Analysing high-frequency trading strategies

Professor Frank Kelly, Senior Fellow at the Institute for Advanced Study (IAS) of City University of Hong Kong, delivered a lecture in the latest installment of the IAS Distinguished Lecture Series: Frontiers in Operations Research/Operations Management on 7 April.

 

In the lecture titled “A Markov model of a limit order book: thresholds, recurrence, and trading strategies”, Professor Kelly explained how an analytically tractable model of a limit order book can be used to analyse high-frequency trading strategies and commented on the Nash equilibrium theory.

 

Professor Kelly is Professor of the Mathematics of Systems in the Statistical Laboratory at the University of Cambridge. He was elected a Fellow of the Royal Society in 1989 and a Foreign Member of the National Academy of Engineering in 2012.