[EN - University of Padova] 2-year senior Post-Doc Position - Venezia Italia

2-year senior post-doc position (University of Padova) !
• Within The Probability & Finance group (Dpt of Maths)
• Under the supervision of Claudio Fontana:
• Beginning before Sep 1 2020

►Looking for a highly motivated candidate
• PhD degree in stochastic analysis and mathematical finance mandatory
• Previous research experience in arbitrage theory, stochastic filtering, enlargement of filtrations, meanfield games, or interest rate modelling appreciated
• Knowledge of the Italian language is NOT required
• Language courses are offered by the University of Padova

►Working Conditions

• Salary is fixed at a top level for a post-doctoral position at the University of Padova
• About 2.100 €/month (net of taxes)
• Generous financial support available for participation to international conferences/workshops
• The selected candidate will NOT have mandatory teaching duties
• The Probability & Finance group is a dynamic research unit
• With a strong international visibility and well-established collaborations with foreign institutions
• Padova is a beautiful city in the Venetian region
• Home to one of the oldest universities in the world •With a thriving student life and an excellent quality of lifeF

Apply Now!

•  Send your Resume to Claudio Fontana
  

+ More information on the Post-Doc - University of Padova - Italy
Apply Now
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[ECB Press Conference - Christine Lagarde] Hearing at European Parliament

Christine Lagarde, President of the ECB, speaks before the European Parliament’s Committee on Economic and Monetary Affairs and answers questions from its Members.

Quarterly hearing on 6 February 2010 December 2019 starting at 9:00 CET:

Watch the livestreaming here

[EN - FCA] Quantifying the High-Frequency Trading 'Arms Race': A new methodology and estimates

How much do "Flash Boys" cost?
The Financial Conduct Authority has the answer: HFT costs $5bn/year.
Authors Matteo Aquilina, Eric Budish and Peter O'Neill

►Latency Arbitrage
• Is one of the ways high-frequency traders profit to the detriment of slower trading investors
• The average race between firms lasts 79 millionths of a second
• With only the quickest to execute its trade gaining any benefit
• The FCA tracked 2.2 billion such races over the course of just 43 trading days on the London Stock Exchange
• More than 20% of the total trading volume the FCA tracked was found to come from these latency arbitrage races

►Quantifying the HFT “Arms Race”:

• The authors use stock exchange message data to quantify the negative aspect of high-frequency trading, known as “latency arbitrage” The main results show:
  • Races are frequent, fast and worth only small amounts per race
  • A large proportion of daily trading volume is in races
  • Race participation is concentrated
  • These small races make up a meaningful proportion of price impact
  • Add up to meaningful harm to liquidity

Read more
Source: fca.org