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| New York, NY,
USA Boston, MA, USA September 22, 2003 Quantitative
Research
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| EXECUTIVE SUMMARY | 3 | |
| INTRODUCTION | 4 | |
| THE GROWTH OF QUANTITATIVE ACTIVITY IN FINANCIAL MARKETS | 5 | |
| QUANTITATIVE RESEARCH | 11 | |
| Screen | 11 | |
| Daily/Monthly Predictive Models | 11 | |
| Intraday Predictive Models | 12 | |
| QUANTITATIVE TRADE EXECUTION | 14 | |
| Volume-Weighted Average Price (VWAP) | 14 | |
| Pairs | 14 | |
| Arbitrage | 15 | |
| DATABASES, ORDER MANAGEMENT SYSTEMS AND ROUTING | 16 | |
| REAL & IMAGINED DISASTERS IN MODEL-DRIVEN TRADING | 22 | |
| Black Monday | 22 | |
| LTCM | 23 | |
| FUTURE TRENDS | 25 | |
| OBJECTIVITY & METHODOLOGY | 27 | |
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