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SUMMARY:Dimensional Analysis\, Leverage Neutrality\, and Market Microstruc
 ture Invariance
DTSTART:20191011T103000
DTEND:20191011T120000
DTSTAMP:20260406T210320Z
UID:29c76647a2c6f6252b85bc4eaa1b459d79b785fc5c394babd5d4e51c
CATEGORIES:Conferences - Seminars
DESCRIPTION:Anna OBIZHAEVA\, New Economic School\, Moscow\nThis paper comb
 ines dimensional analysis\, leverage neutrality\, and a principle of marke
 t microstructure invariance to derive scaling  laws expressing transactio
 n costs functions\, bid-ask spreads\, bet sizes\, number of bets\, and oth
 er financial variables in terms of dollar trading volume and volatility. T
 he scaling laws are illustrated using data on bid-ask spreads and number o
 f trades for Russian and U.S. stocks. These scaling laws provide practical
  metrics for risk managers and traders\; scientific benchmarks for evaluat
 ing controversial issues related to high frequency trading\, market crashe
 s\, and liquidity measurement\; and guidelines for designing policies in t
 he aftermath of financial crisis.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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