These past two months I’ve found out exactly how hard it is to write a project proposal in Math and Stats. My ideas focused on detection schemes similar to my thesis, but had elements of market microstructure. I hope you take a look!
It’s about detecting adverse selection events, and learning about how the order book changes when a private signal makes it to informed traders.
It’s about also detecting adverse selection events, but emphasizing the use of queuing theory, learning the mathematics behind the thresholds and constraints faced by investors when they cause these changes.
Originally published January 19, 2021