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Petter Kolm

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20
Date
2022/06/21
Image Link
https://media-exp2.licdn.com/dms/image/C5622AQHN6YzTR0tThw/feedshare-shrink_2048_1536/0/1655829513077?e=1658966400&v=beta&t=TiFbNrqkQBwms6WurtU7BKIzdfFTELeUrMYzXpZBZl0
ML Score
3
Job
Courant Institute of Mathematical Sciences | Clinical Full Professor of Mathematics
Content
*** Special summer edition of NYU Courant's Mathematical Finance & Financial Data Science Seminar ***Tuesday, June 28, 5:30PM-6:45PM (Eastern Time): Join us for Kevin Webster's online talk "How Price Impact Distorts Accounting P&L - Revisiting Caccioli, Bouchaud and Farmer's Impact-Adjusted Valuation."This online event is open to the public, but requires registration. Registration & more details:https://lnkd.in/gjsXsCZJAbstract: 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.#nyucourant #nyu New York University Courant Institute of Mathematical Sciences NYU Courant Institute of Mathematical Sciences M.S. in Mathematics in Finance, NYU Courant New York University #priceimpact #trading #liquidation #tca #tradeexecution jean-philippe bouchaud Doyne Farmer
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6945052352982761473
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Profile
https://www.linkedin.com/in/petterkolm/
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