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Do Spikes Make it Harder to Find Profitable Patterns in Limit Order Books

Speaker: Dr Stephen Weston

CQF Institute is proud to bring you a free online talk with Dr Stephen Weston on Profitable Patterns 

Event Agenda 

17:30 - 18:00 BST - Networking and CQF Booth 

18:00 - 19:30 BST - CQF Institute Talk: Do Spikes Make it Harder to Find Profitable Patterns in Limit Order Books

19:30 - 20:00 BST - Networking and CQF Booth 

This event can earn you up to 2 CPD credits.

Abstract

The persistence of both trend and value effects at varying timescales presents complex challenges for understanding and predicting the behaviour of prices in limit order books. A further level of challenge has become increasingly apparent as markets have witnessed significantly greater numbers of spikes in prices, traded volumes and volatility, particularly during the current pandemic. Given the recent gyrations in global financial markets, predicting the timing, amplitude and duration of spikes has not received the attention that would appear to be warranted. This talk presents a novel approach to modelling spikes and explores how such a model sits naturally in an agent-based approach in order to gain greater insight into financial market behaviour.

Speaker's Bio

Stephen Weston is a partner in the Risk Advisory practice at Deloitte. He has over 30 years experience in investment banking working with many of the largest investment banks, as well as hedge funds and start-ups. His experience spans all areas of trading, risk management and quantitative research. In addition, he is also a visiting professor at Imperial College in computational finance, as well as a visiting senior lecturer in risk management and machine learning at University College. Stephen holds a PhD in mathematical finance from London University. He also has a particular penchant for red trousers and bright socks.