A Simple Microstructural Explanation of the Concavity of Price Impact

Attend a virtual talk by Sergey Nadtochiy, Associate Professor of Applied Mathematics at Illinois Institute of Technology, on "A simple microstructural explanation of the concavity of price impact." Explore a model of market microstructure that explains the concavity of price impact, featuring a linear local relationship between order flow and fundamental price. Discover how this model predicts nonlinear and asymptotically concave expected impact on midprice from large sequences of co-directional trades. Learn about the practical implications for meta-order execution and the changing volumes at best bid and ask prices. Examine theoretical results supported by empirical analysis, including a testable prediction using publicly available market data. Gain insights into dynamic consistency in market models and the complexities of price impact in financial markets during this one-hour presentation organized by the Society for Industrial and Applied Mathematics.

Ninth SIAM Activity Group on FME Virtual Talk