Public Lecture: ‘Risk Metrics and Fine Tuning of High Frequency Trading Strategies’

Event Date(s): 19/02/2013

Location: Noor Hassanali Lecture Theatre, Faculty of Law

The Department of Mathematics & Statistics in collaboration with CARISCIENCE hosts the 1st instalment of a series of lectures by Professor Sebastian Jaimungal, of the Department of Statistics and Mathematical Finance Program, University of Toronto entitled ‘Risk Metrics and Fine Tuning of High Frequency Trading Strategies” from 5:30pm to 7:00pm at the Noor Hassanali Lecture Theatre, Faculty of Law.

In this session, Professor Jaimungal proposes risk measures to assess the performance of High Frequency (HF) trading strategies that seek to maximize profits from making the realized spread where the holding period is extremely short (fractions of a second, seconds or at most minutes): The HF trader is risk-neutral and maximizes expected terminal wealth but is constrained by both capital and the amount of inventory that she can hold at any time. The risk measures enable the HF trader to fine tune her strategies by trading off different measures of inventory risk, which also proxy for capital risk, against expected profits. The dynamics of the midprice of the asset are driven by information flows which are impounded in the midprice by market participants who update their quotes in the limit order book. Furthermore, the midprice also exhibits stochastic jumps as a consequence of the arrival of market orders that have an impact on prices which can give rise to market momentum (expected prices to trend up or down).

For a full profile of Professor Jaimungal, click here.

Open to: | General Public | Staff | Student | Alumni |


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