Algorithmic trading: quick overview, some results, and some questions
Costis Maglaras
Graduate School of Business
Columbia University
Wednesday, March 2, 2011
4:30 - 5:30 PM
Y2E2 101
Abstract:
The first part of the talk will offer a brief overview of algorithmic trading in the US equities market with an emphasis on highlighting different aspects of this area and sketching related research questions that touch upon estimation, queueing, and stochastic control. The second half of the talk describes a queueing model of limit order book dynamics, and explores questions of optimal limit order placement, market impact, and optimal trade execution.
Operations Research Colloquia: http://or.stanford.edu/oras_seminars.html