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

Fri Apr 26 12:24:27 EDT 2024

Behind the order book there are people.   These people often don’t have to show their hand because they can split big orders over time or even across platforms and not impact the price or otherwise lose their anonymity.   That’s where ABM or some sort of theory of mind can come into play.   It is probably interesting these days with causal language modelling!    

From: Friam <friam-bounces at redfish.com> On Behalf Of Stephen Guerin
Sent: Friday, April 26, 2024 7:44 AM
To: Friam Friam <friam at redfish.com>
Subject: [FRIAM] Potential vorticity and financial markets Fwd: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM

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> 

mobile: (505)577-5828

---------- 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

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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 <mailto:cds at gmu.edu> cds at gmu.edu

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