Algorithmic Trading: Quick Overview, Some Results, and Some Questions

Abstract:

The first part of the talk will offer a brief overview of algorithmic trading in the US equities market with an emphasis on highlighting different aspects of this area and sketching related research questions that touch upon estimation, queueing, and stochastic control. 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.

Biography:

Costis Maglaras is the David and Lyn Silfen Professor of Business at Columbia University. His research focuses on stochastic networks, quantitative pricing and revenue management, the economics of queueing systems, and financial engineering. Recent work has focused on the application of quantitative pricing and risk management in the residential real-estate market, the design of portfolio trading systems and algorithms, and social learning and revenue optimization. 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. He holds a PhD in Electrical Engineering from Stanford University.