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Ampfield Aktiebolag: Computational aspects of financial securities trading

Time: Thu 2023-12-14 14.15 - 15.00

Location: KTH, 3721, Lindstedsvägen 25

Participating: Ampfield Aktiebolag

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Ampfield is a proprietary trading business that operates automated trading systems on world financial markets. Automated trading involves several challenging optimization and estimation problems, for which no closed form solutions are available.

The talk gives an overview of automated trading from a mathematical perspective. A fundamental equation governing automated trading is derived and resulting computational problems in different domains are exemplified. The talk touches on concepts from mathematical finance, stochastic calculus, optimal control, Bayesian statistics and filtering