Modeling High-Frequency Trading Activity (13w5008)


(Simon Fraser University)

(Olsen Ltd)


The Banff International Research Station will host the "Modeling High-Frequency Trading Activity" workshop from September 1st to September 6th, 2013.

The workshop, Modeling High-Frequency Trading Activity, is bringing together financial market participants with experts from economics, finance, mathematics and statistics to improve our understanding of how ultra-high-frequency trading is changing financial markets. Trading has now become so fast within the past decade, that there is no real-time human judgment behind the majority trading decisions in today's markets. Instead, cleverly programmed computers are now involved in approximately 75% of trades in U.S. stock markets. The objective of this workshop is to improve our understanding of this new class of traders and their impact on the overall market.

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).