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CMX Lunch Seminar

Wednesday, January 31, 2024
12:00pm to 1:00pm
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Annenberg 213
Aggregation of financial markets.
Georg Menz, Assistant Professor of Mathematics, Department of Mathematics, University of California Los Angeles,

We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-one correspondence to limit order book states. Inspired by the theory of thermodynamics we argue that the arbitrage-mediated aggregation mechanism gives rise to a market-dynamical entropy, which quantifies the loss of liquidity caused by aggregation. We also discuss future directions of research in this emerging theory of market dynamics.

Joint work with Moritz Voss

For more information, please contact Jolene Brink by phone at (626)395-2813 or by email at [email protected] or visit CMX Website.