Horizon Software, a global leading vendor in Market Making, Agency Trading and Algo Trading Technology, announced today it is investing more in financial research by funding a research project in partnership with the university of Paris-Saclay-Ecole Doctorale de Mathématiques Hadamard.
The study will focus on optimal execution, measurement, and control of liquidity risk, aiming to find a way to beat the benchmark of an execution algo through:
Modelling order books by studying the market microstructure.
Determining, through stochastic control, high frequency execution strategies in these models.
Developing high-frequency learning models to optimize strategies.
The challenge of this study is to use the concept of stochastic control theory to address operational issues of execution in financial markets and to apply them with the help of Artificial Intelligence.
The three-year research project will be led by Yadh Hafsi and supervised by Horizon’s CTO, Olivier Masdebrieu, and two professors from Paris-Saclay, Vathana Ly Vath and Etienne Chevalier.
Olivier Masdebrieu, CTO at Horizon, said: “Horizon has always been a leader in innovation and creativity when it comes to finding new technological solutions for the financial industry. We are proud to be funding this research and to be collaborating with Paris-Saclay in order to keep delivering the best services for our clients and to contribute in developing the financial markets.”
Yadh HAFSI, leader of the study, added: “I am very happy to be part of this collaboration between Horizon and Paris-Saclay. I believe that my study will help minimize the execution costs of different high-frequency trading strategies and will bring added value to Horizon's technological platform.”
Vathana Ly Vath and Etienne Chevalier, Yadh’s supervisors at University Paris-Saclay, also said: “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. We also believe that this study will fruitfully assist Horizon in further developing innovative trading strategies for its clients.”