CCF Seminar

Richard Sowers
University of Illinois
Title: A multiscale model of high frequency trading

Abstract: We develop and model a limit order book in the presence of two types of traders; liquidity traders and high frequency traders. This model is very stylized (and is related to some previous work in the literature). We understand the effect of a separation of scales between the two types of traders and find a correction to stock volatility. This is joint work with Andrei Kirilenko and Carmen Meng.

Date: Monday, January 28, 2013
Time: 5:00 pm
Location: Wean 6423
Submitted by:  Shreve