Some optimization problems arising in stochastic finance

Date

Dec 12, 2012

Time

5:00 PM - 6:00 PM

Speaker

Prof. Dr. Alexander Schied

Affiliation

Universität Mannheim, Lehrstuhl für Mathematik I, Wirtschaftsmathematik

Series

TUD Dresdner Mathematisches Seminar

Language

en

Main Topic

Mathematik

Other Topics

Mathematik

Host

Prof. Dr. R. Schilling

Description

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

Last modified: Oct 19, 2012, 4:05:12 PM