Speaker: 

Dmytro Karabash

Institution: 

Courant Institute, NYU

Time: 

Wednesday, March 4, 2015 - 2:00pm to 3:45pm

Host: 

Location: 

RH 340N

The importance of price impact in HFT is outlined via well known phenomena of micro-price. We look at price impact as macro phenomena and for its explanation turn to micro phenomena, specifically to order book dynamics modeled via multi-dimensional Hawkes processes. We then show that on the level of first-moment simplification of the model that this type of order book implies well known phenomena of price impact observed by Almgren and more precise one proposed by Gatheral.