NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
| 08.00PM – 9.00PM
(Singapore Time Zone, GMT +8) |
Title: Portfolio Liquidation Games with Self-Exciting Order Flow
ProfUlrich Horst (Humboldt-Universitat Zu Berlin) Abstract: We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price impact. Given the strategies of her competitors each player solves a mean-field control problem. We characterize open-loop Nash equilibria in both games in terms of a novel mean-field FBSDE system with unknown terminal condition. Under a weak interaction condition we prove that the FBSDE systems have unique solutions. Using a novel sufficient maximum principle that does not require convexity of the cost function we finally prove that the solution of the FBSDE systems do indeed provide existence and uniqueness of open-loop Nash equilibria. The talk is based on joint work with Guanxing Fu (Hong Kong Polytechnic University) and Xiaonyu Xia (HU Berlin). |
About the Speaker
Prof Ulrich Horst is Professor of Applied Financial Mathematics at Humboldt University Berlin (HUB). He received his PhD in Mathematics form HUB in 2000. After his graduation he spent several years teaching in Germany and North America. Before he returned to Berlin in the summer of 2007 he was an Assistant Professor at the Department of Mathematics at the University of British Columbia in Vancouver. Ulrich Horst held visiting positions at various institutions including the Departments Economics and of Operations Research and Financial Engineering at Princeton University, the Institute for Mathematical Economics at Bielefeld University, the Center for Mathematical Modelling at the Universidad de Chile, and the CEREMADE at the Paris Dauphine University. From July 2007 to June 2011 he was Scientific Director of the Deutsche Bank sponsored Quantitative Products Laboratory, and from March to August 2015, he was a Fellow at the Center for Interdisciplinary Research (ZIF) in Bielefeld. He was the Head of HUB’s the Mathematics Department for the last five years.
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