|Date: Wednesday, November 29, 2017
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Trading, Market Impact and Nonlinear Systems
Abstract: We discuss problems where impact from optimal or equilibrium trading leads to challenging nonlinear systems and fixed point problems. These may arise from
i) Market impact from a significant group of portfolio optimizers in a constrained market with clearing conditions. ii) High frequency trading to a target.
iii) Oligopolies with a small number of influential players, or a continuum of players with aggregate impact.
iv) Optimal execution where trading speed is penalized.
These are addressed with computational and analytical methods, and well-posedness of the problems is crucial in the absence of general theory.
Speaker: Ronnie Sircar
Institution: Princeton University