Events

Johan Walden, UC Berkeley (Haas): Trading, Profits, and Volatility in a Dynamic Information Network Model

We introduce a dynamic noisy rational expectations model, in which information diffuses through a general network of agents. In equilibrium, agents’ trading behavior and profits are determined by their position in the network. Agents who are more closely connected have more similar periodby-period trades, and an agent’s profitability is determined by a centrality measure that is closely related to eigenvector centrality. In line with the Mixture of Distributions Hypothesis, the market’s network structure influences aggregate trading volume and price volatility. Volatility after an...

Keith Sollers, UC Davis: Recent Developments in Optimal Placement of Trades

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...

Alex Papanicolaou, Integral Development Corporation: Background Subtraction for Pattern Recognition in High Frequency Financial Data

Financial markets produce massive amounts of complex data from multiple agents, and analyzing these data is important for building an understanding of markets, their formation, and the influence of different trading strategies. I introduce a signal processing approach to deal with these complexities by applying background subtraction methods to high frequency financial data so as to extract significant market making behavior. In foreign exchange, for prices in a single currency pair from many sources, I model the market as a low-rank structure with an additive sparse component representing...