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  Issue 26 | Archive February 2016

ETH Zurich¡¯s Professor Halil Soner Talks about Impact of Trading on the Market

On 15 January 2016, Prof. Halil Soner, Professor of Mathematics at ETH Zurich, Senior Chair at Swiss Finance Institute, and a visiting professor at NUS RMI, gave a seminar on ¡°Trading with Market Impact.¡± The seminar was attended by over 50 participants which included a mix of NUS researchers, professionals from various banks and financial institutions, and students and alumni from RMI¡¯s Master of Science in Financial Engineering (MFE) program.

Prof. Soner began the seminar by giving a brief introduction to his background and acknowledging some of his research collaborators over the years, such as Prof. Nizar Touzi, Prof. Johannes Muhle-Karbe, and Prof. Albert Altarovici, among several others. His discussion featured several research papers, published and forthcoming, with fellow researchers. Their research studies the financial markets in which trading causes price impact and portfolio optimization in those markets, by proposing several models for such markets using resilience. He went on to elaborate that they study these models using stochastic optimization techniques. In particular, the classical dynamic programming equation approach provides equations that they analyze in several different asymptotic regimes.

Having shared four research papers, two published and two forthcoming, with the audience prior to the seminar, he discussed the overarching framework of his research, highlighting three of those papers. Diving into a discussion of his current research, Prof. Soner briefly stated the three things one would model to study the impact of trade on current value of the stock: market impact, dynamics of this impact, and impact on investment decisions.

Beginning the discussion on price impact of trading, Prof. Soner described the general framework of price impacts, before moving on to talk about the supply curve, dynamics, and super-replication of the Cetin-Jarrow-Protter model. Lastly he discussed the problems and impacts that their research considers based on the Almgren-Chriss model, asymptotics, and hedging. Prof. Soner concluded his talk by summarizing the path that their research is trying to pave and their targets for future research.

Prof. Soner¡¯s research focuses on nonlinear analysis with emphasis on optimal stochastic control, partial differential equations, stochastic processes, and mathematical finance. He received his doctoral degree from the Division of Applied Mathematics at Brown University and later joined the Department of Mathematical Sciences at Carnegie Mellon. He has co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance. Since 2011, he has been the Executive Secretary of the Bachelier Finance Society and in 2014 he received the Alexander von Humboldt Research Award.

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