Electronic and algorithmic trading technology provider Horizon Software is investing in financial research by funding a research project in partnership with the university of Paris-Saclay-Ecole Doctorale de Mathématiques Hadamard.
The project will primarily focus on optimal execution, measurement and control of liquidity risk.
In addition, the study aims to establish a way to beat the benchmark of an execution algo through modelling order books by studying the market microstructure; using stochastic control to determine high frequency execution strategies in these models; and to develop high-frequency learning models to optimise strategies.
Yadh Hafsi will lead the three-year research project, receiving supervision from Horizon’s CTO, Olivier Masdebrieu and two professors from Paris-Saclay, Vathana Ly Vath and Etienne Chevalier.
“I believe that my study will help minimise the execution costs of different high-frequency trading strategies and will bring added value to Horizon’s technological platform,” said Hafsi.
The goal of this research is to apply the concept of stochastic control theory to address operational execution issues in financial markets using artificial intelligence.
“We are happy and excited about this research collaboration with Horizon which, we hope, will lead to a better understanding of this challenging liquidity risk modelling and optimal execution problems,” said Ly Vath and Chevalier.
“We also believe that this study will fruitfully assist Horizon in further developing innovative trading strategies for its clients.”