TITLE: A multiclass queueing
model of limit order book dynamics

SPEAKER: Costis Maglaras

ABSTRACT:

The first part of the
talk will offer a brief overview of algorithmic trading in the US
equities market, touching, in passing, upon on the topic of
high-frequency trading and the nature of current market structure.
The emphasis will be on highlighting different facets of this area
and discussing corresponding quantitative research problems. The
second half of the talk describes a queueing model of limit order
book dynamics, and explores questions of optimal limit order
placement, market impact, and optimal trade execution.


Bio:

Costis Maglaras is the
David and Lyn Silfen Professor of Business at Columbia University.
His research focuses on quantitative pricing and revenue
management, the economics, design and operations of service
systems, and financial engineering. He is the author of many
research articles spanning the theory and application of
stochastic modeling in a variety of fields, more recently in
pricing, risk management and valuation of multi-unit real estate
portfolios, and in the design of portfolio trading systems and
algorithms. He holds editorial positions in many of the flagship
journals of his fields of study, he is the recipient of several
research and teaching awards, and he teaches and serves as faculty
director for the executive education course on Risk Management
offered by Columbia Business School.