June Bloomberg Quant

Please register to join us virtually for the Bloomberg Quant (BBQ) Seminar Series, streamed live from our Bloomberg Lexington Avenue office. A link to the webcast will be emailed to you immediately upon registration. In this seminar, chaired by Bruno Dupire, Mathieu Rosenbaum will present the keynote followed by Lightning Talks of 5 minutes each in quick succession. 5:30 PM Keynote: Mathieu Rosenbaum | PSL University and École PolytechniqueA Unified Theory of Order Flow, Market Impact, and Volatility Financial markets exhibit four robust yet seemingly contradictory empirical regularities: persistent signed order flow, rough trading volume, rough volatility, and square-root price impact. Independently documented over four decades, these patterns have resisted a unified theoretical explanation. We show that they are not independent phenomena but joint manifestations of a single structural parameter that measures the persistence of fundamental trading activity. Remarkably, this parameter places markets at the edge of criticality: volatility roughness approaches the mathematical boundary at which spot volatility ceases to exist, while order flow sits at the onset of a phase transition separating regimes in which it can be decomposed into unpredictable and smooth components. Our unified framework reconciles four decades of empirical observations and reveals that markets self-organize at critical mathematical thresholds governed by fundamental trading activity, despite the proliferation of high-frequency and algorithmic strategies. 6:30 PM Lightning Talks: Meghan McMillin, Ph.D. | Alphabet Health Group The Ecology of Acne: Lessons from a Food Microbiologist Francesco Tonin | Bloomberg The secp256k1 Paradox Daniel Lam | Bloomberg Sharpening Alphas and Betas Philippe Treuille | First Dimension Foundation Equity Sector Selection Using Textual-Analytics