LOBster Group, Seminar (May-August 2016)
and More (September 2016-present)

LOBster (LOB stands for 'Limit Order Book') group is a research group of an undergraduate, 3 graduate students,  a PDF and a faculty at the Department of Mathematics and Statistics, University of Calgary (U of C), working in the area of Limit Order Books and Markets.

LOBster Group consists of:
1. Jonathan Chavez-Casillas-PDF (U of C)
2. Joshua Novak-MSc (U of C)
3. Tyler Hofmeister-NSERC USRA (U of C)
4. Katharina Cera-MSc (TUM (Munich, Germany) & U of C)
5. Julia Schmidt
-MSc (TUM (Munich, Germany) & U of C)
6. Anatoliy Swishchuk (U of C)

LOBster Seminar
We run our weekly LOBster seminar: Wednesday, 1pm, MS543.
One of the activities of this seminar is to review 'Algorithmic and High-Frequency Trading' book by A. Cartea, S. Jaimungal and J. Penalva, Cambridge University Press, 2015.

 LOBster Seminar's Notes:
--Book's Reveiw: General Structure-Anatoliy (May 9, 2016)
--Appendix (May 18, 2016): A. 1 Diffusion Processes - A.1.1 Brownian Motion & A.1.2 Stochastic Integrals (Julia & Katharina); A. 2. Jump Processes (Tyler); A. 3 Doubly Stochastic Poisson Processes (Jonathan); A. 4 Feynman-Kac and PDEs (Joshua)
--Chapter 1-Katharina (May 25, 2016)
--Chapter 2-Julia (June 2, 2016)
--
Chapter 3-Tyler+Data Management-Jonathan (June 7, 2016)
--Chapter 4 (but 4.3)-Jonathan (June 15, 2016) Chapter 4: sec. 4.3-Jonathan (July 28, 2016)
--Chapter 5-Joshua (August 3, 2016)
--Chapter 6-Anatoliy (August 10, 2016)
--Chapter 8-Julia&Katharina (August 17, 2016)
--Chapter 10.1-10.2-Jonathan; Chapter 10.3-10.4-Joshua (August 25, 2016)

LOBster's Seminar Research Papers & Presentations:
 
---'General Semi-Markov Model for Limit Order Books: Theory, Implementation and Numerics': http://arxiv.org/pdf/1608.05060v1.pdf )

---BIRS Retreat for Young Researchers in Stochastics (Banff, September 23-25, 2016)
(For more info: http://www.birs.ca/events/2016/2-day-workshops/16w2696)

---'Lunch at the Lab' Financial
Mathematics Seminar, October 5, 2016 (LOBster Series): 'Price Dynamics in a General Markovian Limit Order Book'
by Bruno Remillard (HEC, U of Montreal, Quebec)

 

If you have any questions, just call us: +1(403) 220-3274 (Anatoliy's office) or +1(403) 220-7697 (Finance Lab)
Updated: October 5, 2016