# Mathematical Finance & Financial Data Science Seminar

#### The Importance of Clean-Up Cost in Algorithmic Trading

**Speaker:**
Nick Westray, NYU Courant

**Location:**
Warren Weaver Hall 1302

**Date:**
Tuesday, February 18, 2020, 5:30 p.m.

**Synopsis:**

Given a set of fully and partially filled equity orders to be used in Transaction Cost Analysis (TCA) a common problem for practitioners is how to correctly account for unfilled shares. In this talk we first compare and contrast some of the common approaches used in practice today. Then we show how to formulate the problem in terms of stochastic control. Finally, by combining classical ideas from the control literature with modern machine learning methods we show how such problems can be efficiently solved numerically.

This is joint work with Petter Kolm (NYU Courant) and Dieter Hendricks (RMB).

**Bio - Nick Westray**