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CME 242: Mathematical and Computational Finance Seminar

Speaker: Charles-Albert Lehalle, Capital Fund Management

Title: Optimal Trading

Abstract: We will go from the role of the financial system described as a large network of intermediaries to a fine description of high frequency market makers. The role of regulation in the recent transformations of participants practices will be exposed too. The viewpoint taken is the one of a practitioner or a researcher who has to put in place models. Existing models will be reviewed, and new challenges and the stakes of possible improvements will be discussed. Important stylized facts and important mechanisms that models should reproduce will be exposed.



Kapil K Jain
Thursday, April 21, 2016 -
4:30pm to 5:30pm