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Total Posts: 1
Joined: Apr 2018
Posted: 2018-04-10 06:28
Hi All:

Nice to find this forum, and look forward to learning from the participants.

I am looking into the viability of commercializing some stochastic control based algo trading theory/research. The IP owner is a well credentialed, accomplished (and very smart) professor. The subject matter involves the use of stochastic control theory (stochastic calculus, dynamic programming etc) to find optimum trading strategies (with applications in optimum execution, stat arb etc). The commercialization idea is to develop a software development "toolkit" that could be used by traders/firms to "optimize strategies in a more mathematically rigorous manner". The main issue I see is whether the mathematical theory can be made practicable enough to be of value, and how it would fit into the overall "algo trading" picture.

How is stochastic control being used by day traders, firms, institutions? Are there existing stochastic control based software packages? Any thoughts at all on the topic would be most appreciated!

Thanks in advance!
- Fas
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