Workshop II: The Mathematics of High Frequency Financial Markets: Limit Order Books, Frictions, Optimal Execution and Program Trading

April 13 - 17, 2015



The notion of one price, publicly known, at which transactions can happen in arbitrary sizes has seriously been challenged over the last few years. The existence and the importance of liquidity friction and price impact due to the size and frequency of trades are recognized as the source of many of the most spectacular failures (e.g., LTCM, Amaranth, Lehman) prompting new research in applications of stochastic optimization to optimal execution and predatory trading among many other challenges.

Also, the impact of algorithmic and high frequency trading on the stability and the integrity of the financial system is a growing concern of regulators, practitioners, and academics. While the presence of electronic market makers and brokers is supposed to increase liquidity and price discovery, the appearance and the growth of dark markets, as well as occurrences like the flash crash of May 6, 2010, and computer glitches like those which took down Knight Capital, have raised serious concerns. Research on the developments of Limit Order Book (LOB) and algorithmic trading models and their impact on trading are clearly some of the most exciting emerging topics in quantitative finance research.

A short course of three 1hr 20 minute lectures will be given at the beginning of the workshop.

Organizing Committee

René Carmona (Princeton University, Mathematics)
Alexander Schied (Universität Mannheim, Department of Mathematics)
Thaleia Zariphopoulou (University of Texas at Austin, Departments of Mathematics and IROM)