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CQF Institute: Do Spikes Make it Harder to Find Profitable Patterns in Limit Order Books?

Descripción del evento

Talk Overview The persistence of both trend and value effects at varying timescales presents complex challenges for understanding and predicting the behaviour of prices in limit order books. A further level of challenge has become increasingly apparent as markets have witnessed significantly greater numbers of spikes in prices, traded volumes and volatility, particularly during the current pandemic. Given the recent gyrations in global financial markets, predicting the timing, amplitude and duration of spikes has not received the attention that would appear to be warranted. This talk presents a novel approach to modelling spikes and explores how such a model sits naturally in an agent-based approach in order to gain greater insight into financial market behaviour.


Speaker Overview Stephen Weston is a partner in the Risk Advisory practice at Deloitte. He has over 30 years experience in investment banking working with many of the largest investment banks, as well as hedge funds and start-ups. His experience spans all areas of trading, risk management and quantitative research. In addition, he is also a visiting professor at Imperial College in computational finance, as well as a visiting senior lecturer in risk management and machine learning at University College. Stephen holds a PhD in mathematical finance from London University. He also has a particular penchant for red trousers and bright socks. 



Tipo de evento

Sociedad; Featured

Area de formación

 

Start Time

7/8/2021 7:00 PM

Hora de comienzo

7/8/2021 7:00 PM

End Time

7/8/2021 9:30 PM

Hora de término

7/8/2021 9:30 PM

Ciudad

 

Provincia

 

Ubicación Región

EMEA

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Ponente

 

Créditos CPD

 

Divisa

 

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Precio para Candidatos

 

Inscripción

All Day Event

 

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Education Topic

 

Event Country

 

Speaker

 

CPD Credits

2

SER Credit

.

Registration

 

Créditos SER

 

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Event Short Info

CQF Institute: Do Spikes Make it Harder to Find Profitable Patterns in Limit Order Books. The persistence of both trend and value effects at varying timescales presents complex challenges for understanding and predicting the behaviour of prices in limit order books. A further level of challenge has become increasingly apparent as markets have witnessed significantly greater numbers of spikes in prices, traded volumes and volatility, particularly during the current pandemic.

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Content Type: MyCFA Calendar
Created at 6/15/2021 3:53 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]
Last modified at 6/15/2021 3:54 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]