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Asset Management Education - October 26, 2011

High Frequency Trading Presentation from EDHEC-Risk Institute PhD in Finance Affiliate Faculty Member Jakša Cvitanic on November 17 in Singapore

At a special presentation in Singapore on November 17, 2011, Jakša Cvitanic, Professor of Mathematical Finance at the California Institute of Technology and Affiliate Faculty of the EDHEC-Risk Institute PhD in Finance will be discussing his recent research modelling the impact of high-frequency traders on limit order markets.

In the presentation, entitled "Do High Frequency Traders Affect Transaction Prices?", Professor Cvitanic will be examining the following issues:

  • Modelling high-frequency traders “sniping out“ or “picking off“ human orders
  • Measuring the impact of a high-frequency trader on the distribution of transaction prices
  • Relating trading volume and inter-trade duration to high-frequency trading and human activity
  • Understanding the determinants of high-frequency trading losses and profits

Professor Cvitanic’s research focuses on the application of stochastic methods to a wide variety of market and corporate finance issues. He has published in leading journals, including the Journal of Economic Theory, Journal of Financial Economics, Journal of Mathematical Economics, Management Science, and the Review of Financial Studies.

Prior to joining Caltech in 2005, he held positions as Professor of Mathematics and Economics at the University of Southern California and Associate Professor of Statistics at Columbia University. Professor Cvitanic holds a BSc and an MSc in Mathematics from the University of Zagreb and a MPhil and a PhD in Statistics from Columbia University.

He has been on the affiliate faculty of the EDHEC-Risk Institute PhD in Finance programme since inception and teaches Continuous-Time Financial Economics in the programme’s Asian chapter in Singapore.



  • Forthcoming PhD in Finance information sessions:
    Sydney, face-to-face meetings (November 1), New York (November 17), Hong Kong (November 23), Taiwan (November 24), Frankfurt (November 29), Amsterdam (November 30), Zürich (December 1)

To reserve your place or to learn more about the EDHEC-Risk Institute PhD in Finance, please contact Ms Maud Gauchon at maud.gauchon@edhec-risk.com or on +33 493 183 26/+ 65 6438 9896.