[FRIAM] Potential vorticity and financial markets Fwd: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM

Fri Apr 26 10:44:26 EDT 2024

Nick,

If you have time, beam into Blake Lebaron's talk today and let the "depth
of the order book relating volatility and liquidity" wash over you like
some one was describing potential vorticity or other dynamic of the
weather.

 The order book with zero intelligence traders has been a central research
focus of the econophysicists and Doynes group and Blake's early related SFI
stock market model.

Marcus did a bunch of work on this when he was at SFI. any comments?

Stephen

____________________________________________
CEO Founder, Simtable.com
stephen.guerin at simtable.com

Harvard Visualization Research and Teaching Lab
stephenguerin at fas.harvard.edu

mobile: (505)577-5828

---------- Forwarded message ---------
From: CDS Department at GMU <cds at gmu.edu>
Date: Tue, Apr 23, 2024, 9:25 AM
Subject: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM
To: <CDS-SEMINAR-COLLOQUIUM-ANNOUNC-L at listserv.gmu.edu>

*Speaker*: Blake LeBaron, Brandeis University

*Title*: Dynamic Order Dispersion and Volatility Persistence in a Simple
Limit Order Book model

*Abstract*: This preliminary paper extends the dynamics of a basic stylized
limit order book model introduced in Chiarella & Iori (2002). The original
model is capable of generating some key market microstructure features, but
it cannot recreate longer range persistence in volatility. We explore a
very simple and intuitive addition to the stylized, near zero intelligence
behavior of traders that is capable of delivering persistent volatility. We
also show that this strategy depends critically on certain key features in
the dynamics of supply and demand for liquidity and depth in the limit
order book. We believe this is fundamental to understanding both the
dynamics of volatility in financial time series, along with variations in
liquidity in financial markets. We contribute a parsimonious agent-based
model to the literature that may be used as a test bed or sandbox
for developing agents with more complex behavior.

Joint work with Andrew Hawley (Federal Reserve), Mark Paddrik (Office of
Financial Research), and Nathan Palmer (Federal Reserve)

The views expressed are solely those of the authors and do not necessarily
reflect the position of the Office of Financial Research (OFR), the U.S.
Department of Treasury, or the Federal Reserve Board of Governors.

*Date*: Friday, 26 April 2024

*Time*: 3:00 PM to 4:30 PM EST

*Location*: Center on Social Complexity Suite (3rd floor, Research Hall),
where light refreshments will be served, and  online (use the Zoom link
below).

****************************************************

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Best,

*Department of Computational and Data Sciences*

College of Science

George Mason University

Research Hall, MS 6A12
Fairfax, VA  22030

cds at gmu.edu

cdsgrd at gmu.edu

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