Workshops 2020

Pre-conference workshop:

Market microstructure

March 10, 2020

In this workshop, Mathieu Rosenbaum (Ecole Polytechnique), Johannes Muhle-Karbe (Imperial College London), Paul Bilokon (Thalesians) and Jan Novotny (Deutsche Bank) will survey recent progress in Market Microstructure. More specifically, they will discuss the statistical modelling of limit-order books, the design and transaction-cost analysis of optimal trading strategies, and how liquidity risk is priced over time and across different assets.

Speakers:

• Johannes Muhle-Karbe, professor, Department of Mathematics, Imperial College London and chair in Mathematical Finance and director, CFM-Imperial Institute of Quantitative Finance
• Mathieu Rosenbaum, professor, Ecole Polytechnique
• Paul Bilokon, CEO and founder, Thalesians

Program for the day:

08.30-9.00 Breakfast & registration

09.00-10.30 Transaction costs analytics

Johannes Muhle-Karbe, professor, Department of Mathematics, Imperial College London

10.30-11.00 Morning break

11.00-12.30 Optimizing trading algorithms

Mathieu Rosenbaum, professor, Ecole Polytechnique

12.30-13.30 Lunch

13.30-16.00 Machine learning in finance: from theory to practice 

• The anatomy of a market microstructure practitioner
• The practice of electronic market making
• An introduction to kdb+/q
• Big and high-frequency data in kdb+/q
• Supervised machine learning in electronic market making
• Reinforcement learning in electronic market making
• Machine learning in finance: from theory to practice

Paul Bilokon, CEO and founder, Thalesians 

16.00 End of the seminar.