Key Takeaways
- • Natascha Hey, a postdoctoral researcher at Columbia Business School, presented research on market impact pricing at the Cornell Financial Engineering Manhattan 2024 Future of Finance & AI Conference on August 21, 2024, representing Capital Fund Management (CFM).
- • Capital Fund Management is a global alternative asset manager currently managing over USD 33 billion for institutional clients and wealth managers worldwide, positioning itself as a major player in quantitative and systematic trading strategies.
- • Research focus: Hey's work addresses "market impact price impact"—a critical consideration for large institutional trades—drawing on proprietary metaorder data from CFM and publicly available market data to develop nonparametric estimation methods for self- and cross-impact modeling.
- • Women in quantitative finance: Hey was awarded the CFM Women in Quantitative Finance Scholarship in 2022 and has become an advocate for increasing female representation in quantitative finance, reflecting CFM's commitment to diversity in the sector.
- • Academic-practitioner collaboration: The presentation bridges academic research and institutional trading practice, with Hey's PhD work at CFM (2022-2025) and current postdoctoral role demonstrating the firm's investment in foundational research on market microstructure and execution optimization.
Summary
Natascha Hey, a postdoctoral researcher at Columbia Business School affiliated with Capital Fund Management, presented research on market impact pricing at the Cornell Financial Engineering Manhattan 2024 Future of Finance & AI Conference on August 21, 2024. Her work addresses a critical challenge for large institutional traders: understanding and quantifying how trades move prices—a phenomenon known as market impact price impact.
Capital Fund Management, the sponsoring institution, is a significant player in global alternative asset management, currently overseeing more than USD 33 billion in assets for leading financial institutions and wealth managers. The firm's focus on quantitative and systematic strategies aligns with its investment in foundational research on market microstructure and execution efficiency.
Hey's research draws on both proprietary metaorder execution data from CFM's trading operations and publicly available market data, including S&P order flow information. Her work develops nonparametric estimation methods for measuring self-impact (how a trader's own orders affect prices) and cross-impact (how one asset's trading activity affects prices of related instruments). This distinction is essential for institutional portfolio managers and execution algorithms seeking to minimize market impact costs during large position adjustments or rebalancing.
Beyond the technical research contribution, Hey's career trajectory reflects CFM's broader commitment to advancing women's participation in quantitative finance. She received the CFM Women in Quantitative Finance Scholarship in 2022 and has since become an advocate for gender diversity in the field. This initiative underscores how leading alternative asset managers are addressing talent pipeline and representation challenges within quantitative finance roles.
The intersection of academic research and institutional practice demonstrated here—with Hey transitioning from PhD researcher at CFM to postdoctoral researcher while continuing collaboration with the firm—illustrates how sophisticated asset managers invest in long-term research capabilities that directly inform trading and risk management strategies.
Capital Fund Management, the sponsoring institution, is a significant player in global alternative asset management, currently overseeing more than USD 33 billion in assets for leading financial institutions and wealth managers. The firm's focus on quantitative and systematic strategies aligns with its investment in foundational research on market microstructure and execution efficiency.
Hey's research draws on both proprietary metaorder execution data from CFM's trading operations and publicly available market data, including S&P order flow information. Her work develops nonparametric estimation methods for measuring self-impact (how a trader's own orders affect prices) and cross-impact (how one asset's trading activity affects prices of related instruments). This distinction is essential for institutional portfolio managers and execution algorithms seeking to minimize market impact costs during large position adjustments or rebalancing.
Beyond the technical research contribution, Hey's career trajectory reflects CFM's broader commitment to advancing women's participation in quantitative finance. She received the CFM Women in Quantitative Finance Scholarship in 2022 and has since become an advocate for gender diversity in the field. This initiative underscores how leading alternative asset managers are addressing talent pipeline and representation challenges within quantitative finance roles.
The intersection of academic research and institutional practice demonstrated here—with Hey transitioning from PhD researcher at CFM to postdoctoral researcher while continuing collaboration with the firm—illustrates how sophisticated asset managers invest in long-term research capabilities that directly inform trading and risk management strategies.
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