|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.
Speaker: Johannes Muhle-Karbe
Institution: ETH and UM
Event Organizer: Erhan Bayraktar firstname.lastname@example.org