Finance and Stochastics Seminar – Shijia Jin
Tue 13 Oct · 15:00
Huxley Building, South Kensington Campus
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14°C · 19% rain
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Shijia Jin will present a seminar on macroscopic market making at the Huxley Building in South Kensington on 13 October 2026. The talk will address unified approaches to trade execution and market making within algorithmic trading.
Speaker : Shijia Jin Title : Macroscopic market making Abstract : Trade execution and market making are two central problems in algorithmic trading that have largely been studied in separate literatures. We present a unified approach that addresses both problems simultaneously in three steps. We introduce a macroscopic market making model à la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. Since the impact of a single market maker on price is typically negligible, we then develop the corresponding game formulation. Finally, we can connect traders with market makers. Mathematically, the goal is to derive the global well‑posedness of the optimal control/Nash equilibrium. The discussion addresses topics in non‑smooth analysis, FBSDEs, and Riccati equations.
Description supplied by the event organiser.
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Frequently asked questions
Finance and Stochastics Seminar – Shijia Jin takes place on Tuesday, 13 October 2026 at 15:00.
Finance and Stochastics Seminar – Shijia Jin is held at Huxley Building, South Kensington Campus in London (140, Huxley Building, SW7 2AZ).
Entry to Finance and Stochastics Seminar – Shijia Jin is free.
The forecast for Finance and Stochastics Seminar – Shijia Jin is Light rain · 14°C.
Yes — hotels within walking distance of Huxley Building, South Kensington Campus can be compared using the accommodation search further down this page.
Tickets for Finance and Stochastics Seminar – Shijia Jin can be booked via imperial.ac.uk using the "Check Tickets & Live Prices" button on this page, which opens the official booking site in a new tab.
Finance and Stochastics Seminar – Shijia Jin
Editorial Summary
Shijia Jin will present a seminar on macroscopic market making at the Huxley Building in South Kensington on 13 October 2026. The talk will address unified approaches to trade execution and market making within algorithmic trading.
This summary was automatically generated from event data sourced from official ticketing providers.
Organiser’s full description
Speaker : Shijia Jin Title : Macroscopic market making Abstract : Trade execution and market making are two central problems in algorithmic trading that have largely been studied in separate literatures. We present a unified approach that addresses both problems simultaneously in three steps. We introduce a macroscopic market making model à la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. Since the impact of a single market maker on price is typically negligible, we then develop the corresponding game formulation. Finally, we can connect traders with market makers. Mathematically, the goal is to derive the global well‑posedness of the optimal control/Nash equilibrium. The discussion addresses topics in non‑smooth analysis, FBSDEs, and Riccati equations.
Description supplied by the event organiser.
📍 Venue
Huxley Building, South Kensington Campus140, Huxley Building, SW7 2AZ
Westminster, London
Get Directions →❓ Frequently asked questions
When is Finance and Stochastics Seminar – Shijia Jin?
Finance and Stochastics Seminar – Shijia Jin takes place on Tuesday, 13 October 2026 at 15:00.
Where is Finance and Stochastics Seminar – Shijia Jin taking place?
Finance and Stochastics Seminar – Shijia Jin is held at Huxley Building, South Kensington Campus in London (140, Huxley Building, SW7 2AZ).
How much are tickets for Finance and Stochastics Seminar – Shijia Jin?
Entry to Finance and Stochastics Seminar – Shijia Jin is free.
What will the weather be like at Finance and Stochastics Seminar – Shijia Jin?
The forecast for Finance and Stochastics Seminar – Shijia Jin is Light rain · 14°C.
Is there anywhere to stay near Finance and Stochastics Seminar – Shijia Jin?
Yes — hotels within walking distance of Huxley Building, South Kensington Campus can be compared using the accommodation search further down this page.
How do I get tickets for Finance and Stochastics Seminar – Shijia Jin?
Tickets for Finance and Stochastics Seminar – Shijia Jin can be booked via imperial.ac.uk using the "Check Tickets & Live Prices" button on this page, which opens the official booking site in a new tab.
🏨 Staying overnight?
Hotels within walking distance of Huxley Building, South Kensington Campus
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Price
Free Entry
Date
Until Tuesday, 13 October 2026
Time
Weather
feels like 11°C · chance of rain 19% · wind 23 km/h
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