Unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Wednesdays 2-3pm in MS.05 - with the option to join online via MS Teams. If you want to be added to the MS Teams group, please contact the reading group organiser Martin Herdegen.
The topic of the reading group for Term 1 will be Algorithmic and High Frequency Trading. We will be following the textbook "Algorithmic and High-Frequency Trading" by Cartea, Jaimungal and Penalva (CUP, 2015).
|06.10.2021||5min research presentations and discussion of topic||all|
|13.10.2021||5min research presentations||all
|20.10.2021||Key Facts on Market Microstructure||Joe Jerome|
|27.10.2021||Optimal Execution with Temporary Price Impact (Cartea et al. 6.1-6.3)||Nikolaos Constantinou|
|03.11.2021||Optimal Execution with Temporary and Permanent Price Impact (Cartea et al. 6.5)||tba|
|10.11.2021||Liquidation with Limit Orders only (Cartea et al. 8.1-8.2)||tba|
|17.11.2021||Liquidation with Limit and Market orders (Cartea et al. 8.4)||tba|
|24.11.2021||Market Making I (Cartea et al. 10.1-10.2.0)||tba|
|01.12.2021||Market Making II (Cartea et al. 10.2.1-10.2.2)||tba|
|08.12.2021||Market Making with Adverse Selection (Cartea et al. 10.4)||tba|