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DTSTART:20221030T030000
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UID:calendar.129124.field_date.0@www.tse-fr.eu
DTSTAMP:20260510T024743Z
CREATED:20220720T091001Z
DESCRIPTION:Michael Benzaquen (Ecole Polytechnique  - LadHyX)\, “Endogenous
  Liquidity Crises in Financial Markets: A Physicist’s Perspective”\, MAD-S
 tat. Seminar\, Toulouse: TSE\, September 29\, 2022\, 11:00–12:15\, room Au
 ditorium 5.\n\nEmpirical data reveals that the liquidity flow into the ord
 er book is influenced by past price changes. In particular\, liquidity ten
 ds to decrease with the amplitude of past volatility and price trends. Suc
 h a feedback mechanism in turn increases the volatility\, possibly leading
  to a liquidity crisis. Accounting for such effects within a stylized orde
 r book model\, we demonstrate numerically that there exists a second order
  phase transition between a stable regime for weak feedback to an unstable
  regime for strong feedback\, in which liquidity crises arise with probabi
 lity one. We characterize the critical exponents\, which appear to belong 
 to a new universality class. If relevant for the real markets\, such a pha
 se transition scenario requires the system to sit below\, but very close t
 o the instability threshold (self-organised criticality)\, or else that th
 e feedback intensity is itself time dependent and occasionally visits the 
 unstable region. An alternative scenario is provided by a class of non-lin
 ear Hawkes process that show occasional ‘activated’ liquidity crises\, wit
 hout having to be poised at the edge of instability.
DTSTART;TZID=Europe/Paris:20220929T120000
DTEND;TZID=Europe/Paris:20220929T131500
LAST-MODIFIED:20220922T001001Z
LOCATION:Toulouse: TSE\, September 29\, 2022\, 11:00–12:15\, room Auditoriu
 m 5
SUMMARY:MAD-Stat. Seminar
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2022-endogenous-liquidity-crise
 s-financial-markets-physicists-perspective
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