Stochastic Modelling and Control in High Frequency Finance

高频金融中的随机建模和控制

• 批准号: 261799-2013
• 负责人: Jaimungal, Sebastian
• 金额: $ 1.68万
• 依托单位: University of Toronto
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2014
• 资助国家: 加拿大
• 起止时间: 2014-01-01 至 2015-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=547892
• 关键词: Stochastic; Modelling; Control; Frequency; Finance

Today most trading in equity markets takes place on competing electronic platforms typically run by exchanges or large brokers. This changing trading environment has opened a host of new mathematical and statistical modeling problems at the cutting edge of mathematical finance research. My research program aims to address the mathematical and statistical aspects of high frequency trading (HFT) and algorithmic trading (AT) and focuses on two main areas: (i) Stochastic Control problems related to HFT and AT and (ii) Statistical modeling and machine learning (ML) in limit order books (LOBs).

今天，股票市场的大多数交易都是在竞争激烈的电子平台上进行的，这些平台通常由交易所或大型经纪人运营。 这种不断变化的交易环境在数学金融研究的前沿开辟了一系列新的数学和统计建模问题。我的研究项目旨在解决高频交易（HFT）和算法交易（AT）的数学和统计方面的问题，并重点关注两个主要领域：（i）与高频交易和算法交易相关的随机控制问题;（ii）统计建模和机器学习（ML）限价订单簿（LOB）中。