第105回研究会

開催日：

2025年11月19日(水) 16:00-17:15頃

会場：

丸の内永楽ビルディング18階 東京都立大学 丸の内サテライトキャンパス
(Zoomでも同時配信します)

報告者：

Yacine Aït-Sahalia 氏（Professor, Princeton University）

タイトル：

High Frequency Liquidity Provision in Different Volatility Regimes

概要Overview

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. (joint with Mehmet Saglam)

講師ご略歴Profile for speakers

Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics at Princeton University where he served as the inaugural Director of the Bendheim Center for Finance from 1998 until 2014. He was previously an Assistant Professor (1993-96), Associate Professor (1996-98) and Professor of Finance (1998) at the University of Chicago’s Booth School of Business, where he received the Emory Williams Award for Excellence in Teaching in 1995. His research concentrates on financial econometrics, fixed income and derivative securities, optimal portfolio selection, and has been published in leading academic journals. His research contributions in financial econometrics include various methods to estimate and test continuous-time models that are sampled at discrete time intervals, including nonparametric methods, closed-form expansions for the transition density of continuous-time models and various methods to analyze high frequency data with a particular emphasis on the presence of jumps. He is the author of the book High Frequency Financial Econometrics with Jean Jacod, served as editor of the Review of Financial Studies, managing editor of the Journal of Econometrics and an associate editor for Econometrica, the Journal of Finance and the Annals of Statistics. Professor Aït-Sahalia is an elected Fellow of the Econometric Society, the Institute of Mathematical Statistics, the American Statistical Association, the International Association for Applied Econometrics and the Society for Financial Econometrics. He received research fellowships from the Alfred P. Sloan Foundation, the Guggenheim Foundation and has been a Research Associate for the National Bureau of Economic Research since 1995. He received his Ph.D. in Economics from the Massachusetts Institute of Technology in 1993 and his undergraduate degree from Ecole Polytechnique in France.

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