The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis

Walter Shachermayer

University of Vienna

Abstract

A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect - ceteris paribus - that placing an order will move the price to the disadvantage of the agent.... [ view full abstract ]

Session

MO-PL-A1 » Walter Schachermayer (09:00 - Monday, 16th July, Burke Theater)