{"id":464,"date":"2012-07-24T12:00:59","date_gmt":"2012-07-24T11:00:59","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/index.php\/seminario-toth\/"},"modified":"2015-07-17T11:22:09","modified_gmt":"2015-07-17T10:22:09","slug":"seminario-toth","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/seminario-toth\/","title":{"rendered":"Bence Toth, &#8220;Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets&#8221;"},"content":{"rendered":"<p style=\"text-align: center;\">Tuesday July 24 2012<br \/>\n12:00<br \/>\nScuola Normale Superiore<br \/>\nAula Bianchi<\/p>\n<p style=\"text-align: center;\"><b>Bence Toth<\/b><br \/>\n<span style=\"font-size: 10pt;\">Capital Fund Management, Paris, France<\/span><\/p>\n<p style=\"text-align: center;\"><strong>Abstract<br \/>\n<\/strong>We propose a dynamical theory of market liquidity that predicts that the average supply\/demand profile is V-shaped and vanishes around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive. This naturally accounts for two striking stylized facts: first, large metaorders have to be fragmented in order to be digested by the liquidity funnel, leading to long-memory in the sign of the order flow. Second, the anomalously small local liquidity induces a breakdown of linear response and a diverging impact of small orders, explaining the &#8220;square-root&#8221; impact law, for which we provide additional empirical support. Finally, we test our arguments quantitatively using a numerical model of order flow based on the same minimal ingredients.<\/p>\n<p style=\"text-align: center;\"><a href=\"http:\/\/mathfinance.sns.it\/\/wp-content\/uploads\/2010\/12\/Bence_slides.pdf\"><strong>Download Slides<\/strong><\/a><\/p>\n<p style=\"text-align: center;\">\n","protected":false},"excerpt":{"rendered":"<p>Tuesday July 24 2012 12:00 Scuola Normale Superiore Aula Bianchi Bence Toth Capital Fund Management, Paris, France Abstract We propose a dynamical theory of market liquidity that predicts that the average supply\/demand profile is V-shaped and vanishes around the current price. This result is generic, and only relies on mild assumptions about the order flow [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/464"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=464"}],"version-history":[{"count":3,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/464\/revisions"}],"predecessor-version":[{"id":594,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/464\/revisions\/594"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=464"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=464"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=464"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}