How much price impact should you expect on your large orders when market makers are responding strategically to it?
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FieldFinance
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LocationOnline
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Date and time
June 20, 2023
16:00 - 17:00
How much price impact should you expect on your large orders when market makers are responding strategically to it?
On Tuesday, June 20, starting at 4pm Amsterdam time (3pm London, 10am New York), research fellow Albert J. Menkveld will present a novel economic model that speaks to this question. It will take the shape of an online seminar, kindly hosted by the Bank of America in their BofA Quant Speaker Series: 45 minutes followed by Q&A.
Attendance is free, but requires registration at the following link: https://lnkd.in/eTQ3NJfJ.
One result of the model is the liquidity surface depicted below. Price impact is a function of order size and duration. The talk is based on a paper with Agostino Capponi and Hongzhong Zhang from Columbia University. The paper is here: https://lnkd.in/drre-kn.