Séminaire du LPTMS: Iacopo Mastromatteo


11:00 - 12:00

LPTMS, salle 201, 2ème étage, Bât 100, Campus d'Orsay
15 Rue Georges Clemenceau, Orsay, 91405
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Latent liquidity models: an universal mechanism for the anomalous response of financial markets

Iacopo Mastromatteo, CMAP Ecole polytechnique

Financial markets are remarkable information-processing systems: even though they are driven out-of-equilibrium by long-range correlated forces, they can swiftly remove predictability from their drive and output a diffusive price signal. As empirical results seem to indicate, this is due to anomalous response properties which are to a large extent universal. Yet, the details about the onset of such a peculiar response have not yet been modeled in a fully consistent way. I will first present a general framework in which such universality is justified on the basis of general principles (dimensionality and existence of a price). I will then characterize the response of market to trades (price impact) in a specific reaction-diffusion model which can account for several stylized facts characterizing the microstructure of financial markets.

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