Rice University
With the advancement of computer aided trading, markets become increasingly sensitive to timing at a very fine granularity. The goal of this PFUG is to understand and quantify the exposure of both, traders (short term) as well as an electronic market place (long term) in terms of returns from financial investment and market stability.
Our premise states that an informational advantage is in fact always a temporal advantage. Eventually, information becomes available to anyone; having it firs, however, creates an advantage. With electronic communication becoming prevalent, information flows quicker and is more readily available. Few models are known to explicitly incorporate information. During this semester we focus on trading models, reviewing existing ones and building appropriate ones, which allow us to study temporal aspects of trading with a view on one-sided information. We will study models from the point of view of analysis, estimation, prediction, and simulation.