Mathieu Rosenbaum (Ecole Polytechnique)
Tuesday 26 March 2019, 18:00-19:00.
The seminar will be followed by a reception.
We present a methodology for assessing the contribution of the various market participants on important market quantities such as volatility or liquidity. Using an order book model which accounts for state dependence and memory effects for the dynamics of the order flow, we compute the marginal impact of each participant on volatility and liquidity. This leads us to the possibility of ranking market makers in term of their impact on market quality.
Joint work with Othmane Mounjid and Pamela Saliba.
Mathieu Rosenbaum is professor at Ecole Polytechnique (France), where he holds the chair “Analytics and Models for Regulation”. His research focuses on statistical modelling in finance problems, market microstructure modeling and regulatory issues in the context of high frequency trading.
Citi Stirling Square
5-7 Carlton Gardens
London SW1Y 5AD
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