Date28 December 2020

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.

Hong Kong Consortium of Quantitative

Finance