Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Tuesday, September 19, 2017
Location:  4096 East Hall (3:00 PM to 4:00 PM)

Title:  Equilibrium Price Impact

Abstract:   We derive the equilibrium price at which the order of a large trader are absorbed by a liquidity provider, who can gradually transfer these positions to a market of end users at a cost.

(Joint work in progress with Peter Bank and Ibrahim Ekren)

Files:


Speaker:  Johannes Muhle-Karbe
Institution:  Carnegie Mellon

Event Organizer:     

 

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