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TZID:Europe/Paris
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BEGIN:VEVENT
UID:1-327@lptms.universite-paris-saclay.fr
DTSTART:20150303T110000Z
DTEND:20150303T120000Z
DTSTAMP:20150211T150020Z
URL:https://www.lptms.universite-paris-saclay.fr/seminars/seminaire-du-lpt
 ms-iacopo-mastromatteo/
SUMMARY:Séminaire du LPTMS: Iacopo Mastromatteo - LPTMS\, salle 201\, 2èm
 e étage\, Bât 100\, Campus d'Orsay - 3 Mar 15 11:00
DESCRIPTION:Latent liquidity models: an universal mechanism for the anomalo
 us response of financial markets\nIacopo Mastromatteo\, CMAP Ecole polytec
 hnique\nFinancial markets are remarkable information-processing systems: e
 ven though they are driven out-of-equilibrium by long-range correlated for
 ces\, they can swiftly remove predictability from their drive and output a
  diffusive price signal. As empirical results seem to indicate\, this is d
 ue to anomalous response properties which are to a large extent universal.
  Yet\, the details about the onset of such a peculiar response have not ye
 t been modeled in a fully consistent way. I will first present a general f
 ramework in which such universality is justified on the basis of general p
 rinciples (dimensionality and existence of a price). I will then character
 ize the response of market to trades (price impact) in a specific reaction
 -diffusion model which can account for several stylized facts characterizi
 ng the microstructure of financial markets.
LOCATION:LPTMS\, salle 201\, 2ème étage\, Bât 100\, Campus d'Orsay\, 15 
 Rue Georges Clemenceau\, Orsay\, 91405\, France
GEO:48.698185;2.181768
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=15 Rue Georges Clemenceau\,
  Orsay\, 91405\, France;X-APPLE-RADIUS=100;X-TITLE=LPTMS\, salle 201\, 2è
 me étage\, Bât 100\, Campus d'Orsay:geo:48.698185,2.181768
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