Montag, 06. Mrz 2023, 16:45 - 17:45 iCal

ISOR Colloquium

"Stochastic Liquidity as a Proxy for Nonlinear Price Impact"

Speaker: Johannes Muhle-Karbe (Imperial College London, United Kingdom)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag


Optimal execution and trading algorithms rely on price impact models, like the propagator model, to quantify trading costs. Empirically, price impact is concave in trade sizes, leading to nonlinear models for which optimization problems are intractable and even qualitative properties such as price manipulation are poorly understood. However, we show that in the diffusion limit of small and frequent orders, the nonlinear model converges to a tractable linear model. In this high-frequency limit, a stochastic liquidity parameter approximates the original impact function’s nonlinearity. We illustrate the approximation’s practical performance using LOBSTER limit-order data.

Underlying paper: papers.ssrn.com/sol3/papers.cfm

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/68813773485

Meeting room opens at: March 6, 2023, 4.30 pm Vienna

Meeting ID: 688 1377 3485

Password: 607511


Veranstalter

Institut für Statistik und Operations Research


Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at