Kristoffer Halvorsen

Kristoffer Halvorsen is a Research Fellow at the Institute for Advanced Dynamic Uncertainty, working at the intersection of market microstructure theory, high-frequency stochastic modelling, and mean field game theory. He holds a PhD in Mathematics from the University of Oslo (Department of Mathematics), where his doctoral research developed rigorous stochastic process models for limit order book dynamics. His thesis formulated the evolution of the order book as a measure-valued stochastic process driven by a multivariate Hawkes process for trade and quote arrivals, and derived the associated stochastic partial differential equation governing the density of resting limit orders. The work established well-posedness of the SPDE system and derived closed-form approximations for price impact as a functional of the intensity kernel of the Hawkes process.

Following his doctorate, Halvorsen extended this framework to competitive settings with a large number of strategic market participants, applying mean field game theory to derive equilibrium order submission strategies in the limit of many interacting traders. The resulting coupled HJB–Fokker–Planck system admitted a closed-form solution in the linear-quadratic case and produced calibratable predictions for bid-ask spreads, order flow autocorrelation, and the decay of price impact as a function of trade size and market depth. His calibration work established that multivariate Hawkes processes with power-law kernels reproduce the Epps effect and the Zumbach effect simultaneously under a single parametric family.

At IADU, Halvorsen leads the market microstructure research strand. His work provides the high-frequency stochastic modelling foundation for the Institute's quantitative finance output, connecting the rigorous PDE and MFG theory developed elsewhere in the Institute to the empirical dynamics of financial markets at the tick-by-tick level.