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Sometimes we can get quite close to getting the curves (could always be different tomorrow, some measurement and modelling issues etc.), but they are not always
by RandomLensman 3y ago
Sometimes we can get quite close to getting the curves (could always be different tomorrow, some measurement and modelling issues etc.), but they are not always as inaccessible as you make them out to be. For example:https://www.nber.org/papers/w22627 https://www.nber.org/papers/w22627 ; (financial) markets with a CLOB also give a somewhat direct view on at least parts of the curve.
- soVeryTired 3y agoIn some situations I agree you can get a rough and ready sense of one curve or other. Certain types of auctions, and order books for financial markets are examples (though I think your link is broken!). Even with order books though, they just provide point-in-time snapshots. It’s well-known that buyers will get a better fill than what’s shown in the book if they break their order up over time: that’s why it’s normally to trade VWAP. These are definitely the exception rather than the rule. I work for a financial services firm and I can confidently say we have no idea what would happen to demand if we cut our fees.
- RandomLensman 3y agoI agree that things are often ephemeral to some extent. I'd say modelling trading impact and trying to optimise around it is actually quite intense modelling of supply and demand at times. But have you actually tried to establish elasticity and run experiments to that end? In all my time in industry, I have mostly not seen efforts to do that, but when people did that it actually was quite successful in increasing revenue. Fixed the link - thank you.