Calendar

Mar
2
jeu
Research Seminar, FinTech – High-frequency trading: modelling and regulatory issues, with Charles Albert Lehalle
Mar 2 @ 17 h 00 min – 19 h 00 min

Dear friends and colleagues,

We are pleased to invite you to the first workshop organized by the group of the LabEx ReFi « Fintech and Financial regulation » on the subject of HIGH FREQUENCY TRADING

HIGH FREQUENCY TRADING

Organizers

Olivier Guéant (University Paris 1) and Dominique Guégan (University Paris 1, Labex ReFi)

Date: March 2, 2017 Time: 17h-19h.

Place: Maison des Sciences Economiques,

106 Bd de l’Hôpital, 75013 Paris

Room 116

Charles Albert Lehalle

CV & Bio (here)

CFM and Imperial College

1- A quantitative perspective on high-frequency trading.

2- Mean field game of controls and an application to trade crowding.

Consult the paper here

Abstract

1) It will be a survey on the main mathematical and regulatory problems related to High-frequency trading 2) In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a  » background noise  » (or  » mean field « ). In standard frameworks, the interactions between the large trader and the price are a temporary and a permanent market impact terms, the latter influencing the public price. In this paper the trader faces the uncertainty of fair price changes too but not only. He has to deal with price changes generated by other similar market participants, impacting the prices permanently too, and acting strategically. Our MFG formulation of this problem belongs to the class of  » extended MFG « , we hence provide generic results to address these  » MFG of controls « , before solving the one generated by the cost function of optimal trading. We provide a closed form formula of its solution, and address the case of  » heterogenous preferences  » (when each participant has a different risk aversion). Last but not least we give conditions under which participants do not need to instantaneously know the state of the whole system, but can  » learn  » it day after day, observing others’ behaviors.

The « High-Frequency Trading: Modelling and Regulatory Issues » seminar is a monthly seminar created and organized by Pr. Roland Gillet (Paris 1), Pr. Olivier Guéant (Paris 1), and Pr. Dominique Guégan (Paris 1). The objective of the seminar is to introduce and develop discussions about high-frequency trading. We are interested in promoting discussions between researchers and practitioners, and about banking regulation and supervision. An important part will be dedicated to modeling and technical issues. This seminar is dedicated to junior and senior researchers, practitioners from banks and other financial institutions, as well as regulators.

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