Seminar 217, Risk Management: Recent Developments in Optimal Placement of Trades

Seminar 217, Risk Management: Recent Developments in Optimal Placement of Trades

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Mar 29, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Keith Sollers, UC Davis (Speaker - Featured)
Abstract: 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.