Featuring Machine Learning experts from Cornell, Citi, and more…
You and your colleagues are invited to attend the Cornell Financial Data Science Webinars. Through online talks in Spring 2022, we are excited to collaborate with various guest speakers in highlighting machine learning applications in finance.
All webinars are from 5:00 pm to 6:00 pm ET.
This webinar is free and open to all guests. Registration is required (please RSVP here). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from no-reply@zoom.us).
| Date | Tuesday, February 15th, 2022 |
| Time | 5:00pm – 6:00pm ET |
| Speaker | Kevin Webster |
| Title | How Price Impact Distorts Accounting P&L – Revisiting Caccioli, Bouchaud and Farmer’s impact-adjusted valuation |
Abstract:
This presentation revisits the key message from Caccioli, Bouchaud, and Farmer (2012) “A proposal for impact-adjusted valuation”: traditional marked to mid accounting P&L overestimates a portfolio’s true P&L.
Under the Obhizaeva and Wang model, this talk proves that marked to mid P&L is mechanically inflated by price impact. This artificial P&L never persists. It either slowly deflates over time or evaporates during liquidation.
As pointed out by Caccioli, Bouchaud, and Farmer, applications of these results include portfolio and risk management, extending the reach of price impact models outside of traditional trading problems.
Speaker Bio:
Dr. Kevin Webster graduated with a Ph.D. from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, with a large emphasis on price impact and market-making.
Upon graduation in 2014, he worked initially as a researcher at Deutsche Bank and then joined Citadel in 2016. He is currently on garden leave from Citadel.
Dr. Kevin Webster created and taught a course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a visiting lecturer at Princeton in the 2015 school year. His publications include “The self-financing equation in high-frequency markets,” “Information and inventories in high-frequency trading,” “A portfolio manager’s guidebook to trade execution,” and “High-frequency market-making.”
We hope to see you online!
**Please excuse any duplication of this announcement
If you are interested in our past seminars, you are welcome to subscribe to our YouTube Channel and watch our videos!
Upcoming Events
April 2022
Speaker: Andreea Minca (Cornell)
Title of Presentation: TBD