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Seminários do IMPA

Métodos Matemáticos em Finanças

Optimal Order Placement in FX Markets
Sebastian Jaimungal

University of Toronto
Quarta-feira, 16 de janeiro de 2019, 18:00
Sala 232

Due to latency in the time it takes for a trader to see market information, make a trading decision, place a trade, and for that trading action to arrive at an exchange, venues often allow traders to submit a discretionary price along with a trade. This is akin to a limit on the price they are willing to trade at and protects them in case the market moves away from their intended price. In this talk, we develop a novel approach to optimize how a trader places their discretion level to react to the market environment and their future expected trading actions. The problem leads to a new class of random-measure FBSDEs and we prove their uniqueness and existence. Finally, we develop a numerical scheme for obtaining the optimal discretion and provide some numerical illustrations.

[ joint work with Álvaro Cartea and Leandro Sanchez Betancourt, U. Oxford]