Some optimization problems arising in stochastic finance

Datum

12.12.2012

Zeit

17:00 - 18:00

Sprecher

Prof. Dr. Alexander Schied

Zugehörigkeit

Universität Mannheim, Lehrstuhl für Mathematik I, Wirtschaftsmathematik

Serie

TUD Dresdner Mathematisches Seminar

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. R. Schilling

Beschreibung

Recent years have seen dramatic changes in the way financial markets are functioning. For instance, most trades are no longer executed by human brokers but by automated trading algorithms that operate in electronic limit order books. Some proponents of these developments hold that algorithmic trading leads to greater market efficiency. Critics fear new kinds of systemic risks and point to the "Flash Crash" of May 6, 2010. In this talk, we will look at the mathematics of a few stochastic optimization problems that arise in the context of algorithmic trading. Despite the simplicity of the underlying models, our analysis will exhibit some interesting mathematical properties of the optimal trading strategies they suggest. Some of these results might contribute to the evaluation of current trends in financial markets. Others are of interest from a purely mathematical point of view.

Links

• Dresdner Mathematisches Seminar

Letztmalig verändert: 19.10.2012, 16:05:12