APPLIED MATHEMATICS SEMINAR
NEWS RELEASES AND
SPEAKER: Mauricio Elizalde (Arfima Trading S.L.)
DATE: Thursday, 25 April 2019 - 17:30
VENUE: Aula 320, Departamento de Matemáticas, UAM
ABSTRACT: We explain how electronic markets work, specifically
for Eurodollar futures, where the matching algorithm for trading
is pro-rata. This matching method leads investors to
over-subscribe limit orders to get their desired quantity of lots
with a risk of over-trading. Therefore, speed and latency play an
important role, and not only for canceling remaining lots but for
trading in fast reactions like after an economic announcement.
We model traded volume to find the optimal parameters for
maximizing returns through an over-subscription strategy.