Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, September 23, 2015
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Information and Inventories in High-Frequency Trading

Abstract:   We propose an equilibrium model for the short-term informational advantages crucial in high-frequency trading.
In this setting, risk-neutral insiders hold martingale inventories. In contrast, inventory aversion leads to autoregressive positions. These vanish in the continuous-time limit, while still yielding approximately the same returns. This illustrates how high-frequency trading allows to monetize information with very little inventory risk.

Joint work with Kevin Webster.

Files: 3445_talk_muhlekarbe.pdf


Speaker:  Johannes Muhle-Karbe
Institution:  ETH and UM

Event Organizer:   Erhan Bayraktar    erhan@umich.edu

 

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