Trading Strategy with Stochastic Volatility in a Limit Order Book Market
讲座名称：
Trading Strategy with Stochastic Volatility in a Limit Order Book Market
讲座时间：
2017-03-02
讲座人：
古嘉雯
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座题目：Trading Strategy with Stochastic Volatility in a Limit Order Book Market
讲座时间：3月2日（周四） 9：00-11：00
讲座地点：理科楼407
讲座人：古嘉雯博士
讲座摘要：
In this talk, we employ the Heston stochastic volatility model to describe the stock’s volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer’s mark-to-market wealth. Dealers in the security market can optimally determine their ask and bid quotes on the underlying stocks or options continuously over time. Their objective is to maximize an expected profit from transactions with a penalty proportional to the variance of cumulative inventory cost.
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