Optimal placement of trades has received more attention recently, particularly in the high-frequency trading venue. We define a formulation of the optimal placement problem and present a closed-form solution to this problem in the discrete-time case. We then discuss the continuous-time case, where optimal solutions exist but no closed-form solution is known. After tuning the models using high-frequency market data, we present numerical solutions in continuous-time and exact solutions in discrete-time.
- Start date: 2016-03-29 11:00:00
- End date: 2016-03-29 12:30:00
- Venue: 639 Evans Hall at UC Berkeley
- Address: 639 Evans Hall, Berkeley, CA, 94720