統計数学セミナー

過去の記録 ~02/05次回の予定今後の予定 02/06~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2015年06月05日(金)

16:20-17:30   数理科学研究科棟(駒場) 056号室
足立高徳 氏 (立命館大学)
A Note on Algorithmic Trading based on Some Personal Experience
[ 講演概要 ]
I overview a brief history of HFT based on my 14 years' personal experience of the algorithmic trading business at a wall-street company. Starting with descriptions about layers of the algo business, I mention a stochastic index arbitrage business that I employed in some detail. After reviewing some HFT specific issues such as super short-period alpha, I try to forecast what is going on with HFT in near future.