1st Meeting of PPGE Alumni

dme.admin2025-02-18T23:46:05+00:00September 30, 2024|

Horário

Resumos das palestras

Palestrante: Eduardo Ferioli Gomes (UFF)
Título: Directional High Frequency Trading in the Kyle-Back Model

Resumo: In traditional Kyle-Back models, the only source of information comes from the insider’s signal. We consider a more realistic version of the Kyle-Back model with a private and a public signal. The insider observes both signals. The private signal, that is only directly observed by the insider, may be static, when the insider knows the value of the asset in advance, or dynamic, when it converges to the true value of the asset at the end of the trading period. The market maker receives a dynamic signal that also converges to the true value of the asset at the end of the trading period.

In the dynamic case, we prove that the insider’s valuation of the asset is given by a linear combination of both the public and private signals and it is a martingale for the insider’s filtration.

Furthermore, we show that the price – which is the market maker’s valuation of the asset – is also given by a linear combination of the public signal and the weighted demand. In addition, it is proven that it converges to the true price of the asset as it is expected in the traditional theory.

An interesting fact that is observed is that it is possible to see an increase in the volatility of the price in the end of the trading period when trading becomes aggressive due to the convergence of both signals to the true price of the asset.

Palestrante: Guido Alberti Moreira (Universidade do Minho, Portugal)
Título: Presence-Only for Marked Point Process Under Preferential Sampling

Resumo: Preferential sampling models have garnered significant attention in recent years. Although the original model was developed for geostatistics, it found applications in other types of data, such as point processes in the form of presence-only data. While this has been recognized in the Statistics literature, there is value in incorporating ideas from both presence-only and preferential sampling literature. In this paper, we propose a novel model that extends existing ideas to handle a continuous variable collected through opportunistic sampling. To demonstrate the potential of our approach, we apply it to sardine biomass data collected during commercial fishing trips. While the data is intuitively understood, it […]