BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:The Archimedeans (CU Mathematical Society)
SUMMARY:On the role of probability in modelling financial
markets - Dr Eyal Neumann (Imperial College)
DTSTART;TZID=Europe/London:20181102T190000
DTEND;TZID=Europe/London:20181102T200000
UID:TALK113674AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/113674
DESCRIPTION:Abstract: In this talk we will focus on a ﬁeld of
research within mathematical ﬁnance which known as
market microstructure. This area of research deal
s with issues of market structure and design\, pri
ce formation\, transaction costs and investor beha
vior\, among others. Modern ﬁnancial markets invol
ve a range of participants who place buy and sell
orders across a wide spectrum of time scales. We h
ave pension funds that rebalance their portfolio o
n an annual basis\, and on the other side of the s
cale\, automated market-making algorithms and high
frequency trading ﬁrms that submit several thousa
nds of orders per second. In our research we use m
athematical tools\, mostly from probability theory
and stochastic analysis\, in order to model the b
ehavior of these diﬀerent types of market particip
ants\, who are interacting with each other. From t
he analysis of the models\, we often deduce explan
ations and quantitative description of various mac
ro phenomena in the stock market. For example we d
esign models in order to explain market volatility
\, price dynamics\, transaction costs and to inves
tigate the reasoning behind the repeated occurrenc
e of ’ﬂash crashes’.
LOCATION:MR2\, Centre for Mathematical Sciences
CONTACT:Valentin Hübner
END:VEVENT
END:VCALENDAR