orders or a combination of both? Do you or should you care? The answer is yes, you should care, particularly in today's volatile markets, and this article explains why.

When investors place a market order, say, an...

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Trends: All Finance Will Soon Be Big Data Finance

(0) Comments | Posted February 4, 2015 | 11:07 AM

Just 10 years ago, finance was a small-data discipline. The small-data approach was partly due to the actual lack of data. To most investors, exchanges offered only four prices per stock per day: Open, High, Low and Close, and all of those were reported the following day (on the T+1...

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Tracking Aggressive High-Frequency Traders and Flash Crashes in Stocks

(0) Comments | Posted January 15, 2015 | 11:26 AM

Co-authored with Steve Krawciw

Traditional variables taken into consideration by investors have included growth prospects, competition, recent earnings, dividends, long-term volatility and the like. Fairly recently, investor relations began taking into account and explaining shorter-term market moves, such as the stock's responses to market-wide events. Lately,...

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Intraday Risk and Portfolio Selection

(0) Comments | Posted January 8, 2015 | 4:47 PM

Co-authored with Steven Krawciw

You feel it, you know it: some stocks tend to have more intraday volatility than other stocks. Some stocks are specifically more prone to Flash Crashes than others. Some stocks have higher aggressive high-frequency trading (HFT) participation than other stocks. At this point in financial innovation,...

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Real-Time Market Surveillance Delivers Much Needed Answers

(0) Comments | Posted December 23, 2014 | 11:31 AM

By Irene Aldridge and Steven Krawciw

Recent market moves left many buy-side investors puzzled and wanting for more information. Was the extreme volatility observed in the Fall of 2014 a gust of wind or a hurricane, a harbinger of further price swings to come? Our research, AbleMarkets.com, provides answers.

Take...

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Aggressive High-Frequency Trading in Stocks

(0) Comments | Posted December 9, 2014 | 12:25 AM

What is the quantitative evidence regarding the presence of aggressive high-frequency traders (HFTs) in today's markets? Our firm's AbleMarkets Aggressive HFT Index tracks the participation of aggressive HFTs in real-time and offers some interesting observations. As 2014 rolls to a close, we are able to offer comprehensive statistics...

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