A multiclass queueing model of limit order book dynamics

Event Details
  • Date/Time:
    • Tuesday November 2, 2010
      11:00 am - 12:00 pm
  • Location: ISyE Executive classroom
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Summary Sentence: A multiclass queueing model of limit order book dynamics

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TITLE: A multiclass queueing model of limit order book dynamics

SPEAKER: Costis Maglaras

ABSTRACT:

The first part of the talk will offer a brief overview of algorithmic trading in the US equities market, touching, in passing, upon on the topic of high-frequency trading and the nature of current market structure. The emphasis will be on highlighting different facets of this area and discussing corresponding quantitative research problems. 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.

Bio:
Costis Maglaras is the David and Lyn Silfen Professor of Business at Columbia University. His research focuses on quantitative pricing and revenue management, the economics, design and operations of service systems, and financial engineering. He is the author of many research articles spanning the theory and application of stochastic modeling in a variety of fields, more recently in pricing, risk management and valuation of multi-unit real estate portfolios, and in the design of portfolio trading systems and algorithms. He holds editorial positions in many of the flagship journals of his fields of study, he is the recipient of several research and teaching awards, and he teaches and serves as faculty director for the executive education course on Risk Management offered by Columbia Business School.

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Nov 1, 2010 - 5:56am
  • Last Updated: Oct 7, 2016 - 9:53pm