| Biography | |
|---|---|
 Dr. Changyong Zhang Curtin University Malaysia, Malaysia |
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| Title: Market Making under Uncertainty | |
| Abstract: Market making in the context of electronic limit order books are of considerably practical importance for high-frequency market makers. In general the problem is based on probabilistic models defined on certain reference probability spaces. However, due to uncertainty in model parameters or in periods of extreme market turmoil, ambiguity concerning the correct underlying probability measure may appear and an assessment of model risk, as well as the uncertainty on the choice of the model itself, becomes important, as for a market maker attempting to liquidate large positions, the uncertainty may result in unexpected consequences due to severe mispricing. This talk focuses on the market making problem using limit orders, accounting for model risk or uncertainty. It is formulated as a stochastic optimal control problem, with the controls being the spreads, relative to a reference price, at which orders are placed. The model considers uncertainty in both the drift and volatility of the underlying reference price, for the study of the effect of the uncertainty on the behavior of the market maker, accounting also for inventory restriction. | |
| Biography: Changyong Zhang earned a Bachelor of Engineering in Mechanical Engineering and Automation from South China University of Technology, a Master of Science in High Performance Computation for Engineered Systems from National University of Singapore (Singapore-MIT Alliance), a Master of Philosophy in Network Planning and Optimisation from Imperial College London, and a Doctor of Philosophy in Applied Mathematics from the University of Southern California. Prior to joining Curtin University Malaysia in 2015 as an associate professor in the Department of Finance and Banking, Changyong Zhang had been affiliated with Xi’an Jiaotong-Liverpool University as a lecturer in the Department of Mathematical Sciences, the University of Leoben as a postdoctoral researcher in the Department of Mathematics and Information Technology, and Uppsala University as a postdoctoral researcher in the Department of Mathematics. Along with teaching experience in Finance and Mathematics related courses, Changyong Zhang’s research interests lie in interdisciplinary fields, including Financial Economics, Operations Research, and Stochastic Analysis, with papers being published in a number of ABDC-ranked and WoS-indexed journals. | |
