Next Boston QWAFAFEW Meeting: Tuesday, 17 May 2016
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Volatility Control as a Keystone Strategy in Asset Markets
A QWAFAFEW discussion led by:
Volatility control strategies, or strategies which attempt to control risk through dynamic portfolio rebalancing have a long history. They have recently gathered more attention, and several studies have shown them to generate interesting results. This talk will demonstrate the long range stability and robustness of dynamic risk control strategies implemented over the last century. I will argue that such a strategy is probably difficult to ignore for many investors, and has always been implemented by some subset of the population over time either explicitly or implicitly. I will then explore why this strategy has had such a stable long run by drawing on ideas from population ecology and agent-based modeling. I will show that in an interacting environment with adaptive risk-averse investors, volatility control strategies play the role of a keystone species. Although they are only part of a range of strategies, they are a key barrier to preventing markets from converging to a near efficient state.
Download Presentation: http://people.brandeis.edu/~blebaron/talks/reveal/keystone.html#/
Blake LeBaron has a Ph.D. in Economics from the University of Chicago. He is the Abram L. and Thelma Sachar Chair of International Economics at the International Business School, Brandeis University. He is a Research Associate at the National Bureau of Economic Research, and was a Sloan Fellow. LeBaron also served as director of the Economics Program at The Santa Fe Institute in 1993.
LeBaron’s research has concentrated on the issue of nonlinear behavior of financial and macroeconomic time series. He has been influential both in the statistical detection of nonlinearities and in describing their qualitative behavior in many series. LeBaron’s current interests are in understanding the quantitative dynamics of interacting systems of adaptive agents and how these systems replicate observed real world phenomenon. Also, LeBaron is interested in understanding some of the observed behavioral characteristics of traders in financial markets. This behavior includes strategies such as technical analysis and portfolio optimization, along with policy questions such as foreign exchange intervention. In general, he seeks to find out the empirical implications of learning and adaptation as applied to finance and macroeconomics.
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12 Academy Avenue
Atkinson, NH 03811
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As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Hugh Crowther (Treasurer)
Donna Cool Murphy (Dinners)
The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome.
RSVP to: hugh@QWAFAFEW.org