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<p class="MsoTitle"><span
style="font-size:18.0pt;font-family:"Times New
Roman","serif"">NO
FREE LUNCH SEMINAR</span><span
style="font-size:18.0pt;font-family:"Times New
Roman","serif";
font-weight:normal;mso-bidi-font-weight:bold;text-decoration:none;text-underline:
none"><o:p></o:p></span></p>
<p class="MsoTitle"><span
style="font-size:16.0pt;font-family:"Times New
Roman","serif";
font-weight:normal;mso-bidi-font-weight:bold;text-decoration:none;text-underline:
none">seminari di finanza quantitativa<o:p></o:p></span></p>
<p class="MsoTitle"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif""><o:p><span
style="text-decoration:none"> </span></o:p></span></p>
<h2><span style="font-family:"Times New
Roman","serif";mso-no-proof:yes">Venerdė
13 aprile 2012</span><span style="font-family:"Times New
Roman","serif""><o:p></o:p></span></h2>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif"">ore <span
style="mso-no-proof:yes">13.00</span><o:p></o:p></span></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif""><o:p> </o:p></span></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><u><span
style="font-size:16.0pt;
font-family:"Times New Roman","serif"">Scuola
Normale Superiore<o:p></o:p></span></u></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif"">Pisa<o:p></o:p></span></p>
<p class="MsoNormal" style="margin-left:9.0pt;text-align:center;
line-height:18.0pt;tab-stops:324.0pt" align="center"><span
style="font-size:16.0pt;font-family:
"Times New Roman","serif"">(Aula <span
style="mso-no-proof:yes">Bianchi</span>)<o:p></o:p></span></p>
<p class="MsoNormal" style="tab-stops:324.0pt"><b><u><span
style="font-size:10.0pt;
font-family:"Times New Roman","serif""><o:p><span
style="text-decoration:none"> </span></o:p></span></u></b></p>
<p class="MsoNormal" style="text-align:center" align="center"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:24.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US;mso-no-proof:yes" lang="EN-US">Robert Almgren<o:p></o:p></span></i></b></p>
<p class="MsoNormal" style="text-align:center" align="center"><i
style="mso-bidi-font-style:
normal"><span style="font-size:11.0pt;font-family:"Times
New Roman","serif";
mso-ansi-language:EN-US;mso-no-proof:yes" lang="EN-US">New
York University Mathematical
Finance and Quantitative Brokers</span></i><i
style="mso-bidi-font-style:normal"><span
style="font-size:11.0pt;font-family:"Times New
Roman","serif";
mso-ansi-language:EN-US" lang="EN-US"><o:p></o:p></span></i></p>
<p class="MsoNormal" style="text-align:center" align="center"><span
style="font-family:"Times New
Roman","serif";mso-ansi-language:EN-US"
lang="EN-US"><o:p> </o:p></span></p>
<p class="MsoNormal" style="text-align:center;tab-stops:324.0pt"
align="center"><span
style="font-size:16.0pt;font-family:"Times New
Roman","serif"">Terrā un
seminario dal titolo:<o:p></o:p></span></p>
<p class="MsoNormal" style="tab-stops:324.0pt"><span
style="font-family:"Times New
Roman","serif""><o:p> </o:p></span></p>
<pre style="text-align:center"><b style="mso-bidi-font-weight:normal"><i style="mso-bidi-font-style:normal"><span style="font-size:24.0pt;
font-family:"Times New Roman","serif";mso-ansi-language:EN-US" lang="EN-US">“</span></i></b><b style="mso-bidi-font-weight:normal"><span style="font-size:24.0pt;
font-family:"Times New Roman","serif";mso-ansi-language:EN-US" lang="EN-US">Quantitative Problems in Optimal Execution<i style="mso-bidi-font-style:normal">”</i><o:p></o:p></span></b></pre>
<p class="MsoNormal" style="text-align:center" align="center"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:22.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US"><o:p> </o:p></span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b
style="mso-bidi-font-weight:
normal"><i style="mso-bidi-font-style:normal"><span
style="font-size:10.0pt;font-family:"Times New
Roman","serif";mso-ansi-language:
EN-US" lang="EN-US"><o:p> </o:p></span></i></b></p>
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EN-US" lang="EN-US">Abstract<o:p></o:p></span></i></b></p>
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<pre style="text-align:justify"><i style="mso-bidi-font-style:normal"><span style="font-size:12.0pt;font-family:"Times New Roman","serif";
mso-ansi-language:EN-US" lang="EN-US">Execution of large transactions so as to minimize market impact and trading costs is a very important aspect of modern financial markets.
We will give an overview of the quantitative tools that are used to approach this problem and how they are implemented in practice.
These include balance of risk and reward, design of optimal trajectories, and the mathematical issues that arise in optimal response to time-varying liquidity and volatility.<o:p></o:p></span></i></pre>
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IT">Classe di Scienze<o:p></o:p></span></p>
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<pre class="moz-signature" cols="72">--
Valeria Giuliani
Scuola Normale Superiore
Servizi Supporto attivita Didattiche
tel.050509260
Fax.050509045
<a class="moz-txt-link-abbreviated" href="mailto:v.giuliani@sns.it">v.giuliani@sns.it</a>
<a class="moz-txt-link-abbreviated" href="mailto:adi.sd@sns.it">adi.sd@sns.it</a></pre>
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