Algorithmic Trading: An Introduction and Preliminary Experimental Results

14.03.2018

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The University of Luxembourg is delighted to invite you to the save the dates for the next events of the 3x3 FinTech lecture series featuring speakers from the University of Luxembourg's Interdisciplinary Centre for Security, Reliability and Trust (SnT), Luxembourg School of Finance (LSF) and Research Unit in Law (RUL).


Over the course of the 2017-2018 academic year, it will feature three speakers from each of the three disciplines carrying out FinTech research at the University of Luxembourg - information technology, finance and law. 3x3 brings together academics at the forefront of FinTech research and professionals from Luxembourg's business community and financial
centre. It bridges the academic-practice divide and discusses the practical implications of FinTech research for financial services and the potential repercussions for the industry,  furthering knowledge transfer and exchange of information and expertise.


Abstract:Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have been thought of being responsible for recently observed flash crashes, i.e. instances when the market crashes and instantly recovers.

A common function of algorthmic trading is to profit from arbitrage, but little is known about the impacts of such trading algorithms in the market. By exploiting riskless arbitrage or statistical arbitrage in financial markets, arbitrage trading algorithms in theory instate efficiency and eventually establish no-arbitrage conditions in a market. A natural starting point for experimental finance research is the study of the impact of arbitrage bots in the market.

The presentation introduces to algorithm trading, advanced results from the financial literature and recent results from experiments.

Info and inquiries: 3x3@uni.lu


Speaker: Prof. Tibor NEUGEBAUER, University of Luxembourg

Veranstaltungsort

Université du Luxembourg - Bâtiment Weicker

4, rue Alphone Weicker
L-2721 LUXEMBOURG
Luxembourg

Termin(e) und Uhrzeit(en)

14.03.2018

18:00 - 20:00

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