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SEMINAR: Flash Crash, Market Impact, and Optimal Execution

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Today's date is Thursday, March 28, 2024
Flash Crash, Market Impact, and Optimal Execution : Applied Maths Seminar Other events...
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 . 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
Location G.11 Engineering Lecture Theatre ENGG11
Contact W/Prof Song Wang <[email protected]> : 3350
Start Tue, 09 Nov 2010 15:00
End Tue, 09 Nov 2010 16:00
Submitted by Ann Sciberras <[email protected]>
Last Updated Thu, 04 Nov 2010 11:15
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