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

[glen]

https://people.brandeis.edu/~blebaron/classes/agentfin/

On 4/26/24 07:44, Stephen Guerin wrote:
> 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 <mailto:stephen.guerin at simtable.com>
> 
> Harvard Visualization Research and Teaching Lab
> stephenguerin at fas.harvard.edu <mailto:stephenguerin at fas.harvard.edu>
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> 
> ---------- Forwarded message ---------
> From: *CDS Department at GMU* <cds at gmu.edu <mailto: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 <mailto:CDS-SEMINAR-COLLOQUIUM-ANNOUNC-L at listserv.gmu.edu>>
> 
> 
> _Speaker_: Blake LeBaron, Brandeis University____
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> _Title_: Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book model____
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> 
> _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.____
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> Joint work with Andrew Hawley (Federal Reserve), Mark Paddrik (Office of Financial Research), and Nathan Palmer (Federal Reserve)____
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> 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.____
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> _Date_: Friday, 26 April 2024____
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> _Time_: 3:00 PM to 4:30 PM EST____
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> _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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> ****************************************************____
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> You are invited to a scheduled Zoom meeting____
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> ____
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> Topic: Friday CDS/CSI/CSS Seminars/Colloquia____
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> Time: Apr 26, 2024 03:00 PM Eastern Time (US and Canada)____
> 
>          Every week on Fri, until May 3, 2024____
> 
> Please download and import the following iCalendar (.ics) files to your calendar system.____
> 
> Weekly: https://gmu.zoom.us/meeting/tJMpduquqzMiH9wHevniVsU-366oxXMVsbfq/ics?icsToken=98tyKuCvqjopHNGduByPRowEBoj4b-7wmFxHgvpKtBrzDSllcTa7ZbQUPapHPe7D <https://gmu.zoom.us/meeting/tJMpduquqzMiH9wHevniVsU-366oxXMVsbfq/ics?icsToken=98tyKuCvqjopHNGduByPRowEBoj4b-7wmFxHgvpKtBrzDSllcTa7ZbQUPapHPe7D>____
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> ____
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> Join Zoom Meeting____
> 
> https://gmu.zoom.us/j/97413658858?pwd=dE5oc2IyOVA3QXBjdmc0NURCdVZHZz09 <https://gmu.zoom.us/j/97413658858?pwd=dE5oc2IyOVA3QXBjdmc0NURCdVZHZz09>____
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> ____
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> Meeting ID: 974 1365 8858____
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> Passcode: 301532____
> 

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