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SUMMARY:On the role of probability in modelling financial markets - Dr Eya
 l Neumann (Imperial College)
DTSTART:20181102T190000Z
DTEND:20181102T200000Z
UID:TALK113674@talks.cam.ac.uk
CONTACT:Valentin Hübner
DESCRIPTION:Abstract: In this talk we will focus on a field of research w
 ithin mathematical finance which known as market microstructure. This are
 a of research deals with issues of market structure and design\, price for
 mation\, transaction costs and investor behavior\, among others. Modern 
 financial markets involve a range of participants who place buy and sell 
 orders across a wide spectrum of time scales. We have pension funds that r
 ebalance their portfolio on an annual basis\, and on the other side of the
  scale\, automated market-making algorithms and high frequency trading fi
 rms that submit several thousands of orders per second. In our research we
  use mathematical tools\, mostly from probability theory and stochastic an
 alysis\, in order to model the behavior of these different types of marke
 t participants\, who are interacting with each other. From the analysis of
  the models\, we often deduce explanations and quantitative description of
  various macro phenomena in the stock market. For example we design models
  in order to explain market volatility\, price dynamics\, transaction cost
 s and to investigate the reasoning behind the repeated occurrence of ’
 flash crashes’.
LOCATION:MR2\, Centre for Mathematical Sciences
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