SEMINAR: Flash Crash, Market Impact, and Optimal Execution
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Flash Crash, Market Impact, and Optimal Execution : Applied Maths Seminar |
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MATHEMATICS AND STATISTICS
Professor Yuying Li, University of Waterloo
Will speak on
Flash Crash, Market Impact, and Optimal Execution
at 3pm, 9 November 2010 in Engineering Lecture Theatre G11 – ENGG11
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Abstract:
The U.S. market Flash Crash on May 6, 2010 clearly illustrates effect of trading impact and challenges in optimal execution. In this talk, I will describe market price and impact models which have been proposed for developing optimal execution algorithms. In addition, I will present properties of the resulting execution algorithms. Sensitivity of execution strategies to market impact functions will be analyzed. To better characterize
market price dynamics, compound Poisson jump processes are proposed to model uncertain impact of uncertain arrivals of large trades. Properties of optimal execution strategies under the proposed model will be examined. Finally a computational method is proposed to compute optimal portfolio execution strategies under a CVaR measure for
execution risk.
Convenor: W/Prof Song Wang Ext: 3350
Speaker(s) |
Professor Yuying Li, University of Waterloo
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Location |
G.11 Engineering Lecture Theatre ENGG11
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Contact |
W/Prof Song Wang
<[email protected]>
: 3350
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Start |
Tue, 09 Nov 2010 15:00
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End |
Tue, 09 Nov 2010 16:00
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Submitted by |
Ann Sciberras <[email protected]>
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Last Updated |
Thu, 04 Nov 2010 11:15
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