<div dir="auto"><div>Nick, </div><div dir="auto"><br></div><div dir="auto">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. </div><div dir="auto"><br></div><div dir="auto"> 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. </div><div dir="auto"><br></div><div dir="auto">Marcus did a bunch of work on this when he was at SFI. any comments?</div><div dir="auto"><br></div><div dir="auto">Stephen</div><div dir="auto"><br></div><div dir="auto"><br></div><div><br></div><div data-smartmail="gmail_signature">____________________________________________<br>CEO Founder, Simtable.com<br><a href="mailto:stephen.guerin@simtable.com">stephen.guerin@simtable.com</a> <br><br>Harvard Visualization Research and Teaching Lab<br><a href="mailto:stephenguerin@fas.harvard.edu">stephenguerin@fas.harvard.edu</a><br><br>mobile: (505)577-5828</div></div><br><div class="gmail_quote"><div dir="ltr" class="gmail_attr">---------- Forwarded message ---------<br>From: <strong class="gmail_sendername" dir="auto">CDS Department at GMU</strong> <span dir="auto"><<a href="mailto:cds@gmu.edu">cds@gmu.edu</a>></span><br>Date: Tue, Apr 23, 2024, 9:25 AM<br>Subject: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM<br>To: <<a href="mailto:CDS-SEMINAR-COLLOQUIUM-ANNOUNC-L@listserv.gmu.edu">CDS-SEMINAR-COLLOQUIUM-ANNOUNC-L@listserv.gmu.edu</a>><br></div><br><br>
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<p class="MsoNormal"><u><span style="color:black">Speaker</span></u><span style="color:black">: Blake LeBaron, Brandeis University</span><span style="color:black"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black"><u></u> <u></u></span></p>
<p class="MsoNormal"><u><span style="color:black">Title</span></u><span style="color:black">: Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book model<u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black"><br>
<u>Abstract</u>: 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.</span><span style="color:#212121"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:#212121"><u></u> <u></u></span></p>
<p class="MsoNormal"><span style="color:black">Joint work with Andrew Hawley (Federal Reserve), Mark Paddrik (Office of Financial Research), and Nathan Palmer (Federal Reserve)</span><span style="color:#212121"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:#212121"><u></u> <u></u></span></p>
<p class="MsoNormal"><span style="color:black">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.</span><span style="color:#212121"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black"><u></u> <u></u></span></p>
<p class="MsoNormal"><u><span style="color:black">Date</span></u><span style="color:black">: Friday, 26 April 2024<u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black"> <u></u><u></u></span></p>
<p class="MsoNormal"><u><span style="color:black">Time</span></u><span style="color:black">: 3:00 PM to 4:30 PM EST<u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black"> <u></u><u></u></span></p>
<p class="MsoNormal"><u><span style="color:black">Location</span></u><span style="color:black">: Center on Social Complexity Suite (3rd floor, Research Hall), where light refreshments will be served, and online (use the Zoom link below).<u></u><u></u></span></p>
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<p class="MsoNormal"><span style="color:black">Topic: Friday CDS/CSI/CSS Seminars/Colloquia<u></u><u></u></span></p>
<p class="MsoNormal"><span style="color:black">Time: Apr 26, 2024 03:00 PM Eastern Time (US and Canada)<u></u><u></u></span></p>
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<p class="MsoNormal" style="background:white"><b><span lang="EN" style="font-size:12.0pt;font-family:"Calibri",sans-serif;color:black">Department of Computational and Data Sciences</span></b><b><span style="font-size:12.0pt;font-family:"Calibri",sans-serif"><u></u><u></u></span></b></p>
<p class="MsoNormal" style="background:white"><span style="font-family:"Calibri",sans-serif;color:black">College of Science</span><span style="font-size:10.0pt;font-family:"Calibri",sans-serif;color:black"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-family:"Calibri",sans-serif;color:black">George Mason University</span><span style="font-size:10.0pt;font-family:"Calibri",sans-serif;color:black"><u></u><u></u></span></p>
<p class="MsoNormal"><span style="font-family:"Calibri",sans-serif;color:black">Research Hall, MS 6A12<br>
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