Student
Kevin Olding

Kevin graduated with an MMath degree in Mathematics from the University of Oxford in 2007 and then completed the Graduate Diploma in Law and the Legal Practice Course.

Kevin graduated with an MMath degree in Mathematics from the University of Oxford in 2007 and then completed the Graduate Diploma in Law and the Legal Practice Course. He worked for a year in a law firm and then returned to Mathematics to teach in two secondary schools in London. Whilst teaching he studied part time for an MSc in Applied Statistics and Stochastic Modelling at Birkbeck College, London and subsequently taught there. Returning to full time study at SAMBa he continues to teach Mathematics through his Mathsaurus YouTube channel.

Research project title:
Market microstructure, flash crashes and market manipulation

Supervisor(s):
Alex Cox

Project description:
The aim of market microstructure modelling is to construct models which capture the ecosphere of participants in financial markets involved in high-frequency trading, such as informed investors, market makers and uninformed or ‘noise’ traders. Such models should be internally consistent, in that all market participants act optimally to solve stochastic optimisation problems, but may also contain features which provide opportunities for a single large trader to manipulate the market. Automatic or algorithmic trades may also inadvertently converge on strategies which have a similar impact. Whilst generating short term profits, such a trader or algorithm could cause instability in the market, leading to a loss of liquidity or a ‘mini-flash crash’. Kevin is looking to construct simple models which reflect accurately the ways in which liquidity is provided to, and prices are set in, financial markets and to understand the circumstances that might lead short term trading algorithms to disrupt ordinary market conditions.