PDEs and applications: Machine Learning and Algorithmic Trading

  • Date: –11:15
  • Location: Ångströmlaboratoriet, Lägerhyddsvägen 1 64119
  • Lecturer: Jonas Kiessling
  • Organiser: Matematiska institutionen
  • Contact person: Kaj Nyström
  • Seminarium

Mathematicians are everywhere in finance these days; they price derivatives or model risk at banks, and they design self-trading systems at hedge funds. The arrival of powerful AI and ML software is driving rapid structural change in the whole industry. After receiving a PhD in mathematics at KTH 9 years ago, I have worked with computer driven equity trading. In this presentation I plan to give an overview of what algorithmic trading is all about and what working as a quant can be like. I will focus on what the challenges are from a mathematical point of view, highlight the potential of ML, and provide some concrete illustrative examples.