Optimal Execution with Quadratic Variation Inventories - BQE Lecture Series
New York University (NYU) via YouTube
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Explore a lecture from the Brooklyn Quant Experience Lecture Series featuring Laura Leal from Princeton University, discussing "Optimal Execution with Quadratic Variation Inventories." Delve into the intricacies of inventory data, statistical tests, and modeling optimal execution in financial markets. Gain insights into automated trading strategies and their implications. Examine numerical results and engage with audience questions to deepen understanding of this complex topic in quantitative finance.
Syllabus
Introduction
Motivation
Inventory Data
Statistical Tests
Modeling Optimal Execution
Optimal Execution Model
Example
Numerical Results
Approach
Discussion
Automated Trading
Audience Questions
Taught by
NYU Tandon School of Engineering