ソーシャル・データサイエンス研究科では、米国プリンストン大学からYacine Aït-Sahalia教授をお招きし、SDS セミナーを開催します。奮ってご参加下さい。

開催日時：2025年11月21日(金)　16:00～17:30

会場：一橋大学国立東キャンパス　第３研究館３階会議室
https://www.hit-u.ac.jp/guide/campus/campus/index.html ※36番の建物

幹事：渡部敏明（一橋大学大学院ソーシャル・データサイエンス研究科）

報告者：Yacine Aït-Sahalia（Otto A. Hack 1903 Professor of Finance and Economics, Princeton University) https://www.princeton.edu/~yacine/

論題：High Frequency Liquidity Provision in Different Volatility Regimes (joint with Mehmet Saglam)

要旨：High frequency market makers (HFMMs) often serve as the dominant liquidity provider in equity, futures and, increasingly, other financial markets. They do so largely in the absence of constraints on their decisions to provide or remove liquidity, which they are able to modify on very short time scales. The question of how their liquidity provision can be expected to vary across different volatility regimes has significant implications for market stability. Do HFMMs provide less liquidity in extreme volatility environments? We address this question using a theoretical model with fully rational, optimizing HFMMs and provide empirical evidence.