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Discussion Series
Frankfurt MathFinance Colloquium
Alexander Schied
Universität Mannheim
Mathematical aspects of market impact modeling
Abstract
A market impact model describes the feedback of trading strategies on the underlying asset price. In the first part of this talk we will discuss various mathematical aspects of market impact models with transient price impact. We are in particular interest in the viability of a market impact model and discuss viability issues. In the next part, we will discuss further qualitative issues of maket impact.Thursday, 15 April 2010 5:15p.m., House of Finance, Commerzbank lecture hall (E.22).
