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

16+
*recommended age
Event ended
On Monday, November 30 ICEF and FES will hold HSE Research Webinar.

https://warwick.ac.uk/fac/soc/economics/staff/mdbernhardt/Speaker: Dan Bernhardt (University of Illinois, Urbana Shampaign / University of Warwick)
Research Interests: applied microeconomic theory, financial economics, market microstructure, industrial organization and labour economics     
Theme: "Uncovering the impacts of endogenous liquidity consumption in intraday trading patterns" with Yashar Barardehi   
Venue: Zoom https://us02web.zoom.us/j/89781727833

Abstract: 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.