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SUMMARY:A Theory of Price Formation in Financial Markets
DTSTART:20231010T121500
DTEND:20231010T131500
DTSTAMP:20260919T052643Z
UID:44a1ff2d46d4ef06c802064a2e8d7c57a306b0ab668556d206c463dc
CATEGORIES:Conferences - Seminars
DESCRIPTION:Emanuele Guidotti - Postdoctoral Researcher USI Lugano  \nThi
 s paper presents a theory where prices are formed in a purely mechanical m
 anner through trading. The theory consists of three fundamental propositio
 ns. First\, the quantity exchanged in a trade equals the integrated densit
 y of the book between zero and the peak impact. Second\, the peak impact r
 elaxes to the permanent impact such that makers and takers earn zero profi
 ts in the transaction. Third\, the asset price is determined by the accumu
 lation of price impacts. The model is simple yet capable of replicating va
 rious patterns observed in financial data and reconciling disparate theore
 tical and empirical research strands.\n\nPaper
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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