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SF@W Reading Group

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.

Term 1

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

SF@W mailing list

If you would like to be kept informed of stochastic finance related events in the department, please sign up to the sf@w mailing list.