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

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

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:10
Charles Lehalle (Capital Fund Management)
Market Microstructure in Practice: Overview
09:10-10:20
Charles Lehalle (Capital Fund Management)
Market Microstructure in Practice: Why and how to trade optimally in a fragmented market - Part I
10:20-10:40
Break
10:40-12:00
Charles Lehalle (Capital Fund Management)
Market Microstructure in Practice: Why and how to trade optimally in a fragmented market - Part II

Afternoon Session

12:00-13:30
Lunch (on your own)
13:30-14:50
Charles Lehalle (Capital Fund Management)
Market Microstructure in Practice: Why and how to trade optimally in a fragmented market - Part III
15:00-15:30
Break
15:30-16:20
Aurelien Alfonsi (École Nationale des Ponts-et-Chaussées)
Dynamic optimal execution in a mixed-market-impact Hawkes price model
16:30-18:00
Reception (Location: IPAM Lobby)

Tuesday, April 14, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:50
Xin Guo (University of California, Berkeley (UC Berkeley))
Dynamics of order positions and related queues in limit order books
10:00-10:50
Frederic Abergel (École Centrale de Paris)
Mathematical properties of limit order books modelled by Hawkes processes
11:00-11:30
Break
11:30-12:20
Sophie Laruelle (Université Paris-Est Créteil (UPEC))
Optimal Execution and Sochastic Approximation : Learning by Trading

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:50
Alvaro Cartea (University College London)
A Closed-Form Execution Strategy to Target VWAP
15:00-15:50
Juan (Julie) Wu (University of Georgia)
International Evidence on Algorithmic Trading
16:00-16:30
Break
16:30-17:20
Michael Ludkovski (University of California, Santa Barbara (UCSB))
Connecting Order Flow with Execution Costs

Wednesday, April 15, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:50
Sebastian Jaimungal (University of Toronto)
Mean-Field Game Strategies for a Major-Minor Agent Optimal Execution Problem
10:00-10:50
Austin Gerig (U.S. Securities and Exchange Commission)
Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets
11:00-11:30
Break
11:30-12:20
Robert Almgren (Quantitative Brokers and NYU)
Using a simulator to develop futures and bond algorithms

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:50
Huyên Pham (Université de Paris VII (Denis Diderot))
An optimal trading problem in intraday electricity markets
15:00-15:50
Jianfeng Zhang (University of Southern California (USC))
A dynamic approach for some time inconsistent problems
16:00-16:30
Break
16:30-17:20
Charles Lehalle (Capital Fund Management)
Q & A Session

Thursday, April 16, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:50
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
11:00-11:30
Break
11:30-12:20
Sergey Nadtochiy (University of Michigan)
Modeling Limit Order Book via Mean Field Games

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:20
Ioane Muni Toke (University of New Caledonia)
Stationary distributions in Poisson limit order book models
14:30-14:50
Maria Alessandra Crisafi (University College London)
Dark-pool perspective of optimal market making
15:00-15:30
Break
15:30-15:50
Eyal Neuman (Hong Kong University of Science and Technology)
Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses
16:00-16:20
Dmytro Karabash ()
Hawkes-type HFT implies price impact
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