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Thalesians Seminar (New York) — Marzena Rostek — Financial Innovation in Decentralized Markets

Marzena Rostek

Marzena Rostek

Agenda

Monday, October 15, 2018:


Venue

Fordham University, McNally Amphitheatre, 140 West 62nd Street New York, NY 10023

Registration


Abstract

Today’s financial markets are comprised of many coexisting trading venues. Traders often participate in multiple exchanges for the same assets. Fragmentation is a characteristic of virtually any asset class.

This paper develops a framework for decentralized markets with multiple exchanges and flexible trading strategies for any number of strategic agents and assets. The framework enables an explicit treatment of price impact.

We examine three classes of instruments that would be neutral if traders had no price impact or trading were centralized: (1) the creation of new trading venues for existing assets, (2) the introduction of new assets, and (3) innovation in the types of market clearing that decentralized trading enables.

Speaker

Marzena Rostek is the Lowell and Leila Robinson Professor of Economics at the University of Wisconsin-Madison. She holds a BA in Economics from the University of Warsaw (1999), a MSc from the Catholic University of Leuven (2000), an MPhil from the University of Amsterdam and Tinbergen Institute (2001), and a PhD from Yale University (2006). She was a postdoctoral research fellow at Nuffield College at Oxford University (2007-8).

Rostek has advanced modeling of financial markets with price impact, with special focus on the effects of fragmentation, market opacity, and apparently excessive financial innovation. Her work has suggested new possibilities for designing securities and exchanges to accomplish certain revenue and efficiency objectives.

Rostek is the recipient of several research and teaching awards. Her research has been supported by multiple grants from NSF, Net Institute, and WARF. Rostek is a member of Finance Theory Group and an Associate Editor at Econometrica, Journal of Economic Literature, Journal of European Economic Association, Economic Theory, and Economic Theory Bulletin.


IAQF-Thalesians Seminars

The IAQF-Thalesians Seminar Series is a joint effort on the part of the IAQF (formerly IAFE) and the Thalesians. The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. The seminar series is limited to IAQF and Thalesians members only.