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  • A New Design for Trading Stocks
Swedish House of Finance
  • About
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A New Design for Trading Stocks

A seminar where Professor Albert "Pete" Kyle proposes a new design for trading stocks in which orders are executed gradually over time using frequent batch auctions at intervals of one second or less.

This approach virtually eliminates the profits high frequency traders earn based on speed, guarantees execution of "VWAP" orders to volume weighted average price, eliminates the need for many messages, and is consistent with theoretical models of how trading and liquidity have a time dimension. The approach generalizes to orders for portfolios of assets, with simultaneous market clearing prices for all assets every second.

Followed by a panel discussion with:

Claes-Henrik Julander, Chair, Erik Penser Bank & former CEO, Pan Capital

Moderator: Jungsuk Han, Swedish House of Finance at the Stockholm School of Economics

Practical information

Date: September 19, from 16:30 to 18:00.

Location: Swedish House of Finance, Drottninggatan 98, 4th floor.

There was a mingle after the seminar.

Further information 
General questions: Hedvig Mattsson,info@houseoffinance.se
Press contact: Moa Långbergs,moa.langbergs@hhs.se


The seminar is free of charge. The number of seats is limited. In case of time conflict, please cancel 24 hours ahead. No shows are registered.
The presentations will be filmed and available on our website after the seminar.

Albert S. Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006.

Kyle’s research focuses on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity, and contagion.

Read more

Albert "Pete" Kyles presentation

A New Design for Trading Stocks - Full Seminar and Panel Video
SHOF Podcast- Episode 2

 

October 24, 2019

A New Theory about Financial Markets: Invariance with Olga Obizhaeva, Albert "Pete" Kyle, and Anna Obizhaeva.

Read more

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info@houseoffinance.se +46 8 736 91 00
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