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Halil Mete Soner has held an SFI Senior Chair at ETH Zurich since January 2010. His primary research interest lies in mathematical finance.
In recent research, Prof. Soner constructs a model for liquidity risk, i.e., the risk that a security cannot be traded easily and quickly enough in the market to prevent financial losses. More specifically, he studies the price impact of illiquidity on a trader’s book. His goal is to develop mathematically tractable models for liquidity and to incorporate liquidity’s three important components: (i) the spread between the buyer’s and the seller’s quote, (ii) the volume of transactions necessary to move market prices, (iii) the speed with which prices return to their original levels following a large transaction. He also develops mathematical tools capable of analyzing the properties of these three liquidity components.
Prof. Soner has published extensively in his areas of expertise and is a regular speaker at leading academic conferences worldwide.