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Kata Váradi

is doing her PhD studies at the Doctoral School of Management and Business Administration at the Corvinus University of Budapest. Her research area is market liquidity, namely that how to measure and manage liquidity risk. The title of her doctoral thesis is „Liquidity Risk on Stock Markets”, which is built on the database of a liquidity indicator, the so called Budapest Liquidity Measure. She is teaching at the Finance Department at the Corvinus University of Budapest since 2007, mainly Corporate Finance, Firm Valuation and Multinational Financial Management. Before starting the PhD studies at the University she has been working at Commerzbank Zrt as a trainee at the credit department during 2008 and 2009.

The virtual price impact function

In my presentation I will show one of the main differences between the empirical and virtual price impact functions, namely that time-series analysis can be carried out more easily on virtual price impact functions, since it can be estimated for short time-periods – e.g. for one second. I will point out in my presentation, that knowing the time-variation of the price impact function is important for the market participants, in order to be able to predict the price impact of trades in the future, and to estimate the additional trading costs related to the price impact, and also to be able to build an optimal trading algorithm based on the price impact function.

Last modified: 2018.11.30.