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

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics
April 13 - 17, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Monday, April 13, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:10
Charles Lehalle (Capital Fund Management)

Market Microstructure in Practice: Overview
PDF Presentation
9:10 - 10:20
10:20 - 10:40 Break
10:40 - 12:00
12:00 - 1:30 Lunch (on your own)

Afternoon Session
1:30 - 2:50
3:00 - 3:30 Break
3:30 - 4:20
Aurelien Alfonsi (École Nationale des Ponts-et-Chaussées)

Dynamic optimal execution in a mixed-market-impact Hawkes price model
PDF Presentation

 
4:30 - 6:00 Reception (Location: IPAM Lobby)

Tuesday, April 14, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:50
Xin Guo (University of California, Berkeley (UC Berkeley))

Dynamics of order positions and related queues in limit order books
PDF Presentation

 
10:00 - 10:50
11:00 - 11:30 Break
11:30 - 12:20
Sophie Laruelle (Université Paris-Est Créteil (UPEC))

Optimal Execution and Sochastic Approximation : Learning by Trading
PDF Presentation

 
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:50
Alvaro Cartea (University College London)

A Closed-Form Execution Strategy to Target VWAP
PDF Presentation

 
3:00 - 3:50
Juan (Julie) Wu (University of Georgia)

International Evidence on Algorithmic Trading
Presentation (PowerPoint File)

 
4:00 - 4:30 Break
4:30 - 5:20
Michael Ludkovski (University of California, Santa Barbara (UC Santa Barbara))

Connecting Order Flow with Execution Costs
PDF Presentation

 

Wednesday, April 15, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:50
10:00 - 10:50
Austin Gerig (U.S. Securities and Exchange Commission)

Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:20
Robert Almgren (Quantitative Brokers and NYU)

Using a simulator to develop futures and bond algorithms

 
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:50
Huyên Pham (Université de Paris VII (Denis Diderot))

An optimal trading problem in intraday electricity markets

 
3:00 - 3:50
Jianfeng Zhang (University of Southern California (USC))

A dynamic approach for some time inconsistent problems

 
4:00 - 4:30 Break
4:30 - 5:20
Charles Lehalle (Capital Fund Management)

Q & A Session


Thursday, April 16, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:50
Mathieu Rosenbaum (Université de Paris VI (Pierre et Marie Curie))

Volatility is rough

 
10:00 - 10:50
Sasha Stoikov (Cornell University)

Estimating the cost of latency in trading
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:20
Sergey Nadtochiy (University of Michigan)

Modeling Limit Order Book via Mean Field Games

12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:20
Ioane Muni Toke (University of New Caledonia)

Stationary distributions in Poisson limit order book models

 
2:30 - 2:50
Maria Alessandra Crisafi (University College London)

Dark-pool perspective of optimal market making

 
3:00 - 3:30 Break
3:30 - 3:50
Eyal Neuman (Hong Kong University of Science and Technology)

Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses

 
4:00 - 4:20

Friday, April 17, 2015

Morning Session
8:00 - 9:00 Breakfast (hosted by IPAM)
9:00 - 9:50
René Carmona (Princeton University)

Trading Frictions in High Frequency Markets

 
10:00 - 10:50
Alexander Schied (Universität Mannheim)

A hot-potato game under transient price impact

11:00 - 11:30 Break
11:30 - 12:20
Jin Ma (University of Southern California (USC))

Order Book Model and Related Optimal Liquidation Problem

 
12:30 Conclusion