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DTSTAMP:20161207T181659
DTSTART;TZID=America/Detroit:20161207T160000
DTEND;TZID=America/Detroit:20161207T170000
SUMMARY:Workshop / Seminar:Financial/Actuarial Mathematics
DESCRIPTION:The micro-price is a weighted average between the bid and ask prices\, where the weight is a simple function of the bid and ask sizes. The micro-price is a good predictor of future mid-price moves and is frequently used by high frequency trading algorithms to make micro-decisions\, such as whether to cancel\, submit a limit order or a market order. However\, not much effort has been made in determining whether the micro-price is a fair or efficient price. We redefine the micro-price as the limit of a sequence of expected mid-prices at future stopping times. We provide conditions for this sequence to converge. Volatility signature plots using this notion of micro-price indicate that our method is an effective method for filtering out microstructure noise. Speaker(s): Sasha Stoikov (Cornell University (NYC))
UID:32432-4578286@events.umich.edu
URL:https://events.umich.edu/event/32432
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
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