Seminar Event Detail

Financial/Actuarial Mathematics

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

Event Organizer:     


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