Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
The Use of Stochastic Control Theory in High Frequency Trading
Friday, April 30, 2010 at 04:00pm - 05:00pm
Speaker: Douglas Borden, Knight Equity Trading, LP
*** Joint with Department of Mathematics Colloquium and Mathematical Finance Career Workshops ***
Trading decisions in High Frequency Trading involve a subtle interplay between expected price movement, transaction costs, market impact and risk. And these decisions need to be made in milliseconds, millions of times a day. Standard practice is to derive a set of 'if-then' style rules, with the rule parameters optimized through simulation backtesting. In this talk I present a different approach to making High Frequency Trading decisions, making use of techniques from Stochastic Control Theory. I derive the basic equations governing high-frequency decision making and describes techniques for solving the resultant equations.
Speaker: Douglas Borden, Knight Equity Trading, LP
Slides: (TBA)
Trading decisions in High Frequency Trading involve a subtle interplay between expected price movement, transaction costs, market impact and risk. And these decisions need to be made in milliseconds, millions of times a day. Standard practice is to derive a set of 'if-then' style rules, with the rule parameters optimized through simulation backtesting. In this talk I present a different approach to making High Frequency Trading decisions, making use of techniques from Stochastic Control Theory. I derive the basic equations governing high-frequency decision making and describes techniques for solving the resultant equations.
Speaker: Douglas Borden, Knight Equity Trading, LP
Slides: (TBA)