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Towards the construction of an instantaneous metric system

Le : 16/03/2018 14h00
Par : Iordanis KALAITZOGLOU (Audencia, Nantes)
Lieu : I103
Lien web :
Résumé : Markets are organized venues where information is incorporated into prices by interacting with liquidity. This process is affected by different groups of market participants whose existence is revealed by the actions they take in the market. Even if the number or the type of the groups is not known in advance, the different characteristics of their trades should reveal their existence. This project attempts to provide a general framework for identifying the existence, as well as the probability of observing different types of market participants, provided that their trades exhibits a certain set of characteristics. There are multiple potential applications for a metric system of this type, such as identifying informed trades (regulation), different types of technical trading strategies (algorithmic trading) and/or different types of behavioral biases (market efficiency). Overall, I am planning to present my work so far, as well as the requirements of the more general model. I will present my thoughts so far, as well as the gap between my level of understanding and my desired final model