Financial Engineering Workshops - Alexander Barzykin (HSBC)

Title: FX Market Making
Abstract: Foreign exchange is a highly fragmented de-localized marketplace combining significant OTC and open market segments. We are going to discuss an optimal control framework tackling both OTC pricing and interbank hedging thus constituting an important and natural encounter between two problems that have attracted a lot of academic and practitioner’s interest in the last two decades: optimal market making and optimal execution. The model allows one to set optimal pricing ladder for different types of client flow and determine optimal hedging rate in external liquidity pools as functions of the inventory, risk aversion and market-driven parameters. We are going to discuss practical generalizations of the model to a multi-currency portfolio, incorporate co-integrated liquidity pools and consider optimal response to adverse selection and price reading. The talk is based on joint work with Philippe Bergault and Olivier Guéant.
Bio: Alexander Barzykin received his PhD from the Moscow Institute of Physics and Technology. He is currently a director at HSBC GFX and commodities, specialising in algorithmic execution and market making.

Faculty Events | Website | View More Events

Contact the organizers