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Numerical methods and models in market risk and financial valuations Area

José Arturo infante-acevedo

Nationality Chilean

Year of selection 2009

Institution Université Paris-Est

Country France

Risk Socio-Economics


3 years

120000 €

Pushing the limits: market microstructure and high-dimensional problems

How can traders minimise their trading costs? José Infante Acevedo is answering this question by developing an improved Limit Order Book (LOB) model. “Market deregulation and competition over investors have made it possible to consult unexecuted orders and past transactions for certain stocks,” he explains. “I’ve applied this information to the LOB model and identified the optimal strategy for buying or selling shares before a specific deadline.” The results have significant implications for market organization, execution costs, electronic market liquidity, high-frequency trading and more. Infante Acevedo is also investigating how a greedy algorithm can solve problems involving high-dimensional partial differential equations—such as the pricing of European and American options—in finance, material sciences and other areas.

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