Price signatures

Roel Oomen (Deutsche Bank)

Wednesday 22 May 2019, 18:00-19:00.

 

The seminar will be followed by a reception for all registered participants.

 

This event will be live streamed, and the recording made available after the event here.

Presentation slides

 

Abstract

Price signatures are statistical measurements that aim to detect systematic patterns in price dynamics localised around the point of trade execution. They are particularly useful in electronic trading because they uncover market dynamics, strategy characteristics, implicit execution costs, or counter-party trading behaviours that are often hard to identify, in part due to the vast amounts of data involved and the typically low signal to noise ratio. I show how recent advances in functional data analysis can be applied to study the properties of these signatures and develop resampling-based bootstrap methodologies that enable reliable statistical inference and hypothesis testing. I illustrate the power of this approach using a number of case studies taken from a live trading environment in the over-the-counter currency market. I demonstrate that functional data analysis of price signatures can be used to distinguish between internalising and externalising liquidity providers in a highly effective data driven manner. This in turn can help traders to selectively engage with liquidity providers whose risk management style best aligns with their execution objectives.

Speaker

Roel is the head of FIC quantitative trading at Deutsche Bank. He started his industry career as a quant in cash equity algo trading in 2006, and subsequently held various roles in electronic FX spot trading, including co-head of the business. Roel holds a PhD in econometrics, is a senior research fellow at the London School of Economics, and has published widely on the econometric analysis of high frequency data and FX trading.

Venue

Citi Stirling Square
5-7 Carlton Gardens, London SW1Y 5AD

 

We have now reached full capacity for this event. If you would like to be added to the waitlist please contact mathfin@maths.ox.ac.uk.