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.