Mathematical Finance & Financial Data Science Seminar

Market Impact, Slippage Costs, and Optimal Execution of Large Trades

Speaker: Fabrizio Lillo, Università di Bologna, Scuola Normale Superiore

Location: Online

Date: Tuesday, May 4, 2021, 5:30 p.m.


Market impact is one of the most important sources of trading cost for financial investors executing large orders. Nonetheless its measurement, modeling, and control are still not fully understood. I will present some recent advances on this topic, considering both empirical aspects, both in univariate and in portfolio setting, and modeling approaches, considering both reduced form models and approaches describing explicitly the limit order book dynamics. Finally, I will discuss the relevance of these findings for the problem of optimal execution of large trades.

Speaker Bio

Fabrizio Lillo is Full Professor of Mathematical Methods for Economics and Finance at the University of Bologna (Italy). Since July 2021 he also holds the chair (part time) of Mathematical Finance on Market Microstructure, Networks and Systemic Risk at the Scuola Normale Superiore in Pisa (Italy). Formerly he has been Associate Professor of Mathematical Finance at the Scuola Normale Superiore, where he led the Quantitative Finance group. He has also been Postdoc, External Faculty, and Professor at the Santa Fe Institute (USA). He received the PhD in Physics at the University of Palermo (Italy) where he was also Assistant Professor. He has been a postdoc and then a researcher of the National Institute of the Physics of Matter, INFM. He has been awarded the Young Scientist Award for Socio- and Econophysics of the German Physical Society in 2007. He is author of more than 120 referred scientific papers, which, according to Google Scholar, have received 8,700 citations. He is also a member of the editorial board of several journals (including Journal of Statistical Mechanics (JSTAT) and Market Microstructure and Liquidity). As a researcher and consultant, Fabrizio has worked in areas including market microstructure, data science, econometrics, forecasting models, high frequency trading, machine learning, portfolio optimization, risk management, trading strategies, transaction cost analysis. 



This event is free, but requires registration.  Please click here to register.