Research Seminar, FinTech – Trading Foreign Exchange Triplets – with, Álvaro Cartea, Oxford University
Dear friends and colleagues,
we are pleased to invite you to a new session of the LabEx ReFi Seminar on « High-frequency trading: modelling and regulatory issues ».
Date: March 23, 2017 Time: 17h-19h.
Place: Maison des Sciences Economiques,
106 Bd de l’Hôpital, 75013 Paris
Room 115, (1st floor)
Trading Foreign Exchange Triplets
Abstract: We develop the optimal trading strategy for a Foreign Exchange (FX) broker who trades a triplet of currency pairs, and requires to unwind all the pairs within a given time schedule. The broker accounts for model ambiguity in the FX rates to make her optimal strategy robust to misspecifications. She trades with her pool of clients and also trades in a major FX exchange. Specifically, the broker streams currency pair quotes to personal clients who trade directly with her, and simultaneously the broker is executing trades in the FX exchange to ensure liquidation of her positions by the terminal date. Under certain assumptions we provide a closed-form solution for the broker’s optimal trading strategy. Simulations of the strategy when the pairs have varying liquidity levels are presented and verification proofs are provided.
HIGH FREQUENCY TRADING Seminar
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.
(Learn more here)