A shorter notice due to the recent celebration long weekend should not keep you from signing up for the next WISE presentation! This coming Wednesday, March 23, 2011 at 12.30 a.m. in room E, Department of Economics Paolo Pellizzari will present his work on "Computable dynamic trading equilibria in continuous double auctions".
Here is an abstract of his presentation.
Trading optimally in a Continuous Double Auction (CDA) is difficult, due to the nearly countless options available to traders. Analytical models simplify the setup to cope with such a complexity. We present some models of CDAs for which approximate equilibrium trading strategies can be computed and analyzed. We model the CDA as a stochastic sequential game, numerically (and simultaneously) solving for the best strategy for each type of trader. We show that the optimization procedures we use are robust to the "curse of dimensionality" and obtain time-dependent or state-contingent optimal strategies with realistic features.
Please note lunch will take place before the seminar, between 12.30 and 1 pm, with the presentation starting only at 1 pm. Remember also that WISE went green, thus we kindly ask you to confirm by email your participation to the seminar in due time, in order to allow to prepare the right amount of food.
Looking forward to seeing you all at WISE!
-the WISE staff