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Руководство
заместитель директора по академическим вопросам Замков Олег Олегович
Заместитель директора по науке Никитин Максим Игоревич

HSE Research Webinar (ICEF and FES): Dan Bernhardt (University of Illinois, Urbana Shampaign / University of Warwick)

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В понедельник, 30 ноября пройдёт совместный научный вебинар МИЭФ и ФЭН.

https://warwick.ac.uk/fac/soc/economics/staff/mdbernhardt/Докладчик: Dan Bernhardt (University of Illinois, Urbana Shampaign / University of Warwick)
Научные интересы: applied microeconomic theory, financial economics, market microstructure, industrial organization and labour economics    
Тема доклада: Uncovering the impacts of endogenous liquidity consumption in intraday trading patterns with Yashar Barardehi
Место: Zoom https://us02web.zoom.us/j/897817278333

Тезисы доклада: We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and as trading activity rises. We also document reversions in trade-time returns in inactive markets, and priced, heavily-forecastable, order flow imbalances in active markets. Standard calendar-time aggregation approaches conceal these primitive trading patterns by matching up overly-balanced signed-trade observations with large price movements in active markets. Once one controls for over-aggregation, calendar-time patterns align with trade-time patterns.