Abstract: Optimal execution and trading algorithms rely on price impact models to quantify trading costs. This talk highlights an extensive class of models and problems for which straightforward closed-form solutions exist. Furthermore, these simple solutions combine with more sophisticated methods to solve non-standard problems, such as nonlinear price impact models.
Bio: Kevin Webster graduated with a Ph.D. from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, emphasizing price impact and market making. He previously worked at Deutsche Bank and Citadel and is currently a visiting assistant professor at Imperial College, London.
Kevin Webster created and taught a course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a visiting lecturer at Princeton in the 2015 school year. His publications include "The self-financing equation in high frequency markets," "Information and inventories in high frequency trading," "A portfolio manager's guidebook to trade execution," and "High frequency market making."