{"id":453,"date":"2012-04-13T21:00:59","date_gmt":"2012-04-13T20:00:59","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/index.php\/seminario-almgren\/"},"modified":"2015-07-17T09:16:18","modified_gmt":"2015-07-17T08:16:18","slug":"seminario-almgren","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/seminario-almgren\/","title":{"rendered":"Robert Almgren, &#8220;Quantitative Problems in Optimal Execution&#8221;"},"content":{"rendered":"<p style=\"text-align: center;\">Friday April 13 2012<br \/>\n13:00<br \/>\nScuola Normale Superiore<br \/>\nAula Bianchi<\/p>\n<p style=\"text-align: center;\"><strong>Robert Almgren<\/strong><br \/>\n<span style=\"font-size: 10pt;\">New York University and Quantitative Brokers<\/span><\/p>\n<p style=\"text-align: center;\"><strong>Abstract<\/strong><br \/>\nExecution of large transactions so as to minimize market impact and trading costs is a very important aspect of modern financial markets. We will give an overview of the quantitative tools that are used to approach this problem and how they are implemented in practice. These include balance of risk and reward, design of optimal trajectories, and the mathematical issues that arise in optimal response to time-varying liquidity and volatility.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Friday April 13 2012 13:00 Scuola Normale Superiore Aula Bianchi Robert Almgren New York University and Quantitative Brokers Abstract Execution of large transactions so as to minimize market impact and trading costs is a very important aspect of modern financial markets. We will give an overview of the quantitative tools that are used to approach [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/453"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=453"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/453\/revisions"}],"predecessor-version":[{"id":570,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/453\/revisions\/570"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=453"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=453"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=453"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}