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SUMMARY:Finance and Stochastics Seminar – Shijia Jin
DESCRIPTION:Speaker: Shijia Jin\nTitle: Macroscopic market making\nAbstract
 : Trade execution and market making are two central problems in algorithm
 ic trading that have largely been studied in separate literatures. We pres
 ent a unified approach that addresses both problems simultaneously in thre
 e steps.\nWe introduce a macroscopic market making model à la Avellaneda-
 Stoikov\, using continuous processes for orders instead of discrete point 
 processes. Since the impact of a single market maker on price is typically
  negligible\, we then develop the corresponding game formulation. Finally\
 , we can connect traders with market makers.\nMathematically\, the goal is
  to derive the global well‑posedness of the optimal control/Nash equilib
 rium. The discussion addresses topics in non‑smooth analysis\, FBSDEs\, 
 and Riccati equations.
URL:https://www.imperial.ac.uk/events/213941/finance-and-stochastics-semina
 r-shijia-jin/
DTSTART;TZID=Europe/London:20261013T140000
DTEND;TZID=Europe/London:20261013T150000
LOCATION:140\, Huxley Building\, South Kensington Campus\, Imperial College
  London\, London\, SW7 2AZ\, United Kingdom
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