Sehr geehrte
Damen und Herren,
wir laden Sie herzlich zum VOSTA Freitagsseminar mit Frau Anna A. Obizhaeva, New Economic School, mit dem Titel
"Market Microstructure Invariance and Transaction Costs" ein.
Termin:
Freitag, 29. November 2019 um 11.00 Uhr
Ort:
Oesterreichische Nationalbank
Veranstaltungssaal, Erdgeschoss
Otto-Wagner-Platz 3
1090 Wien
Abstract:
Using the intuition that financial markets transfer risks in business time, “market microstructure invariance” is defined as the hypotheses
that the distributions of risk transfers (“bets”) and transaction costs are constant across assets when measured per unit of business time. The invariance hypotheses imply that bet size and transaction costs have specific, empirically testable relationships
to observable dollar volume and volatility. Portfolio transitions can be viewed as natural experiments for measuring transaction costs, and individual orders can be treated as proxies for bets. Empirical tests based on a data set of 400,000+ portfolio transition
orders support the invariance hypotheses. The constants calibrated from structural estimation imply specific predictions for the arrival rate of bets (“market velocity”), the distribution of bet sizes, and transaction costs.
Dimensional analysis, leverage neutrality, and a principle of market microstructure invariance can be combined to derive scaling laws expressing
transaction costs functions, bid-ask spreads, bet sizes, number of bets, and other financial variables in terms of dollar trading volume and volatility. The scaling laws are illustrated using data on bid-ask spreads and number of trades for Russian and U.S.
stocks. These scaling laws provide practical metrics for risk managers and traders; scientific benchmarks for evaluating controversial issues related to high frequency trading, market crashes, and liquidity measurement; and guidelines for designing policies
in the aftermath of financial crisis.
Um Ihre verlässliche
An- bzw. Abmeldung ersuchen wir bis
Dienstag, 26. November 2019, unter
event-management@oenb.at
Mit freundlichen Grüßen
Event-Management
