Selected Problems in High-Frequency Trading:
a Masterclass for Early Career Researchers, PhD and Postgraduate Students
All interested Practitioners and Academics are welcome
PRESENTER: Professor René Carmona
RSVP: (essential due to limited places and catering)
The first part of the talk, though mostly descriptive in nature, presents an introduction to the quantitative analysis of the high frequency markets, and to the forensic analysis of some special events.
The second part of the talk focuses on structural relationships existing in the limit order book markets. We propose an original decomposition of wealth into three components: frictionless wealth, transaction costs, and instantaneous adverse selection. These relationships are derived theoretically and tested on empirical data. We apply them to models of option pricing and hedging which distinguish liquidity providers from liquidity takers, and trading with limit order versus market orders.
Informal discussions between Prof. Carmona and participants are encouraged, during and after the presentation.
Rene Carmona, Ph.D., is the Paul M. Wythes ’55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance where he oversees the Master in Finance program.
Professor Carmona's publications include over one hundred articles and seven books in probability, statistics and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of the Society for Industrial and Applied Mathematics in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, the founding editor of the Electronic Journal & Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series and on the scientific board of several institutes (e.g. Oxford Man Institute, Institute of Mathematics and Applications) Dr. Carmona developed computer programs for teaching and research. He has worked on the commodity and energy markets, and he is recognized worldwide as a leading researcher and consultant in this area. Recently, he organized conferences and summer schools on Energy Risk, the Future of the Electricity Markets, Emissions Regulations, and high frequency trading, topics on which he designed and taught courses and tutorials.
Upcoming Events go here: http://cfsites1.uts.edu.au/qfrc/news-events/index.cfm