Time: 10:30-11:30am

Venue: Lecture Hall, Jia Yi Bing Building, 82 Jing Chun Yuan, BICMR

Speaker: Michael Kearns, Professor in the Computer and Information Science Department, University of Pennsylvania

Abstract: Traditional financial markets have undergone rapid technological change due to increased automation and the introduction of new mechanisms. Such changes have brought with them challenging new problems in algorithmic trading, many of which invite a machine learning approach. In this talk I will examine several algorithmic trading problems, focusing on their novel ML aspects, including limiting market impact, dealing with censored data, and incorporating risk considerations. More depth than ICML talk will be provided in discussions.