Mathematical analysis of algorithmic trading and limit order markets

Date: August 12
Time: 16:00--18:00
Room: 311B

(Note: Click title to show the abstract.)

Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Gao, Xuefeng (The Chinese Univ. of Hong Kong)

Abstract: The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems. Modeling: How should limit order book data be incorporated in tick-by-tick modeling? Information: How do agents process and act upon this vast information set? Trading: How can algorithmic trading strategies take advantage of this knowledge? Mathematics: How to construct scaling limits of microstructure models to obtain a macroscropic description of price dyanamics? This mini symposium will address several of these interesting issues bringing together expertise in applied mathematics, operations research and statistics.

Hydrodynamic limit of order book dynamics
Gao, Xuefeng (The Chinese Univ. of Hong Kong)

Stochastic Model for Spread-price Dynamics in Order-driven Markets
Chen, Xinyun (State Univ. of New York at Stony Brook)

Optimal Exposure Problem in Limit Order Book
Chen, Yuanyuan (The Chinese Univ. of Hong Kong)
Li, Duan (The Chinese Univ. of Hong Kong)
Gao, Xuefeng (The Chinese Univ. of Hong Kong)

Dynamics of order positions in a limit order book
Ruan, Zhao (Univ. of California, Berkeley)


Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA