Applied Math Seminar: Trading illiquid goods, Peter Cotton, JP Morgan

Applied Math Seminar<br><br>Title:&nbsp;Trading illiquid goods&nbsp;&nbsp;<br>Speaker:&nbsp;Peter Cotton<b>,&nbsp;</b>JP Morgan&nbsp;&nbsp;<br>Date: December 8<br>Time: 4:00pm<br>Location: Building 380 - 384-H<br><br>Abstract:&nbsp;<br>We provide analytic results for the optimal control problem faced by a market maker who can only obtain &gt; and dispose of inventory via a sequence of sealed-bid auctions. Under the assumption that the best competing &gt; response is exponentially distributed around a commonly discerned fair market price we examine properties &gt; of the market maker's optimal behavior. We show that simple adjustments to skew and width accommodate &gt; customer arrival imbalance. We derive a straightforward relationship between the market marker's ll prob- &gt; ability and direct holding costs. A simple formula for optimal bidding in terms of inventory &gt; cost is presented. We present the results as a perturbation of an improvement to a "linear skew, constant &gt; width" (CWLS) market making heuristic.<br>

Date: 
Friday, December 8, 2017 - 4:00pm to 5:00pm
location: 
Building 380 - 384-H