Financial Mathematics/Engineering Seminar Series · 2020. 12. 22. · Seminar Series poster...
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Date 28 December 2020 Time 10:30 – 11:30 (Hong Kong) 21:30 – 22:30 (New York, Dec 27) Zoom https://polyu.hk/Awbye Financial Mathematics/Engineering Seminar Series Liquidity Risk and Asset Pricing Dr. Xiaofei Shi Columbia University, USA Abstract We study how the price dynamics of an asset depends on its "liquidity" - the ease with which can be traded. An equilibrium is achieved through a system of coupled forward-backward SDEs, whose solution turns out to be amenable to an asymptotic analysis for the practically relevant regime of large liquidity. We also calibrate our model to time series data of market prices and trading volume, and discuss how to leverage deep-learning techniques to obtain numerical solutions. (Based on joint works in progress with Agostino Capponi, Lukas Gonon, Johannes Muhle-Karbe and Chen Yang) About the speaker Dr. Xiaofei Shi is an Assistant Professor in the Department of Statistics at Columbia University, USA. Before joining Columbia, she obtained her PhD in Mathematical Finance at Carnegie Mellon University. Her research focuses on stochastic optimizations and stochastic differential equations, with applications to market microstructure. She has also worked on various topics in data science, including reinforcement learning, sparse recovery, dimensionality reduction and crowdsourcing, with applications to dynamical systems. Hong Kong Consortium of Quantitative Finance
Financial Mathematics/Engineering Seminar Series · 2020. 12. 22. · Seminar Series poster template Dec28_2020 Created Date: 12/17/2020 6:33:09 AM
Time10:30 – 11:30 (Hong Kong)21:30 – 22:30 (New York, Dec
27)
Zoomhttps://polyu.hk/Awbye
Financial Mathematics/Engineering Seminar Series
Liquidity Risk and Asset PricingDr. Xiaofei ShiColumbia
University, USA
AbstractWe study how the price dynamics of an assetdepends on
its "liquidity" - the ease with which canbe traded. An equilibrium
is achieved through asystem of coupled forward-backward SDEs,
whosesolution turns out to be amenable to an asymptoticanalysis for
the practically relevant regime of largeliquidity. We also
calibrate our model to time seriesdata of market prices and trading
volume, anddiscuss how to leverage deep-learning techniquesto
obtain numerical solutions. (Based on jointworks in progress with
Agostino Capponi, LukasGonon, Johannes Muhle-Karbe and Chen
Yang)
About the speakerDr. Xiaofei Shi is an Assistant Professor in
theDepartment of Statistics at Columbia University,USA. Before
joining Columbia, she obtained herPhD in Mathematical Finance at
Carnegie MellonUniversity. Her research focuses on
stochasticoptimizations and stochastic differentialequations, with
applications to marketmicrostructure. She has also worked on
varioustopics in data science, including reinforcementlearning,
sparse recovery, dimensionalityreduction and crowdsourcing, with
applications todynamical systems.
