[CvGmt News] avviso seminario di finanza quantitativa prof. Bence Toth (24.07.2012)

[Valeria Giuliani]

Seminari di finanza quantitativa


    Martedì 24 luglio 2012

ore 12.00

_Scuola Normale Superiore_

Pisa

(Aula Bianchi)

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*/Bence Toth/*

/Capital Fund Management, Paris, France/

Terrà un seminario dal titolo:

*/"/**Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets/"/*

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*/Abstract:/*

/We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price.
This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive.
This naturally accounts for two striking stylized facts: first, large metaorders have to be fragmented in order to be digested by the liquidity funnel, leading to long-memory in the sign of the order flow.
Second, the anomalously small local liquidity induces a breakdown of linear response and a diverging impact of small orders, explaining the "square-root" impact law, for which we provide additional empirical support.
Finally, we test our arguments quantitatively using a numerical model of order flow based on the same minimal ingredients./

  

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Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

-- 
Valeria Giuliani
Scuola Normale Superiore
Servizi Supporto attivita Didattiche
tel.050509260
Fax.050509045
v.giuliani at sns.it
adi.sd at sns.it

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