Behind the order book there are people. These people often don’t have to show their hand because they can split big orders over time or even across platforms and not impact the price or otherwise lose their anonymity. That’s where ABM or some sort of theory of mind can come into play. It is probably interesting these days with causal language modelling!
From: Friam <friam-boun...@redfish.com> On Behalf Of Stephen Guerin Sent: Friday, April 26, 2024 7:44 AM To: Friam Friam <friam@redfish.com> Subject: [FRIAM] Potential vorticity and financial markets Fwd: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM Nick, If you have time, beam into Blake Lebaron's talk today and let the "depth of the order book relating volatility and liquidity" wash over you like some one was describing potential vorticity or other dynamic of the weather. The order book with zero intelligence traders has been a central research focus of the econophysicists and Doynes group and Blake's early related SFI stock market model. Marcus did a bunch of work on this when he was at SFI. any comments? Stephen ____________________________________________ CEO Founder, Simtable.com stephen.gue...@simtable.com <mailto:stephen.gue...@simtable.com> Harvard Visualization Research and Teaching Lab stephengue...@fas.harvard.edu <mailto:stephengue...@fas.harvard.edu> mobile: (505)577-5828 ---------- Forwarded message --------- From: CDS Department at GMU <c...@gmu.edu <mailto:c...@gmu.edu> > Date: Tue, Apr 23, 2024, 9:25 AM Subject: CDS Friday seminar (CSI 899, CSS 898) for 26 April, 3 PM To: <cds-seminar-colloquium-announ...@listserv.gmu.edu <mailto:cds-seminar-colloquium-announ...@listserv.gmu.edu> > Speaker: Blake LeBaron, Brandeis University Title: Dynamic Order Dispersion and Volatility Persistence in a Simple Limit Order Book model Abstract: This preliminary paper extends the dynamics of a basic stylized limit order book model introduced in Chiarella & Iori (2002). The original model is capable of generating some key market microstructure features, but it cannot recreate longer range persistence in volatility. We explore a very simple and intuitive addition to the stylized, near zero intelligence behavior of traders that is capable of delivering persistent volatility. We also show that this strategy depends critically on certain key features in the dynamics of supply and demand for liquidity and depth in the limit order book. We believe this is fundamental to understanding both the dynamics of volatility in financial time series, along with variations in liquidity in financial markets. We contribute a parsimonious agent-based model to the literature that may be used as a test bed or sandbox for developing agents with more complex behavior. Joint work with Andrew Hawley (Federal Reserve), Mark Paddrik (Office of Financial Research), and Nathan Palmer (Federal Reserve) The views expressed are solely those of the authors and do not necessarily reflect the position of the Office of Financial Research (OFR), the U.S. Department of Treasury, or the Federal Reserve Board of Governors. Date: Friday, 26 April 2024 Time: 3:00 PM to 4:30 PM EST Location: Center on Social Complexity Suite (3rd floor, Research Hall), where light refreshments will be served, and online (use the Zoom link below). **************************************************** You are invited to a scheduled Zoom meeting Topic: Friday CDS/CSI/CSS Seminars/Colloquia Time: Apr 26, 2024 03:00 PM Eastern Time (US and Canada) Every week on Fri, until May 3, 2024 Please download and import the following iCalendar (.ics) files to your calendar system. Weekly: https://gmu.zoom.us/meeting/tJMpduquqzMiH9wHevniVsU-366oxXMVsbfq/ics?icsToken=98tyKuCvqjopHNGduByPRowEBoj4b-7wmFxHgvpKtBrzDSllcTa7ZbQUPapHPe7D Join Zoom Meeting https://gmu.zoom.us/j/97413658858?pwd=dE5oc2IyOVA3QXBjdmc0NURCdVZHZz09 Meeting ID: 974 1365 8858 Passcode: 301532 One tap mobile <tel:+12678310333,97413658858> +12678310333,,97413658858#,,,,*301532# US (Philadelphia) <tel:+13017158592,97413658858> +13017158592,,97413658858#,,,,*301532# US (Washington DC) Dial by your location <tel:+12678310333> +1 267 831 0333 US (Philadelphia) <tel:+13017158592> +1 301 715 8592 US (Washington DC) Meeting ID: 974 1365 8858 Passcode: 301532 Find your local number: https://gmu.zoom.us/u/aidcGMjEq Join by SIP 97413658...@zoomcrc.com <mailto:97413658...@zoomcrc.com> Best, Department of Computational and Data Sciences College of Science George Mason University Research Hall, MS 6A12 Fairfax, VA 22030 <mailto:c...@gmu.edu> c...@gmu.edu <mailto:cds...@gmu.edu> cds...@gmu.edu CONFIDENTIALITY NOTICE: This email message, including any attachments, is for the sole use of the intended recipient(s) and may contain confidential and privileged information or otherwise be protected by law. Any access, use, disclosure or distribution of this email message by anyone other than the intended recipient(s) is unauthorized and prohibited. If you are not an intended recipient (or an agent acting on an intended recipient’s behalf), please contact the sender by reply email and immediately destroy all copies of the original message. Virus scanning is recommended on all email attachments.
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