José Arturo INFANTE-ACEVEDO
|Year of selection||2009|
Type of support
120 000 €
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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