The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place on Thursdays from 12.00 pm - 1.00 pm in room NAB.1.09 (New Academic Building, LSE), unless stated below.
The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend. ***If you are not an LSE member of staff or LSE student please email firstname.lastname@example.org with details of the Joint Risk and Stochastics and Financial Mathematics seminar(s) you would like to attend so that we can notify the security reception desks to facilitate your access into the New Academic Building***
Please contact the seminar administrator on email@example.com for further information about any of these seminars.
***Change to usual venue: 32L.G.17, 32 Lincoln's Inn Fields, LSE***
THURSDAY 30 June - 12.00
Johannes Muhle-Karbe (Michigan)
Information and Inventories in High-Frequency Trading
We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then optimized inventory management allows to minimize positions with only second-order losses to expected returns. (Joint work with Kevin Webster)
The Summer Term 2016 seminar series has ended. Please do check back for news on our 2016-17 seminar series.