Tag Archives: market

Brooklyn Quant Experience Lecture Series: J. Doyne Farmer

Brooklyn Quant Experience Lecture Series, NYU Tandon

J. Doyne Farmer, Director of Complexity Economics at the Institute for New Economic Thinking at the Oxford Martin School, and Baillie Gifford Professor of Mathematics at the University of Oxford, will give the following talk on Thursday, February 25th at 9:30 AM EST. 
*Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.

Attend Virtually >>

Meeting ID: 994 9055 8266
Password: FREBQEDF

Title

How Market Ecology Explains Market Malfunction

Abstract

Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is like the abundance of a species. We study a toy model of a market consisting of value investors, trend followers, and noise traders. We show that the average returns of strategies are strongly density-dependent, i.e. they depend on the wealth invested in each strategy at any given time. In the absence of noise, the market would slowly evolve toward an efficient equilibrium, but the statistical uncertainty in profitability (which is adjusted to match real markets) makes this noisy and uncertain. Even in the long term, the market spends extended periods of time away from perfect efficiency. We show how core concepts from ecology, such as the community matrix and food webs, give insight into market behavior. The wealth dynamics of the market ecology explain how market inefficiencies spontaneously occur and give insight into the origins of excess price volatility and deviations of prices from fundamental values.

Bio

J. Doyne Farmer is Director of Complexity Economics at the Institute for New Economic Thinking at the Oxford Martin School, and Baillie Gifford Professor of Mathematics at the University of Oxford. He is also an External Professor at the Santa Fe Institute. His current research is in economics, including financial stability, sustainability, technological change, and economic simulation. He was a founder of Prediction Company, a quantitative automated trading firm that was sold to the United Bank of Switzerland in 2006. His past research spans complex systems, dynamical systems, time series analysis, and theoretical biology. He founded the Complex Systems Group at Los Alamos National Laboratory, and while a graduate student in the 1970s he built the first wearable digital computer, which was successfully used to predict the game of roulette.

Brooklyn Quant Experience Lecture Series: Keith Lewis

Brooklyn Quant Experience Lecture Series, NYU Tandon

Welcome back to the spring 2021 semester. We hope that you all are doing well and look forward to a productive year.

Below please find the first BQE Lecture Series scheduled this semester. Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.

Keith Lewis, Managing Member of KALX, LLC, will give the following talk on Thursday, February 4th at 9:30 AM EST.

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Meeting ID: 953 8089 0352
Password: FREBQEKL

Title

A Unified Model of Derivative Securities

Abstract

Market instruments can be bought or sold at a price and ownership entails cash flows. Shares of instruments can be traded based on available information that accrue to positions. The mark-to-market value and amounts involved with trading correspond to price and cash flows. The Unified Model demonstrates the connection between dynamic trading and how to value, hedge, and manage the risk of a derivative security. It can be used for any portfolio of instruments. Every arbitrage-free model of prices and cash flows is parameterized by a vector-valued martingale whose components are indexed by market instruments and a positive, adapted process called a deflator. If repurchase agreements are available they determine a canonical deflator.

Bio

Keith A. Lewis started his professional career as a J. D. Tamarkin assistant professor at Brown where he pioneered the use of computers as a classroom tool in mathematics. He went on to a Wall Street career at Bankers Trust, Morgan Stanley, and Banc of America Securities where his team built the equity derivative libraries used by the trading desk to run their business. Since 2002 Keith has been a consultant for hedge funds building valuation models and tools for exploring, testing, and implementing trading strategies. Other projects include insurance companies involved with GPU computing, law firms certifying tax conformance of trades, and municipal bond advance refunding. He has spun off a number of open source projects based on his experience with building tools his clients found useful and has been using them in courses he has taught at NYU, Rutgers, Cornell, and Columbia.