StochNum welcomed three collaborators in August 2023
About
In an exciting collaboration for our esteemed research group, we are delighted to announce the visit of three highly regarded collaborators who joined us for an insightful and fruitful exchange of ideas. This visit promises to enhance our ongoing research efforts and pave the way for exciting future collaborations.
Dr. Eduardo Jaber from Ecole Polytechnique France, Dr. Christian Bayer from WIAS institute Berlin and Dr. Burcu Aydogan from RWTH Aachen University joined us in the beginning of August. Simon Breneis a PhD student from WIAS Berlin also joined them.
They work on an optimal execution problem under the Almgren-Chriss market impact model with partially observed states. In the framework, they assume that they cannot observe the permanent price impact parameter and only have the observed data of the price and net order-flow processes. The aim of this project is to estimate and update the non-observable parameter dynamically by using the information of the observed price and net order-flow data to design the stochastic optimal control problem.
During their visit they engaged in a series of interactive and brainstorming sessions with other students, postdoctoral fellows, research scientists, and Prof. Tempone. This provides our research group with the opportunity to exchange ideas, discuss ongoing projects, and explore potential avenues for future collaborations.
