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--></style></head><body lang=EN-US link=blue vlink=purple style='word-wrap:break-word'><div class=WordSection1><p class=MsoNormal><span style='font-size:11.0pt'>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! <o:p></o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt'><o:p> </o:p></span></p><div style='border:none;border-top:solid #E1E1E1 1.0pt;padding:3.0pt 0in 0in 0in'><p class=MsoNormal><b><span style='font-size:11.0pt;font-family:"Calibri",sans-serif'>From:</span></b><span style='font-size:11.0pt;font-family:"Calibri",sans-serif'> Friam <friam-bounces@redfish.com> <b>On Behalf Of </b>Stephen Guerin<br><b>Sent:</b> Friday, April 26, 2024 7:44 AM<br><b>To:</b> Friam Friam <friam@redfish.com><br><b>Subject:</b> [FRIAM] Potential vorticity and financial markets Fwd: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM<o:p></o:p></span></p></div><p class=MsoNormal><o:p> </o:p></p><div><div><p class=MsoNormal>Nick, <o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>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. <o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal> 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. <o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Marcus did a bunch of work on this when he was at SFI. any comments?<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Stephen<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>____________________________________________<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<o:p></o:p></p></div></div><p class=MsoNormal><o:p> </o:p></p><div><div><p class=MsoNormal>---------- Forwarded message ---------<br>From: <strong><span style='font-family:"Aptos",sans-serif'>CDS Department at GMU</span></strong> <<a href="mailto:cds@gmu.edu">cds@gmu.edu</a>><br>Date: Tue, Apr 23, 2024, 9:25<span style='font-family:"Arial",sans-serif'> </span>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>><o:p></o:p></p></div><p class=MsoNormal style='margin-bottom:12.0pt'><o:p> </o:p></p><div><div><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><u><span style='color:black'>Speaker</span></u><span style='color:black'>: Blake LeBaron, Brandeis University</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><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</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><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><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:#212121'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'>Joint work with Andrew Hawley (Federal Reserve), Mark Paddrik (Office of Financial Research), and Nathan Palmer (Federal Reserve)</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:#212121'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><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><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><u><span style='color:black'>Date</span></u><span style='color:black'>: Friday, 26 April 2024</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><u><span style='color:black'>Time</span></u><span style='color:black'>: 3:00 PM to 4:30 PM EST</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><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).</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'>****************************************************</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'>You are invited to a scheduled Zoom meeting</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'>Topic: Friday CDS/CSI/CSS Seminars/Colloquia</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='color:black'>Time: Apr 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style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto;background:white'><span style='font-family:"Calibri",sans-serif;color:black'>College of Science</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='font-family:"Calibri",sans-serif;color:black'>George Mason University</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='font-family:"Calibri",sans-serif;color:black'>Research Hall, MS 6A12<br>Fairfax, VA 22030</span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='font-family:"Calibri",sans-serif;color:black'><a href="mailto:cds@gmu.edu" target="_blank"><span style='color:#0563C1'>cds@gmu.edu</span></a></span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'><span style='font-family:"Calibri",sans-serif;color:black'><a href="mailto:cdsgrd@gmu.edu" 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Description automatically generated with medium confidence"></span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto;background:white'><span lang=EN style='font-family:"Calibri",sans-serif;color:black'> </span><o:p></o:p></p><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto;background:white'><span lang=EN style='font-family:"Calibri",sans-serif;color:#5D5D5D'>CONFIDENTIALITY NOTICE: This email message, including any attachments, is for the sole use of the intended recipient(s) and may contain confidential and privileged information or otherwise be protected by law. Any access, use, disclosure or distribution of this email message by anyone other than the intended recipient(s) is unauthorized and prohibited. If you are not an intended recipient (or an agent acting on an intended recipient’s behalf), please contact the sender by reply email and immediately destroy all copies of the original message. Virus scanning is recommended on all email attachments.</span><o:p></o:p></p></div></div><p class=MsoNormal style='mso-margin-top-alt:auto;mso-margin-bottom-alt:auto'> <o:p></o:p></p></div></div></div></div></body></html>