Dr. Richard Sowers (University of of Illinois Urbana Champaign)

Title: Scales in High Frequency Trading

Abstract:High-frequency trading has led to a number of new problems in mathematical finance.  In particular, it highlights
(in our opinion) the continued development of multiscale analyses of effects where some components of the
financial system operate at a faster speed than other components. We here look into one or two problems in this area,
problems where there are slow-fast dynamics.  In these problems, our goal is essentially to identify how to think
of volatility corrections stemming from the fast-slow separation of scales.  

Some of this work is joint with Andrei Kirilenko and Carmen Meng.