Mathematical Problems in High Frequency Market Making of Chinese Futures Markets
Gong Donggeng, Shanghai MQT Investments LLC, China
Date:
02 Sep 2014
Time:
5.00pm – 6.00pm
Venue:
Seminar Room 1 (S17-04-06)
About the Speaker
Dr. Gong’s experience ranges from 1) pure math research including the famous Novikov conjecture conducted in the University of Chicago as a faculty and two well-known math research institutes as a postdoctoral fellow and visiting professor (Math Sci Research Inst., Berkeley, and Max-Planck Math Inst., Bonn); 2) stock analysis and investment strategies, and development of futures and options trading system; 3) math models and trading strategies of interest rate, mortgage derivatives and exotic equity and FX options; to 4) high frequency market making of equity options. He worked in three international banks (Fimat, a subsidiary of French bank Societe Generalle Group, ABN AMRO bank, and Bank of America Merrill Lynch) , a big hedge fund (Stark Investments), and equity option trading firm ( Peak 6 Investments) as a chief quant analyst, first vice president, senior vice president of modeling, director of financial engineering, head of quant team in quant trading division. He has over 17 years of experience and has written 76 working papers and documents in derivatives and options modeling and trading. He is now the CEO of Shanghai MQT Investments LLC.
Abstract
In this talk we will introduce high frequency market making strategies in the fascinating Chinese derivatives markets and discuss some issues that make high frequency trading inconvenient now in China. The main purpose of this talk is from theoretic and practical points of view to explain some mathematical problems of the market making strategies, such as spread modeling, optimal order placing, modeling between two tick data, inventory control, etc. Some open problems in the market making trading will be mentioned and deserve further investigations.
