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Title: Systematic flatness Authors:  Roberto Reno - University of Verona (Italy)
Davide Pirino - University of Rome Tor Vergata (Italy) [presenting]
Federico Bandi - Johns Hopkins University (United States)
Abstract: Asset prices are stale. We define a measure of systematic flatness in the price changes as a functional of the percentage of jointly and individual small price adjustments for multiple assets. Notions of idiosyncratic flatness are also established. For both systematic and idiosyncratic flatness we provide a limit theory which makes use of increasingly frequent observations over a fixed span of time. We justify structurally the proposed measures by employing a market microstructure model with asymmetries in information and various sources of liquidity, including funding liquidity.