|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)
Speaker: Johannes Muhle-Karbe
Institution: Carnegie Mellon