Bart Zhour Yuesen presented his paper, Dynamic Trade Informativeness, to the conference. The paper sets out to develop a structural model to examine price dynamics. What makes this paper unique is that it allows trades’ permanent price impact is allowed to be time-varying – thus the ‘dynamic’ aspect of trade informativeness.
A co-author to the paper, Jinyuan Zhang, was the winner of this year’s Best Paper by a Young Researcher, presented by Nej D’Jelal, Head of Electronic Equites, EMEA, Barclays and Plato Partnership Co-Chair and Andrei Kirilenko, Director, Centre for Global Finance and Technology, Imperial Business School.
Read the full paper write-up through this link.