This presentation revisits the critical message from Caccioli, Bouchaud, and Farmer (2012) “A proposal for impact-adjusted valuation”: traditional marked-to-mid accounting P&L overestimates a portfolio’s true P&L.

Under the Obhizaeva and Wang model, this talk proves that marked-to-mid P&L is mechanically inflated by price impact. This artificial P&L never persists: it either slowly deflates over time or evaporates during liquidation.

As pointed out by Caccioli, Bouchaud, and Farmer, applications of these results include portfolio and risk management, extending the reach of price impact models outside of traditional trading problems.